Tag Archives: high yield bonds
Impact of Term Structure on VIX® Futures Correlation with Bond Sectors
Recently my colleague wrote about the correlation between VIX (spot and futures) and two credit sectors (high-yield and emerging market bonds). The blog shows that VIX futures exhibit stronger negative correlation than VIX spot and that this stronger negative correlation of bonds to VIX futures than to VIX spot comes mostly from down markets. In…
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Correlation Analysis of VIX® and High Yield and Emerging Market Bonds
The CBOE Volatility Index® (VIX) measures the implied volatility of the S&P 500® over a 30-day period. It is widely followed by market participants across asset classes to gauge market sentiment. Traditionally, fixed income market participants have incorporated it into macro analysis. Can VIX-related products be used as hedging tools for some bond sectors that…
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Think Rates Will Stay Low? Consider Preferreds Over High Yield Bonds
As income seekers are forced to take additional risk to meet income needs in today’s near zero interest rate environment, preferreds may be considered over high yield bonds for the following five reasons: 1. Significantly higher credit quality 2. Comparable yields and lower volatility 3. Tax advantages on income 4. Call risk appears limited in…
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Three Myths of the U.S. Senior Loan Market
The S&P/LSTA U.S. Leveraged Loan 100 Index has returned 1.76% year to date under performing vs. fixed rate high yield bonds. The low rate environment and continued demand for yield generating asset classes has pushed the S&P U.S. Issued High Yield Corporate Bond Index returns to 4.32% year to date as yields have fallen by…
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