Tag Archives: credit rating

May 19, 2021

Credit Risk Premium in the Equity Market

Firms with low credit risk generally have higher stock market returns than firms with high credit risk.1 The S&P 500® Higher Credit-Rating Ex Insurance Equity (HCREIE) Index is designed to capture the credit risk premium in the equity market. In this blog, we will introduce the index design, performance, and factor exposure. Index Design The…

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Mar 3, 2020

Fixed Income in Stressful Times

For those wondering what role fixed income would have in their portfolio at record-low yields, they had to wait just one week. On Friday, Feb. 21, 2020, we hit a record-low yield for the 30-year Treasury, as the S&P U.S. Treasury Bond Current 30-Year Index yield fell to 1.92%. The next week, the Dow Jones…

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Dec 5, 2014

Asia Fixed Income: China – What’s More Than Yields?

Chinese bonds continue to attract attention from global investors as they offer relatively higher yields, what’s more, Chinese bonds also have historically demonstrated low correlations with global markets. Exhibit 1 shows the correlation of the S&P China Sovereign Bond Index with major sovereign bond indices in global markets. While the index has a low correlation of 0.09 with…

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