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iBoxx Yield Select Quarterly Update

20 April 2021 Rahul Sharma Wilson Mak

iBoxx Yield Select Quarterly Update

Yield Select is an index based credit-carry strategy that aims to benefit from systematically selecting high spread bonds using stratified sampling techniques.

Leading up to the latest quarter, all Yield Select strategies applied to the USD IG bond universe significantly outperformed the benchmark since the market turmoil of March 2020 after which rates (and rates expectations) were kept very low.

Then, interestingly, during the first quarter of 2021 - as yields rose and bonds sold off - the partitioned Yield Select strategies outperformed both the benchmark and the basic unconstrained Yield Select strategy.

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