Yield Curve Credit Strategy Chartdeck

Institutional rates and credit analysis using FRED Treasury, inflation, term-premium, corporate spread, recession, and Yahoo Finance market-proxy data.

Latest Data2026-05-28
Chart Start2012-01-01
Charts13
Series60

Credit Summary

Top-of-deck credit strategy page with spread compensation, curve pressure, real-rate pressure, and volatility stress markers.

Credit Strategy Summary

Current stance: Complacent / Tight-Risk Premium. HY OAS is 2.72 with a 12 percentile reading; IG OAS is 0.73 with a 1 percentile reading. The 10Y real yield is 2.06%, 2s10s is 46 bps, and 3m10y is 76 bps.

What matters for credit: spread compensation, real-rate pressure, curve inversion persistence, and rates volatility are pulled onto one page before the full deck drills into the components.

Credit Risk Premium

  • HY OAS2.72 / 12 pctile
  • IG OAS0.73 / 1 pctile
  • HY 1M Chg-7 bps
  • IG 1M Chg-6 bps

Rates Pressure

  • 2Y3.99%
  • 10Y4.45%
  • 10Y Real2.06%
  • 10Y Breakeven2.39%

Stress Markers

  • MOVE69.74 / 15 pctile
  • 2s10s46 bps
  • 3m10y76 bps
  • HY OAS Z-0.98

Credit Top Sheet

MetricLatest1M Chg3Y Z3Y Percentile
HY OAS2.72-7 bps-0.9812%
IG OAS0.73-6 bps-1.431%
MOVE69.74-250 bps-1.1415%
10Y Real Yield2.0610 bps0.7073%
10Y Breakeven2.39-6 bps0.9485%
2s10s0.46-3 bps0.4447%
3m10y0.764 bps1.4098%

One-Page CIO View

Portfolio-level read-through: what changed this week, what matters now, what to watch next, and best/worst risk expressions.

CIO Read

This is the one-page portfolio translation: what changed, what matters now, what to watch next, and the best/worst risk expressions implied by the rates-credit regime.

What Changed This Week

  • MOVE-8.69
  • 10Y Yield-11 bps
  • 2s10s3 bps
  • HY OAS-2 bps

What Matters Now

  • HY OAS2.72 / 12 pctile
  • IG OAS0.73 / 1 pctile
  • MOVE69.74 / 15 pctile
  • 10Y Real2.06 / 73 pctile

What To Watch Next

  • Rates volMOVE rising while spreads stay tight
  • Curve confirmation2s10s vs 3m10y signal divergence
  • Quality cliffBBB/BB and CCC spread gaps
  • Forward analogsWhether current regime favors beta or defense

Best Risk Expressions

  • Credit QualityQuality up: IG/BB over CCC and weak B
  • Duration SleeveLong duration over cash/short duration
  • 2Y RatesReceive 2Y / add front-end duration

Worst / Caution Expressions

  • IG CreditIG underweight / keep dry powder
  • HY BetaHY beta neutral
  • 2s10s CurveHold curve neutral / wait for cleaner entry

Forward Analog Tilt

  • GLD7.9%
  • XLU5.7%
  • OEF4.1%
  • SPY3.7%
  • QUAL3.0%

Forward Analog Leaders And Laggards

These tables ask: when the market previously looked like today across HY OAS, MOVE, 10Y real-yield, and 2s10s percentile regimes, which ETFs had the best and worst median returns over the next 1M, 3M, and 6M windows?

The composite is the average of the 1M, 3M, and 6M forward returns. Current regime inputs are HY OAS pctile 12%, MOVE pctile 15%, 10Y real-yield pctile 73%, and 2s10s pctile 47%. Sample count is included because the current credit-spread pull starts in 2023.

Forward Analog Leaders: Top 10

MetricComposite Forward Return1M Forward Return3M Forward Return6M Forward ReturnSample
GLD7.9%1.3%7.8%14.7%317.00
XLU5.7%1.4%3.7%11.9%317.00
OEF4.1%1.8%2.5%7.9%317.00
SPY3.7%1.4%2.3%7.5%317.00
QUAL3.0%1.1%1.8%6.2%317.00
SPXT2.9%0.9%2.5%5.4%317.00
QQQ2.9%1.6%1.6%5.5%317.00
EZU2.8%1.1%3.2%4.2%317.00
XLF2.8%0.7%2.8%5.0%317.00
IWD2.3%0.4%1.9%4.6%317.00

