FALN - Revisiting Performance Through Tight Spreads

2024-03-16 04:00:00 ET

Summary

• In February, fallen angels underperformed the broad high yield market by 0.70%.
• Year-to-date, fallen angels are behind by 0.14%, posting returns of 0.17% versus 0.32% for the broad high yield market.
• The yields on fallen angels recently surpassed 7%, while spreads experienced a tightening of 23 bps over the past month, settling at 260 bps.

By Nicolas Fonseca, CFA

Spreads remain tight, but fallen angels have historically outperformed in similar environments; sector exposures continue to evolve, following one new fallen angel and one rising star last month.

In February, fallen angels (as represented by the ICE US Fallen Angel High Yield 10% Constrained Index, "H0CF") underperformed the broad high yield market (as represented by the ICE BofA US High Yield Index, "H0A0") by 0.70% (-0.40% vs 0.30%). Year-to-date, fallen angels are behind by 0.14%, posting returns of 0.17% versus 0.32% for the broad high yield market....

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