Fixed Income Charts — May 25, 2020

Credit Spreads: A Tale of Two Sectors

Chart Highlights

  • Corporate spreads have widened across the board since the start of the COVID 19 crisis.
  • Not surprisingly, some sectors have been hit harder than others.
  • Through the lens of the Axioma Factor-based Fixed Income Risk Model, the implied spreads of the USD Consumer Discretionary sector have widened substantially more than those of the USD Healthcare sector – with close to a 500 bp difference for the riskiest spread quartile.
  • The results suggest outperformance over this period of portfolios constructed with the Risk Model to track a benchmark with a tilt toward Healthcare and away from Consumer Discretionary.

…It was the best of sectors, it was the worst of sectors.

Source: Qontigo