Forward Analog Laggards: Bottom 10

MetricComposite Forward Return1M Forward Return3M Forward Return6M Forward ReturnSample
ROBO-1.1%-0.4%-0.8%-2.3%317.00
USO-1.1%0.4%0.8%-4.6%317.00
XMAG-0.2%-0.2%0.4%-0.9%166.00
XLE0.3%0.3%0.0%0.6%317.00
TLT0.6%0.3%0.8%0.6%317.00
UUP0.6%0.3%0.8%0.8%317.00
LQD1.2%0.5%1.1%2.0%317.00
IWM1.3%-0.1%0.0%4.2%317.00
HYG1.4%0.4%1.3%2.4%317.00
IEF1.6%0.5%2.0%2.3%317.00

Trade Dashboard

Converts the rates-credit signal stack into candidate trade expressions across 2Y, 2s10s, IG, HY beta, quality, and duration.

Trade Translation

This page converts the deck's rates, curve, credit, and volatility signals into candidate expressions. It is a signal dashboard, not a position-sizing engine: conviction is driven by percentile extremes and cross-checks across spread, curve, real yield, and MOVE.

Highest Conviction Longs

  • Credit QualityQuality up: IG/BB over CCC and weak B
  • Duration SleeveLong duration over cash/short duration

Highest Caution Areas

  • IG CreditIG underweight / keep dry powder
  • HY BetaHY beta neutral

Rates / Credit Trade Dashboard

MetricCandidate TradeBiasConvictionSignalRationaleWatch / InvalidateScore
Credit QualityQuality up: IG/BB over CCC and weak BDefensive creditHighHY pctile 12%, IG pctile 1%, HY 1M chg -7 bpsWhen spreads are tight, expected carry per unit of downgrade/liquidity risk is less forgiving.Upgrade if spread widening creates compensation; downgrade if CCC gaps wider.0.79
Duration SleeveLong duration over cash/short durationExtend durationMedium10Y 4.45%, 10Y pctile 83%, MOVE 1M chg -250 bpsDuration risk is most attractive when yield/real-yield compensation is high and vol is not breaking higher.Bear steepening from term-premium shock argues for smaller long-end size.0.52
2Y RatesReceive 2Y / add front-end durationBullish ratesLow2Y 3.99%, 2Y pctile 64%, 10Y real pctile 73%Front-end yield and real-yield percentiles are the anchor for receive/pay risk.Reprice if inflation data pushes real yields higher or Fed reaction function shifts.0.37
2s10s CurveHold curve neutral / wait for cleaner entryMixedLow2s10s 46 bps, 1M chg -3 bps, pctile 47%Curve expression separates policy path from outright duration beta.Watch payrolls, CPI, auction tails, and whether 3m10y confirms the signal.0.20
HY BetaHY beta neutralBalancedLowHY OAS 2.72, HY pctile 12%, MOVE pctile 15%HY needs both spread compensation and manageable rates volatility.HY OAS widening plus MOVE rising is a de-risk trigger.-0.11
IG CreditIG underweight / keep dry powderRespect tight compensationHighIG OAS 0.73, pctile 1%IG spread percentile is the cleanest compensation read for high-grade credit.Widening led by financials or funding stress should override carry.-0.99

Deck Map And Signal Glossary

Plain-English guide to the page banners and core credit/rates signals used throughout the deck.

Credit Summary

Top sheet for the credit call: spread valuation, curve pressure, real-rate pressure, and rates volatility stress markers.

One-Page CIO View

Portfolio translation page: weekly changes, current pressure points, watch items, best expressions, and caution areas.

Trade Dashboard

Converts rates, curve, credit, quality, and duration signals into candidate expressions with rationale and invalidation markers.

Forward Return Study

Uses historical percentile analogs to show 1M, 3M, and 6M ETF returns after similar rates/credit regimes.

Macro Credit Dashboard

Current regime dashboard. Combines Treasury curve shape, HY/IG spreads, MOVE/VIX, and macro percentile heatmaps.

Curve Risk And Repricing

Rates strategy layer. Separates level, slope, curvature, long-end steepness, and tenor shock behavior.

Credit Deep Dive

Credit strategy layer. Focuses on HY vs IG risk premium, rating cliffs, spread-to-vol, quality decomposition, and cycle map.

Policy / Inflation / Term Premium

Macro rates layer. Splits nominal yields into real yields, inflation compensation, and term-premium pressure.

Cross-Asset Transmission

Market translation layer. Shows which ETFs and macro proxies historically benefit or suffer when rates, curve, spreads, and vol move.

