JPM GLOBAL HIGH YIELD CORPORATE BOND MULTI-FACTOR UCITS ETF - USD (ACC)
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25 Sep 2023
JP Morgan Asset Management Global High Yield Multi-Factor Index is comprised of below investment grade, fixed rate corporate debt securities, such as bonds and notes, of varying maturity, issued globally. The components of the Index are selected from the components of the ICE BofAML Global High Yield Index (the "Parent Index") and designed to capture securities which display certain factor characteristics more strongly when compared to their peer group (i.e. other corporate bonds in the same market sector, denominated in the same currency and with similar creditworthiness). Factors are characteristics that describe the risk and return profile of securities from which investors expect to achieve above average returns over time, through assuming a particular risk or taking advantage of a behavioural bias. This process involves selecting below investment grade corporate debt securities issued globally according to an overall multi factor score derived from equally weighting the three factors i) Value: the tendency of securities trading at a wider spread relative to their fundamental characteristics (such as default probability) to generate more attractive returns over the long term, ii) Momentum: the tendency of securities which have exhibited higher returns to continue to exhibit more attractive returns relative to their volatility, and iii) Quality: the tendency of securities of financially-stable entities (based on measures of their solvency or profitability) to generate more attractive returns relative to their volatility over the long term.