Tag Archives: fixed income

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 […]

No News, and No Implications

This morning’s Wall Street Journal reported, rather breathlessly, that “U.S. bond yields are topping a key measure of the dividends that large U.S. companies pay—a shift that has broad implications for investors….”  The headline was triggered by the observation that the 2.50% “yield on the 10-year U.S. Treasury note…exceeded the 1.91% dividend yield on the Read more […]

Monetary Cycles and the Fixed Income Market – What Can the Past Tell Us About the Current Cycle?

Rising rates are generally seen as bad news by fixed income market participants.  As rates go up, prices of fixed income assets are expected to go down.  However, returns (or losses) can vary depending on characteristics of the cycle, as well as the amount of income or carry available to cushion the decline in price. 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 […]

Rieger Report: The Uncorrelated

Why worry?  New highs for the U.S. stock market indices will keep coming, right?  Just in case, this might be a good time to examine asset classes that are not correlated to the equity market or the “uncorrelated”. Corporate bonds of the issuers in the S&P 500 are tracked in the S&P 500 Bond Index.  As a group Read more […]

Does the Outperformance of UDIBonos to MBonos Have Legs?

Since the U.S. presidential election on Nov. 8, 2016, the S&P/BMV Sovereign UDIBONOS Bond Index, which seeks to track inflation-protected Mexican government bonds, outperformed its nominal counterpart, the S&P/BMV Sovereign MBONOS Bond Index (see Exhibit 1).  What was the driver behind this outperformance, and can we expect it to persist? Exhibit 1: S&P Mexico Sovereign Read more […]

Try a TIPS Mixer in Your Equities Cocktail

As product manager of the S&P STRIDE Indices, I sometimes find myself extolling the virtues of Treasury Inflation-Protected Securities (TIPS), which I believe are an underappreciated asset class.  When inflation is relatively tame, people often ask why they should think about TIPS.  The answer is that TIPS don’t hedge expected inflation—that’s already priced in.  TIPS Read more […]

Year in Review: 2016 Asset Class Performance

The high-yield corporate bond segment, as measured by the S&P U.S. High Yield Corporate Bond Index, was the top-performing asset class for 2016, posting a total return of 17.2%.  Despite a rather tumultuous first quarter, 2016 finished with a clear “risk-on” sentiment as evidenced by the asset classes that topped the list. On Feb. 11, Read more […]

Rieger Report: Municipal bonds in 2017?

A look back may be a telling way to view municipal bonds in 2017. The modest total return of the S&P Municipal Bond Index (0.77%) in 2016 masked an atypical year of volatility for the normally staid market place.  During the year, municipal bonds enjoyed being one of the ‘risk off’ asset classes and as low Read more […]

LIBOR at 1% for First Time in 7 Years – A Significant Level for Leveraged Loans

For the first time since May 2009, the three-month LIBOR reached 1% on Dec. 29, 2016.  LIBOR, which stands for London InterBank Offered Rate, is a benchmark interest rate that most of the world’s largest banks charge each other for short-term loans.  The most common rates for which LIBOR is quoted are for overnight, one-month, Read more […]