The S&P/LSTA U.S. Leveraged Loan 100 Index has returned 1.76% year to date under performing vs. fixed rate high yield bonds. The low rate environment and continued demand for yield generating asset classes has pushed the S&P U.S. Issued High Yield Corporate Bond Index returns to 4.32% year to date as yields have fallen by 38bps since year end.
Three myths of the U.S. senior loan market:
Myth 1: Senior loans are more volatile than high yield bonds: the data just does not support this statement.
The five year standard deviation of index level changes (as of quarter end March 31, 2014):
- S&P/LSTA U.S. Leveraged Loan 100 Index: 7.28%
- S&P U.S. Issued High Yield Corporate Bond Index: 8.27%
Biggest index drop:
- S&P/LSTA U.S. Leveraged Loan 100 Index: -27.9% Dec 2008
- S&P U.S. Issued High Yield Corporate Bond Index: -30.4% Nov 2008
(In Feb 2009, the S&P 500 was down over 46% and the S&P GSCI was down over 67%)