Signal Glossary

SignalHow To Read It
OASOption-adjusted spread. The extra yield over Treasuries after embedded option effects; wider is more credit risk premium.
PercentileCurrent reading ranked against its own trailing history. Low spread percentile can mean rich credit compensation.
Z-ScoreDistance from recent historical average in standard-deviation units. Useful for comparing unlike metrics.
2s10s / 3m10yCurve slopes used as growth, policy, and recession-risk signals. The deck checks both because they capture different policy-cycle information.
MOVERates volatility index. High MOVE can tighten financial conditions even before credit spreads fully react.
Real YieldInflation-adjusted Treasury yield. High real yields can pressure duration, growth, credit refinancing, and equity multiples.
Term PremiumEstimated compensation for bearing long-duration Treasury risk beyond expected short-rate path.
Rating CliffSpread/yield gap between adjacent quality buckets, especially BBB to BB and BB to CCC.

Data Availability And Guardrails

Verifies first-valid dates and flags short-history series before z-scores, percentiles, and regressions are interpreted.

Data Window Guardrails

Credit OAS guardrail: the pulled IG/HY OAS history starts on 2023-05-30. Charts and percentile calculations now respect available history rather than stretching axes back to older Treasury or recession series.

Heatmaps: cells with insufficient data are displayed as n/a; otherwise labels are printed directly in each square.

Series Availability

MetricBucketFirst ValidLatestObsYearsHistory Note
Treasury 1MTreasury curve2001-07-312026-05-289068.0024.82Adequate for cycle context
Treasury 3MTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 6MTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 1YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 2YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 3YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 5YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 7YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 10YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 20YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
Treasury 30YTreasury curve1997-01-022026-05-2810739.0029.40Adequate for cycle context
IG OASCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
HY OASCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
AAA YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
AA YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
A YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
BBB YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
BB YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
B YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
CCC YieldCredit2023-05-302026-05-281095.003.00Short history - use percentile/z-score carefully
MOVEMacro / vol2002-11-122026-05-288599.0023.54Adequate for cycle context
10Y RealMacro / vol2003-01-022026-05-288548.0023.40Adequate for cycle context
10Y BreakevenMacro / vol2003-01-022026-05-288548.0023.40Adequate for cycle context
10Y Term PremiumMacro / vol1997-01-022026-05-2810739.0029.40Adequate for cycle context
Fed FundsMacro / vol1997-01-012026-05-2810740.0029.40Adequate for cycle context
SOFRMacro / vol2018-04-032026-05-282978.008.15Adequate for cycle context
US RecessionMacro / vol1997-01-012026-05-2810740.0029.40Adequate for cycle context

Forward Return Study

Historical percentile analogs showing what ETFs did over 1M, 3M, and 6M after similar HY OAS, MOVE, real-yield, and curve regimes.

Current Regime Analog

Method: Strict percentile bucket using 317 historical dates with enough forward return history. Current regime: HY OAS pctile 12%, MOVE pctile 15%, 10Y real-yield pctile 73%, and 2s10s pctile 47%.

The table reports median forward ETF returns after similar percentile regimes. Because the current OAS series history begins in 2023, sample count is shown explicitly.

