The Case For Quantitative Investment Approaches In The Corporate Bond Market
Also Interesting
Introduction
US High Yield (‘HY’) corporate bonds are often included in asset allocation models given their idiosyncratic return profile relative to other fixed income strategies. Historically, HY bonds have allowed investors to capture a credit risk premium that, while positively correlated with equity returns, provides a diversified return stream.1 Over the last 15 years, HY as an asset class has returned an annualized 6.9% per year, slightly lagging the 7.8% return of the S&P 500 Index, but with lower volatility than US Large Cap equities.2 These attributes make US HY an important part of asset allocation in our view.
