Hong Xie

Director, Global Research & Design
S&P Dow Jones Indices
Biography

Hong Xie is Director, Global Research & Design, at S&P Dow Jones Indices. Hong is the lead investment strategist in fixed income, covering the research and design of factor-based, smart beta, and thematic indices in fixed income, regularly publishing research papers in this field.

Prior to joining S&P Dow Jones Indices in 2014, Hong was head of fixed income and fund manager with Generali Investments Asia Ltd. managing the Asian Bond and Asian Credit Bond funds. Previously, Hong traded U.S. rates and derivatives with BNP Paribas and Lehman Brothers, and was a portfolio manager and trader in global fixed income with China Investment Corporation.

Hong is a CFA charterholder, and a member of the New York Society of Security Analysts (NYSSA) and the CFA Institute. Hong has a master’s degree in Computational Finance from Carnegie Mellon University.

Author Archives: Hong Xie

Leveraged Loan Market – Growing but Lower Protection?

In a prior blog,[1] we highlighted the return profile and yield of the S&P/LSTA U.S. Leveraged Loan 100 Index. We showed that carry is the dominant driver of returns. In this follow-up post, we review additional characteristics of the senior loan market and its evolution in recent years. The leveraged loan deal size has increased Read more […]

Leveraged Loans in a Rising Rate Environment – Carry Factor Dominates

Since the end of 2015, the U.S. Federal Reserve has raised the policy rate eight times to currently 2.0%-2.25%. The minutes of the recent September FOMC meeting reiterated the committee’s positive growth outlook and confidence on 2% inflation. Market players continued to catch up on pricing future Fed hikes. Currently the market is implying approximately Read more […]

Performance Analysis of the S&P High Yield Low Volatility Corporate Bond Index for 2017

The S&P U.S. High Yield Low Volatility Corporate Bond Index (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yield bonds. One year after the index launch date, we present a Read more […]

Low Volatility Effect in the U.S. Preferred Stock Market

The low volatility effect in equities refers to the findings that stocks that previously exhibited lower realized volatility outperform those with higher volatility as well as the broad based market on a risk-adjusted basis. It has been well documented in academic and practitioner research, and we have also seen widespread adoption in investment product offerings Read more […]

Can Realized Volatility Predict Future Volatility for Preferred Securities?

The investment community routinely uses historical realized volatility as an indicator of future volatility. One prominent example of this is the construction of ranking-based, low volatility equity strategies where realized volatility is used to form low volatility portfolios. Can the realized volatility of an asset indicate its future volatility? We extend the low volatility analysis Read more […]

Tail Hedging a High Yield Bond Portfolio With VIX® Futures

In one of my previous blog posts, we demonstrated that high yield bonds exhibited a strong negative correlation with VIX and an even stronger one with VIX futures, which comes mostly from down markets. This prompted us to think that VIX futures may hold tail-risk hedging opportunities for high yield bond portfolios. In this blog, Read more […]

Credit Risk Measure in the S&P U.S. High Yield Low Volatility Corporate Bond Index

Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market.  However, in fixed income, volatility measures for bonds are not as straightforward as equities.  First, it can be challenging to obtain reliable daily prices for bonds that do not trade every day.  Second, using the simple measure Read more […]

Correlation Analysis of VIX® and High Yield and Emerging Market Bonds

The CBOE Volatility Index® (VIX) measures the implied volatility of the S&P 500® over a 30-day period.  It is widely followed by market participants across asset classes to gauge market sentiment.  Traditionally, fixed income market participants have incorporated it into macro analysis. Can VIX-related products be used as hedging tools for some bond sectors that Read more […]

Bridging the Volatility Gap between IG and HY

The goal of the S&P U.S. High Yield Low Volatility Corporate Bond Index is to construct a high-yield bond portfolio with low credit risk and low return volatility by applying a low volatility factor.  Does the index methodology truly deliver the effect of reducing volatility?  The back-tested results of the 17-year period ending Feb. 28, Read more […]

High Yield Bonds in a Rising Rate Environment

Since the “taper tantrum” back in 2013, the prospect of the Fed easing monetary policy has been one of the top concerns for global market participants.  The Fed has increased rates twice since then: once in December 2015 and again in 2016.  With more rate hikes expected and U.S. inflation firming up, long-term interest rates Read more […]