Best Forward Analog Returns

  • GLD7.9%
  • XLU5.7%
  • OEF4.1%
  • SPY3.7%
  • QUAL3.0%

Worst Forward Analog Returns

  • ROBO-1.1%
  • USO-1.1%
  • XMAG-0.2%
  • XLE0.3%
  • TLT0.6%

ETF Forward Returns After Similar Rates/Credit Regimes

MetricComposite Forward Return1M Forward Return1M Positive Hit Rate3M Forward Return3M Positive Hit Rate6M Forward Return6M Positive Hit RateSample
GLD7.9%1.3%65.0%7.8%91.2%14.7%100.0%317.00
XLU5.7%1.4%64.4%3.7%72.9%11.9%93.4%317.00
OEF4.1%1.8%70.7%2.5%73.8%7.9%74.1%317.00
SPY3.7%1.4%67.5%2.3%74.8%7.5%72.9%317.00
QUAL3.0%1.1%65.0%1.8%69.7%6.2%71.0%317.00
SPXT2.9%0.9%64.4%2.5%81.7%5.4%71.9%317.00
QQQ2.9%1.6%66.6%1.6%62.8%5.5%77.9%317.00
EZU2.8%1.1%63.4%3.2%81.7%4.2%77.6%317.00
XLF2.8%0.7%55.8%2.8%79.5%5.0%76.0%317.00
IWD2.3%0.4%55.8%1.9%71.3%4.6%71.0%317.00
XLK1.9%1.0%63.7%0.4%52.1%4.4%73.2%317.00
RSP1.6%0.3%53.0%1.1%65.9%3.4%70.0%317.00
IEF1.6%0.5%61.2%2.0%64.4%2.3%85.2%317.00
HYG1.4%0.4%73.5%1.3%84.9%2.4%93.7%317.00
IWM1.3%-0.1%47.9%0.0%50.2%4.2%63.7%317.00
LQD1.2%0.5%64.4%1.1%60.6%2.0%82.6%317.00
UUP0.6%0.3%57.4%0.8%62.1%0.8%59.0%317.00
TLT0.6%0.3%56.2%0.8%54.3%0.6%56.2%317.00
XLE0.3%0.3%51.4%0.0%50.5%0.6%52.7%317.00
XMAG-0.2%-0.2%43.9%0.4%53.7%-0.9%39.0%166.00
USO-1.1%0.4%55.5%0.8%53.9%-4.6%37.5%317.00
ROBO-1.1%-0.4%44.2%-0.8%43.2%-2.3%38.2%317.00

Executive Summary

Current rates-credit state, factor moves, and cross-asset read-through.

Institutional Read-Through

Curve posture: 2s10s is 46 bps and 3m10y is 76 bps. The deck treats those as the primary recession-signal curves, then cross-checks them against credit spreads, MOVE, real yields, and breakevens.

Factor lens: level, slope, curvature, and long-end steepness are separated so a parallel rates selloff does not get confused with a growth scare or bull steepener.

Risk transmission: ETF sensitivity tables connect yield changes to equity beta, duration, credit, USD, commodities, and vol proxies.

Curve Snapshot

  • 10Y Yield4.45%
  • 2Y Yield3.99%
  • 2s10s46 bps
  • 3m10y76 bps
  • Inverted CurvesNone

Most Stretched

  • 10Y Term Premium99%
  • 3m10y98%
  • 10Y Breakeven85%
  • 10Y Real73%
  • 5s30s48%
  • 2s10s47%
  • MOVE15%

Most Depressed

  • IG OAS1%
  • HY OAS12%
  • MOVE15%
  • 2s10s47%
  • 5s30s48%
  • 10Y Real73%
  • 10Y Breakeven85%

Factor Moves

MetricLatest1M Chg3M Chg3Y Z3Y Percentile
Level4.396 bps5 bps0.8478%
Slope 2s10s0.46-3 bps-10 bps0.4447%
Curvature 2s5s10s-0.1411 bps6 bps1.1988%
Long End 5s30s0.83-10 bps-9 bps0.3448%

Rates Up Helped

Excludes pure bond/duration ETFs so the list highlights cross-asset risk transmission.

USOGSGDBCXOPFCG

Rates Up Hurt

Excludes pure bond/duration ETFs; duration sensitivity is broken out separately later.

XLREWOODEZUITBXHB

Macro Credit Dashboard

Research-style dashboard for the credit analyst: curve level, inversion pressure, macro percentiles, and spread/vol context.

Macro Rates Dashboard: Latest, Change, Z-Score, Percentile

Table replaces fragile chart heatmap rendering. Values are colored by magnitude; percentiles and z-scores are computed only on each series' available history.

MetricLatest1M Chg3M Chg1Y Chg3Y Z3Y Percentile
2s10s0.46-3 bps-10 bps-11 bps0.4447%
3m10y0.764 bps5 bps65 bps1.4098%
5s30s0.83-10 bps-9 bps-24 bps0.3448%
10Y Real2.0610 bps-7 bps31 bps0.7073%
10Y Breakeven2.39-6 bps8 bps0 bps0.9485%
10Y Term Premium0.8312 bps11 bps35 bps2.0499%
HY OAS2.72-7 bps-70 bps0 bps-0.9812%
IG OAS0.73-6 bps-18 bps-1 bps-1.431%
MOVE69.74-250 bps-4221 bps-277 bps-1.1415%

Curve Risk And Repricing

Curve shock map, 2s10s/3m10y/5s30s regime, factor proxies, and carry/rolldown pressure points.

Yield Change Matrix By Tenor

Yield changes are shown in percentage points in the table and bps by label convention; 0.10 equals 10 bps.

