The Long End of the Curve Pays Off in November

Long duration was the trade to have for the month of November. The yield-to-worst of the S&P/BGCantor Current 30-Year U.S. Treasury Index closed the month at a 2.90%, 17 basis points tighter than the beginning of the month 3.06%.  10-years as measured by the S&P/BGCantor Current 10 Year U.S. Treasury Bond Index also tightened by 16 basis points.

Investment grade corporate bonds as measured by the S&P U.S. Issued Investment Grade Corporate Bond Index had a return of 0.7% for the month.  Together with October’s gain of 0.9%, the last two months make up for the September loss of -1.17%.

High Yield in November ended in the red as the S&P U.S. Issued High Yield Corporate Bond Index returned a -0.63% for the month.  Unlike the high yield, the S&P/LSTA U.S. Leveraged Loan 100 Index was in the green for the month as senior bank loan returned 0.36% for the month.  Though still a little more than half the year-to-date return of high yield (2.46% vs. 4.12%), it’s the steady return of leverage loan and lower volatility that is a plus to the loan sector.

Green bonds whose duration is just under 5 years at a 4.92 also had a negative return for the month (-0.20%) as the S&P Green Bond Index has underperformed year-to-date returning -0.85%.

– See more at: http://www.indexologyblog.com/2014/12/01/the-long-end-of-the-curve-pays-off-in-november/#sthash.gSQPhT17.dpuf