Ever wondered how a portfolio of corporate bonds with the same rating* (monthly re-balancing) performes after adjusting for the "risk free" rate?
The first graph shows the BofA Merrill Lynch 1-3 year Euro Corporate Indices (AAA,AA,A,BBB) after adjusting each with the 1-3 Year AAA Euro Sovereign Index. The second graph (different scale) does the same with European Currency High Yield Indices (portfolios have a slightly higher duration).
The last graph compares the excess return of the Eurostoxx 50 TR index with the excess return of the "CCC and lower" bond index:
NB: The BofA Merrill Lynch indices are re-balanced (rating) on a monthly basis. Keep in mind that fluctuation in the time series can be due to the low number of issuers, high number of financials vs. non-financials, etc.
* based on an average of Moody’s, S&P and Fitch
The first graph shows the BofA Merrill Lynch 1-3 year Euro Corporate Indices (AAA,AA,A,BBB) after adjusting each with the 1-3 Year AAA Euro Sovereign Index. The second graph (different scale) does the same with European Currency High Yield Indices (portfolios have a slightly higher duration).
The last graph compares the excess return of the Eurostoxx 50 TR index with the excess return of the "CCC and lower" bond index:
NB: The BofA Merrill Lynch indices are re-balanced (rating) on a monthly basis. Keep in mind that fluctuation in the time series can be due to the low number of issuers, high number of financials vs. non-financials, etc.
* based on an average of Moody’s, S&P and Fitch
Mahalanobis - am 2010-01-19 17:42 - Rubrik: Finance
