The Fair Value Enigma: Deciphering Fixed Income in Today's Economy

In an ever-evolving financial landscape dominated by data-driven decision-making and economic uncertainty, understanding the nuances of fixed income investing is paramount.

At Candriam, we have developed a proprietary framework for assessing fair value using a Vector Error Correction Model (VECM) approach that integrates data analysis with expert economic insight. By capturing the nuances of factors such as economic growth, inflation and central bank policy, this framework provides actionable insights into the fair value pricing of sovereign debt and credit spreads.


Supporting Candriam’s portfolio managers

Through robust modeling techniques and a focus on both long-term trends and short-term dynamics, Candriam provides investors with a powerful tool for making informed investment decisions in a volatile market environment.

Louis de Langalerie & Diquel Dos Santos
Fixed Income Quantitative Analyst
The model's success in predicting market movements during the volatile year of 2023 validates its contribution to Candriam's overall investment strategy

Want to dig deeper and see how effective our model is?

Download our white paper that introduces this data-driven approach.

Related News

  • Research Paper, Fixed Income, Pierre Boyer

    The ECB: From Crisis Fighter to Liquidity Maestro?

    The European Central Bank (ECB) has undergone a significant transformation, evolving from a passive observer to a proactive guardian of financial stability in the eurozone. As the ECB normalises its monetary policy after a period of unconventional measures, a key challenge has emerged: managing excess liquidity. This paper explores the ECB's evolving role in addressing this challenge.
  • Charudatta Shende, Nicolas Jullien, Fixed Income, Research Paper

    The Big Shrink – How to navigate High Yield markets?

    High yield markets are shrinking. Do you know that they have contracted by 25% over the past two years? The ICE BofA BB-B Global High Yield Index has lost $654 million in value. In the meanwhile, investor demand for credit and high yield has rebounded at the end of last year.
  • Fabrice Sauzeau, Alternative Investments, Fixed Income, Private Debt, Research Paper, Real Estate

    Real Estate Private Debt: Time to Act?

    Has commercial real estate reached its inflection point? With little transaction activity, price and index data are generated with a lag. Market prices can change much more rapidly than they can be aggregated and reported. Investors must rely on fundamental analysis and experience more than data to time the recovery.
  • ESG, SRI, Fixed Income, Research Paper, Vincent Compiègne

    Sustainable bonds: focus on outcomes

    Sustainable bonds are increasingly used to fund specific environmental and social projects, and other sustainable activities. The growth of the sustainable bonds market has been underpinned by issuance from central and regional governments, supranational organisations and corporates.

Find it fast

Get information faster with a single click

Get insights straight to your inbox