Tag Archives: High Yield

Credit Risk Measure in the S&P U.S. High Yield Low Volatility Corporate Bond Index

Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market.  However, in fixed income, volatility measures for bonds are not as straightforward as equities.  First, it can be challenging to obtain reliable daily prices for bonds that do not trade every day.  Second, using the simple measure Read more […]

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 […]

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 […]

Rieger Report: High Yield Domination

High yield bonds have been marching along and putting up returns that are dominating the investment grade bond markets. U.S. junk bonds continue to have no stink to them as demand for yield far outweighs the supply and seemingly the credit risks associated with these bonds.   The bonds of larger entities tracked in the S&P 500 Read more […]

Rieger Report: Insured Munis Begin to Show Value

The S&P Municipal Bond Index has recorded a 4.21% year-to-date total return for the first three quarters of 2016 lagging the taxable corporate bond market returns of nearly 9% as tracked by the S&P 500 Bond Index.  Some segments of the municipal bond market are contributing more than others: Local general obligation bonds have out performed Read more […]

Rieger Report: Puerto Rico’s Weight on the Muni Market

Puerto Rico remains a puzzle unsolved.  The large amount of Puerto Rico debt continues to weigh on the municipal bond market with the heaviest exposure in the high yield (below investment grade) segment.  Puerto Rico municipal bonds have over 27.1% market value weight in the S&P Municipal Bond High Yield Index and represent over $26.7billion in market value of bonds in Read more […]

Rieger Report: Muni Bonds – the States Leading and Lagging 2016

The municipal bond market tracked by the S&P Municipal Bond Index has seen a 4.11% year-to-date return.  Investment grade municipal bonds tracked in the S&P National AMT-Free Municipal Bond Index have seen a 3.95% return. What states are leading the pack?  The answer includes some of the states that have been performance drags in the past.  Municipal Read more […]

S&P U.S. High Quality Preferred Stock Index: A Venn of an Index

Similar to the Venn diagram in which the overlapping section of circles is the focus, the S&P U.S. High Quality Preferred Stock Index is designed to measure preferred securities that are constituents of both the fixed-rate and investment-grade preferred stock indices. Exhibit 1: S&P U.S. Preferred Stock Indices Hierarchy The weight of cumulative preferred stocks Read more […]