Mainstream fixed income indices suffer from the same quirk as most equity indices. Click here for more info, but in a nutshell a market capitalization weighted index assigns more weight of a stock in an index based on the relative market capitalization of the stock in question compared to the overall index. So if stock XYZ has a market cap of $5 billion and the index has a total market cap of $100 billion, then stock XYZ has a weighting of 5% in that index. As the price goes up of the stock, so does the market capitalization and hence its weighting in that index. Theretofore price bubbles (irrationally high prices) leads to over exposure to overvalued stocks and underexposure to undervalued stocks (the exact opposite strategy that a rational investor would desire.
The same quirk holds true to fixed income indices which are also market capitalization weighted. For example, a fixed income index would assign the most weight to the largest fixed income issue. In other words your exposures are largest to the companies/entities that have the most debt.
Doesn’t that strike you as counter-intuitive?