MetricLatest1W1M3M6M1Y3Y Percentile
1M3.720.000.02-0.02-0.07-0.4812%
3M3.690.010.00-0.04-0.02-0.3413%
6M3.790.000.050.020.18-0.0227%
1Y3.80-0.060.07-0.030.270.1933%
2Y3.99-0.140.120.030.380.4264%
3Y4.07-0.110.180.070.390.5271%
5Y4.15-0.120.160.070.300.4875%
7Y4.29-0.120.120.040.240.4378%
10Y4.45-0.110.090.030.190.3483%
20Y4.98-0.080.060.020.190.3094%
30Y4.98-0.090.040.050.140.2695%

Curve Factor Proxy

MetricLatest1M Chg3M Chg1Y Chg3Y Z3Y Percentile
Level4.396 bps5 bps36 bps0.8478%
Slope 2s10s0.46-3 bps-10 bps-11 bps0.4447%
Curvature 2s5s10s-0.1411 bps6 bps21 bps1.1988%
Long End 5s30s0.83-10 bps-9 bps-24 bps0.3448%

Tenor Shock Table

MetricLatest1W1M3M6M1Y3Y Percentile
1M3.720.000.02-0.02-0.07-0.4812%
3M3.690.010.00-0.04-0.02-0.3413%
6M3.790.000.050.020.18-0.0227%
1Y3.80-0.060.07-0.030.270.1933%
2Y3.99-0.140.120.030.380.4264%
3Y4.07-0.110.180.070.390.5271%
5Y4.15-0.120.160.070.300.4875%
7Y4.29-0.120.120.040.240.4378%
10Y4.45-0.110.090.030.190.3483%
20Y4.98-0.080.060.020.190.3094%
30Y4.98-0.090.040.050.140.2695%

Policy, Inflation, And Term Premium

Front-end policy, real yields, breakevens, forward inflation, and term-premium decomposition across benchmark maturities.

Credit Deep Dive

HY vs IG risk premium, quality spread decomposition, rating-cliff analysis, spread-to-vol context, and credit-cycle map.

Rating Bucket Relative Value

MetricYieldSpread vs 10Y1M Spread Chg3Y Spread Z3Y Spread Percentile
AAA4.990.54-4 bps0.5970%
AA4.880.43-4 bps-0.5338%
A4.980.53-3 bps-1.0014%
BBB5.300.85-4 bps-1.0412%
BB5.771.32-6 bps-0.9714%
B7.092.64-4 bps-0.4738%
CCC13.428.9722 bps0.6770%

Quality Cliff And Spread-To-Vol

MetricLatest3Y Z3Y Percentile
CCC - BB7.651.1691%
HY / IG OAS3.731.2589%
HY OAS / MOVE0.040.7278%
B - BB1.320.7376%
BB - BBB0.47-0.6922%
HY OAS - IG OAS1.99-0.7619%
BBB - AAA0.31-1.383%

Credit Quality And Risk Premium

Rating-ladder yield compensation, HY/IG spread percentile regime, and late-cycle stress markers.

Credit And Macro Percentiles

MetricLatest1M Chg3M Chg1Y Chg3Y Z3Y Percentile
10Y Term Premium0.8312 bps11 bps35 bps2.0499%
3m10y0.764 bps5 bps65 bps1.4098%
10Y Breakeven2.39-6 bps8 bps0 bps0.9485%
10Y Real2.0610 bps-7 bps31 bps0.7073%
5s30s0.83-10 bps-9 bps-24 bps0.3448%
2s10s0.46-3 bps-10 bps-11 bps0.4447%
MOVE69.74-250 bps-4221 bps-277 bps-1.1415%
HY OAS2.72-7 bps-70 bps0 bps-0.9812%
IG OAS0.73-6 bps-18 bps-1 bps-1.431%

Current Regime Inputs

  • HY OAS Percentile12%
  • IG OAS Percentile1%
  • 3m10y Percentile98%
  • 10Y Real Percentile73%
  • MOVE Percentile15%

How To Use This Page

This is the strategy translation layer. The deck does not stop at yield charts: it asks whether rates moves are being absorbed by credit, whether quality spread compensation is cheap or rich, whether volatility is confirming the signal, and where ETF proxies are most exposed.

