Fallen angels outperformed the broad high yield market by 0.59% in Q3 (2.99% vs. 2.40%), widening the year-to-date gap to 0.78% (7.84% vs. 7.06%). Credit spreads were notably more stable in Q3, ...
We assess the performance of FAs since Covid using the FTSE Time-Weighted Fallen Angel Bond Index (TWUSFA), which captures critical timing effects. We find a more favourable risk/return profile in FAs ...
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