Weekly Fixed Income Update | Lord Abbett
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WEEKLY FIXED INCOME UPDATE

For the week of September 28, 2020

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CHART OF THE WEEK: YEAR-TO-DATE RELATIVE PERFORMANCE OF CREDIT VERSUS EQUITIES

CHART OF THE WEEK

Given the market volatility this month, we wanted to provide some context around the performance of credit relative to equities. Our Chart of the Week illustrates the total return of the S&P 500 Index, Russell 2000 Index, Bloomberg Barclays US High Yield Index, and the Credit Suisse Leveraged Loan Index for the year-to-date period (data normalized for comparison purposes). 

It’s worth noting that the large outperformance of the S&P 500 versus the high yield index that started in July has almost completely collapsed in recent weeks.  In addition, leveraged loan returns are actually positive on the month and closing in on high yield for the year-to-date period. 

One possible explanation for the stark changes in relative performance is that equity markets seem to be reasonably questioning earnings growth and potential but are no longer as concerned about solvency issues, particularly given the supportive stance of the U.S. Federal Reserve. The data in this week’s chart would seem to confirm that point for now.

THE WEEK AHEAD

Tuesday
Consumer Confidence

Wednesday
GDP

Thursday
Personal Income and Outlays, ISM Manufacturing Index, Jobless Claims

Friday
Employment Situation





   

Index Returns

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1 Week YTD 1-YR 3-YR 5-YR
U.S. Aggregate -0.09 6.83 7.43 5.14 4.26
IG Corporates -0.62 6.35 7.95 6.09 5.77
HY Corporates -1.57 -1.17 1.25 3.60 6.16
Bank Loans -0.67 -0.91 0.74 3.15 3.93
IG Corporates 1-3 Year -0.12 3.33 4.39 3.44 2.91
Global Aggregate -1.02 5.35 5.78 3.76 3.92





   
   
      
      

TREASURY RATES

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Latest 1-YR Low 1-YR High 1-WK Change YTD Change 1-YR Change
2 Year 0.13 0.11 1.68 -1 -144 -154
5 Year 0.27 0.19 1.75 -1 -142 -133
10 Year 0.65 0.51 1.94 -4 -126 -106
30 Year 1.40 1.12 2.42 -5 -99 -76





   
   
      
      

CREDIT SPREADS

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Latest 1-YR Low 1-YR High 1-WK Change YTD Change 1-YR Change
IG Corporates 140 93 373 12 47 25
HY Corporates 537 315 1100 47 201 167
EM Aggregate 354 292 720 9 53 33
CMBS 107 64 260 3 35 40
MBS 65 28 115 -1 26 16
ABS 42 27 325 0 -2 9





   
      
      

OTHER INDICATORS

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Latest 1-WK Change YTD Change 1-YR Change
S&P GSCI 348.23 -9.80 -87.99 -63.49
Crude Oil - WTI ($) 40.10 -1.01 -20.96 -16.22
Trade Weighted Dollar* 128.01 0.00 -0.60 -2.10
5-Yr Breakeven Inflation Rate (%) 1.44 -0.14 -0.26 0.01

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