Rates Strategy Scenario Playbook

ScenarioSetupCredit Read-ThroughDashboard Confirmation
Bear SteepenerLong-end yields rise faster than front endPressure duration, mortgages, utilities, REITs; test whether HY beta holds if growth is still intact.Watch 5s30s, MOVE, TLT/IEF weakness, HY OAS stability.
Bear FlattenerFront-end reprices higher or cuts get removedHigher refinancing pressure and tighter financial conditions; quality tends to matter more than beta.Watch 2Y, 3m10y, IG/HY spread ratio, banks versus defensives.
Bull SteepenerFront-end rallies faster as policy easing gets pricedCan be late-cycle if driven by growth fear; credit needs confirmation from spreads and vol.Watch HY OAS, MOVE, unemployment, curve steepening speed.
Bull FlattenerLong-end rallies on disinflation or duration demandSupports duration-sensitive credit but may indicate growth scare if HY widens simultaneously.Watch real yields, breakevens, LQD/TLT, HY underperformance.
Spread TighteningCredit risk premium compressesRisk premium is rich when spread percentiles are low; avoid confusing carry with valuation cushion.Watch HY/IG OAS percentiles, CCC-BB, spread-to-MOVE.
Spread WideningCredit reprices default/liquidity riskMove from beta to quality; rating cliffs and liquidity proxies matter more than curve direction alone.Watch CCC-BB, HY OAS z-score, VIX/MOVE, HYG/LQD.

Cross-Asset Transmission

ETF database sensitivity to 10Y Treasury changes, curve changes, HY credit spreads, and rates volatility. Pure bond/duration ETFs are separated from the main risk-asset rankings.

Equity Beta: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
QUAL80.00-0.26-0.11-0.66-0.382.5%13.2%
SPY70.00-0.22-0.11-0.67-0.412.3%16.3%
IWD60.00-0.28-0.06-0.58-0.401.5%12.0%
RSP60.00-0.30-0.07-0.53-0.371.3%8.6%
SPLV50.00-0.290.01-0.06-0.140.5%1.7%
IWM50.00-0.24-0.05-0.60-0.381.2%17.3%
QQQ45.00-0.18-0.10-0.63-0.384.8%27.1%
IWF45.00-0.16-0.11-0.63-0.362.7%19.1%
MTUM45.00-0.24-0.06-0.56-0.374.7%31.5%
SPHB45.00-0.19-0.09-0.61-0.383.9%26.2%

US Sectors: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
XLY72.73-0.25-0.09-0.57-0.371.4%11.7%
XLRE72.73-0.39-0.03-0.21-0.27-0.2%10.8%
XLB68.18-0.30-0.08-0.39-0.29-2.3%4.3%
XLV63.64-0.31-0.05-0.21-0.162.3%2.1%
XLC63.64-0.26-0.03-0.46-0.30-0.9%6.8%
XLK63.64-0.12-0.11-0.59-0.348.5%39.2%
XLI59.09-0.250.00-0.52-0.33-1.5%8.1%
XLF50.00-0.08-0.04-0.53-0.25-0.8%4.8%
XLU50.00-0.29-0.07-0.05-0.18-1.2%-0.4%
XLP27.27-0.230.030.03-0.130.4%4.2%
XLE9.090.34-0.010.070.10-0.0%-7.4%

Rates / Credit: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
AGG73.08-0.93-0.120.03-0.32-0.4%0.9%
LQD65.38-0.86-0.23-0.12-0.37-0.2%1.8%
MBB61.54-0.89-0.090.05-0.34-0.4%1.1%
IEF61.54-0.96-0.090.17-0.26-0.7%0.4%
TLT61.54-0.91-0.330.11-0.22-0.9%-0.2%
PFF61.54-0.33-0.11-0.56-0.44-0.7%4.3%
HYG57.69-0.49-0.06-0.51-0.47-0.0%2.6%
EMB57.69-0.69-0.15-0.37-0.47-0.3%3.6%
CWB53.85-0.14-0.10-0.55-0.331.2%17.2%
TIP46.15-0.81-0.110.15-0.24-0.2%1.5%
BKLN46.15-0.03-0.14-0.55-0.28-0.2%1.1%
SHY34.62-0.780.250.25-0.24-0.1%0.6%
STIP19.23-0.450.200.33-0.060.0%1.2%

