Tag Archives: S&P U.S. High Yield Low Volatility Corporate Bond Index

Apr 1, 2020

Delivering Low Volatility Exposure to High Yield Bonds

The last few weeks have been challenging for business the world over. People working from home and aggressive social distancing have led to business contraction and the expectation of rising default. On March 19, 2020, an S&P report expected that the U.S. trailing 12-month speculative-grade corporate default rate would rise to 10% within the next…

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Mar 18, 2020

Liquidity Impacts on Fixed Income ETFs and Passive Investing

Equity markets have fared reasonably well aided by liquidity in ETFs, as my colleague Craig Lazzara highlights. Steep discounts to net asset values (NAVs) on popular fixed income ETFs are bringing an onslaught of doomsday projections. But while the signs of stress are evident, it’s important to decouple the dysfunction of the bond market from…

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Sep 13, 2019

The Outperformance of the S&P U.S. High Yield Low Volatility Corporate Bond Index since Q4 2018

The S&P U.S. High Yield Low Volatility Corporate Bond Index[1] is designed as a low volatility strategy in the high yield bond universe. The index aims to deliver higher risk-adjusted returns than the underlying broad-based benchmark through mitigating uncompensated credit risk. The back-tested index performance demonstrated the efficacy of the low volatility strategy, with reduced…

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Mar 28, 2018

Performance Analysis of the S&P High Yield Low Volatility Corporate Bond Index for 2017

The S&P U.S. High Yield Low Volatility Corporate Bond Index (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yield bonds. One year after the index launch date, we present a…

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Oct 12, 2017

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…

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