CHAPTER 29Fixed-Income Benchmarks

There are many fixed-income indexes offered by many vendors. There are so many, that we cannot do justice to all of them. We choose those index families that we think are most used by investors. We begin with a general discussion of the problems facing fixed-income benchmarks.

FIXED-INCOME BENCHMARK CONSTRUCTION DIFFICULTIES

Fixed-income benchmarks are a difficult topic because the assets in this class, apart from having a fixed payment schedule, differ on a wide variety of other characteristics.

Fixed-income assets are created and redeemed as they mature, which sets them apart from stocks. Some instruments such as U.S. Treasury securities are created and redeemed on fixed, predictable schedules, but commercial ...

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