Cyclicals / Financials: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
PAVE75.00-0.29-0.05-0.51-0.36-2.8%13.1%
JETS70.83-0.32-0.06-0.48-0.316.8%16.3%
CARZ70.83-0.21-0.06-0.58-0.377.3%48.6%
PSP66.67-0.27-0.09-0.51-0.39-2.0%10.3%
XHB62.50-0.47-0.08-0.35-0.34-2.3%5.4%
IAI58.33-0.11-0.03-0.52-0.30-0.5%9.3%
IYG58.33-0.08-0.05-0.56-0.28-1.1%5.7%
XTN54.17-0.25-0.04-0.44-0.315.8%19.8%
ITB54.17-0.46-0.09-0.30-0.31-1.8%3.6%
ITA41.67-0.230.06-0.42-0.263.2%4.7%
KRE29.17-0.07-0.01-0.43-0.29-1.6%7.9%
IAK8.33-0.07-0.01-0.13-0.03-0.0%2.4%

Growth / Duration Equity: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
ROBO90.91-0.28-0.08-0.58-0.364.8%28.6%
GRID77.27-0.30-0.04-0.53-0.37-1.8%20.2%
AIQ72.73-0.18-0.04-0.57-0.358.0%40.3%
NXTG68.18-0.30-0.07-0.51-0.379.2%40.2%
QTUM63.64-0.15-0.06-0.58-0.338.9%45.2%
SMH63.64-0.17-0.09-0.55-0.338.3%56.4%
ARKK54.55-0.15-0.04-0.53-0.30-2.0%15.7%
SOCL54.55-0.240.00-0.44-0.33-4.0%7.6%
CLOU22.73-0.04-0.02-0.30-0.11-0.3%14.3%
IGV18.18-0.00-0.05-0.33-0.115.9%16.7%
BUG13.64-0.02-0.04-0.25-0.0717.2%30.2%

Commodities / USD: ETF Sensitivity to Rates, Credit, Vol

MetricComposite Stress Rank10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
GDXJ87.50-0.200.12-0.28-0.18-8.3%6.3%
CPER87.50-0.21-0.09-0.28-0.242.5%15.5%
URA75.00-0.11-0.01-0.39-0.24-13.9%7.4%
GDX75.00-0.200.12-0.26-0.15-7.6%3.7%
DBB66.67-0.19-0.08-0.22-0.221.9%12.8%
BTC-USD66.670.02-0.02-0.38-0.23-8.6%8.2%
SLV54.17-0.140.01-0.16-0.15-3.8%11.1%
GLD54.17-0.170.14-0.13-0.13-5.2%2.0%
DBA33.330.14-0.02-0.060.04-2.1%1.3%
UUP20.830.37-0.140.100.121.5%-0.2%
DBC20.830.420.040.060.16-2.4%3.7%
USO8.330.460.070.190.23-2.2%11.7%

Risk Assets: Highest Positive 10Y Correlation

Metric10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
USO0.460.070.190.23-2.2%11.7%
GSG0.440.060.140.20-2.8%3.1%
DBC0.420.040.060.16-2.4%3.7%
XOP0.420.010.020.11-3.5%-11.8%
FCG0.380.010.060.10-3.5%-11.6%
UUP0.37-0.140.100.121.5%-0.2%
XLE0.34-0.010.070.10-0.0%-7.4%
XES0.180.03-0.27-0.12-1.9%3.7%
CRAK0.17-0.16-0.17-0.00-5.2%-2.5%
DBA0.14-0.02-0.060.04-2.1%1.3%
OIH0.130.04-0.26-0.14-1.6%3.0%
COAL0.070.01-0.05-0.062.4%-3.1%
BTC-USD0.02-0.02-0.38-0.23-8.6%8.2%
IGV-0.00-0.05-0.33-0.115.9%16.7%
BUG-0.02-0.04-0.25-0.0717.2%30.2%
CLOU-0.04-0.02-0.30-0.11-0.3%14.3%
BJK-0.04-0.01-0.48-0.28-2.7%2.0%
IAK-0.07-0.01-0.13-0.03-0.0%2.4%
KRE-0.07-0.01-0.43-0.29-1.6%7.9%
XLF-0.08-0.04-0.53-0.25-0.8%4.8%

Risk Assets: Most Negative 10Y Correlation

Metric10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
XHB-0.47-0.08-0.35-0.34-2.3%5.4%
ITB-0.46-0.09-0.30-0.31-1.8%3.6%
EZU-0.45-0.01-0.47-0.410.4%13.1%
WOOD-0.44-0.09-0.38-0.39-3.2%-2.3%
XLRE-0.39-0.03-0.21-0.27-0.2%10.8%
EWU-0.370.00-0.40-0.38-0.4%6.8%
EWA-0.36-0.01-0.40-0.38-4.0%6.5%
EEM-0.360.00-0.47-0.411.3%23.3%
IBB-0.34-0.09-0.39-0.28-2.3%2.8%
INDA-0.32-0.04-0.41-0.33-3.0%4.2%
JETS-0.32-0.06-0.48-0.316.8%16.3%
PINK-0.31-0.13-0.45-0.286.1%14.0%
XLV-0.31-0.05-0.21-0.162.3%2.1%
GRID-0.30-0.04-0.53-0.37-1.8%20.2%
NXTG-0.30-0.07-0.51-0.379.2%40.2%
PEJ-0.30-0.05-0.52-0.301.5%8.0%
RSP-0.30-0.07-0.53-0.371.3%8.6%
XBI-0.30-0.07-0.42-0.27-2.3%8.5%
XLB-0.30-0.08-0.39-0.29-2.3%4.3%
SPLV-0.290.01-0.06-0.140.5%1.7%

Risk Assets: Highest Positive HY OAS Correlation

Metric10Y Yield Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
USO0.460.190.23-2.2%11.7%
GSG0.440.140.20-2.8%3.1%
UUP0.370.100.121.5%-0.2%
XLE0.340.070.10-0.0%-7.4%
DBC0.420.060.16-2.4%3.7%
FCG0.380.060.10-3.5%-11.6%
XLP-0.230.03-0.130.4%4.2%
XOP0.420.020.11-3.5%-11.8%
COAL0.07-0.05-0.062.4%-3.1%
XLU-0.29-0.05-0.18-1.2%-0.4%
SPLV-0.29-0.06-0.140.5%1.7%
DBA0.14-0.060.04-2.1%1.3%
SPHD-0.26-0.11-0.220.8%2.9%
GLD-0.17-0.13-0.13-5.2%2.0%
IAK-0.07-0.13-0.03-0.0%2.4%
SLV-0.14-0.16-0.15-3.8%11.1%
CRAK0.17-0.17-0.00-5.2%-2.5%
PALL-0.17-0.18-0.12-9.9%2.9%
PLTM-0.12-0.20-0.14-6.7%5.4%
XLV-0.31-0.21-0.162.3%2.1%

Risk Assets: Most Negative HY OAS Correlation

Metric10Y Yield Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
SPY-0.22-0.67-0.412.3%16.3%
OEF-0.19-0.67-0.402.6%18.7%
QUAL-0.26-0.66-0.382.5%13.2%
XLG-0.15-0.64-0.372.2%18.1%
IWF-0.16-0.63-0.362.7%19.1%
QQQ-0.18-0.63-0.384.8%27.1%
XMAG-0.23-0.62-0.342.2%12.5%
MAGS-0.13-0.61-0.372.7%23.3%
SPHB-0.19-0.61-0.383.9%26.2%
IWM-0.24-0.60-0.381.2%17.3%
SPXT-0.27-0.59-0.38-0.2%8.3%
XLK-0.12-0.59-0.348.5%39.2%
ROBO-0.28-0.58-0.364.8%28.6%
QTUM-0.15-0.58-0.338.9%45.2%
IWD-0.28-0.58-0.401.5%12.0%
CARZ-0.21-0.58-0.377.3%48.6%
XLY-0.25-0.57-0.371.4%11.7%
AIQ-0.18-0.57-0.358.0%40.3%
VO-0.25-0.57-0.360.2%9.5%
MTUM-0.24-0.56-0.374.7%31.5%

Duration / Bond ETF Sanity Check

These instruments are expected to show strongly negative 10Y yield correlation, so they are not mixed into the risk-asset leaderboard.

Metric10Y Yield Chg Corr 1Y2s10s Chg Corr 1YHY OAS Chg Corr 1YMOVE Chg Corr 1Y1M Return3M Return
IEF-0.96-0.090.17-0.26-0.7%0.4%
AGG-0.93-0.120.03-0.32-0.4%0.9%
TLT-0.91-0.330.11-0.22-0.9%-0.2%
MBB-0.89-0.090.05-0.34-0.4%1.1%
LQD-0.86-0.23-0.12-0.37-0.2%1.8%
TIP-0.81-0.110.15-0.24-0.2%1.5%
SHY-0.780.250.25-0.24-0.1%0.6%
EMB-0.69-0.15-0.37-0.47-0.3%3.6%
HYG-0.49-0.06-0.51-0.47-0.0%2.6%
STIP-0.450.200.33-0.060.0%1.2%
PFF-0.33-0.11-0.56-0.44-0.7%4.3%
CWB-0.14-0.10-0.55-0.331.2%17.2%
BKLN-0.03-0.14-0.55-0.28-0.2%1.1%