This study aggregates corporate credit metrics. It spans investment grade, high yield and private loans. We observe returns and borrower attributes across these distinct markets, noting persistent measurement differences between public pricing and private valuations. The data does not isolate specific causes of rate sensitivity.
A hypothetical 50:50 monthly rebalanced portfolio shows a 2.7% relative annual volatility reduction against the weighted average component volatility. [01] [02] The sample includes 35 matched returns from Nov 2023 to Sep 2026. [01] [02]
Investment grade annual volatility reached 5.96%. [01] High yield registered lower. [02] Its risk measured 4.51%. [02] A theoretical equally weighted monthly rebalanced portfolio generated 5.09% realized standard deviation. [01] [02]
The standalone weighted average equals 5.23%. [01] [02] Realized mix volatility falls 2.73% below this theoretical mark. [01] [02] Returns correlate at 0.89. [01] [02] The volatility ratio follows the covariance formula. It provides no independent evidence of economic causes or default diversification.
Risk persists. Total portfolio volatility stays above the high yield baseline only within this observed window. [01] [02] This measured relationship provides no future guarantees.
Our hypothetical equal-weight monthly mix does not model trading costs. [01] [02] Scaling omits serial autocovariance adjustment. [01] [02] We perform no duration normalization or fixed-issuer basket comparisons. [01] [02] Rebalancing represents a model rule without demonstrated causal effects versus buy-and-hold investing. [01] [02] Actual default correlation and tail dependence remain unestimated. [01] [02]
Monthly option-adjusted spread first differences correlate at 0.81 [03] [04]. Daily available changes yield a 0.74 correlation across a larger sample [03] [04]. Charted levels offer context.
Monthly spread differences produce a 0.81 correlation over 35 periods [03] [04]. Daily aligned changes measure 0.74 across 784 observations from October 4, 2023 to October 1, 2026 [03] [04]. Both metrics capture shared movement.
These figures quantify shared repricing behavior. Daily gaps can span dates. Missing values remain empty. Charted levels show distinct magnitudes, demonstrating that different spreads do not mean independent changes.
We measure aggregate repricing alignment using available paired observations. No regression controls apply. This metric tracks a spread component separate from effective yield.
Option-adjusted spread differs from total return and default frequency. Covariance establishes no structural cause. We document an observed sample relationship lacking isolated risk factors and offering no guarantee of future hedging performance.
Between October 2023 and September 2026, investment-grade corporate bonds recorded a maximum month-end drawdown of -4.34% [01]. High-yield corporate bonds reached a -2.49% maximum drawdown over the same period [02]. Both segments experienced overlapping declines ending in September 2026.
In September 2026, investment-grade returns were -2.63% [01]. High-yield returns were -2.49% [02]. IG experienced a -4.34% drawdown from its February 28, 2026 peak to its September 30, 2026 trough [01]. HY experienced a -2.49% drawdown from its August 31, 2026 peak to its September 30, 2026 trough [02].
Distinct rating categories posted simultaneous negative returns in September 2026. Overlapping monthly declines occur across different credit tiers. This shared negative month provides a bounded example of concurrent historical losses.
Ratings alone cannot rule out an observed shared negative month. Separate asset categories can experience concurrent negative monthly performance.
Observed co-losses do not estimate future tail dependence or default correlation [01] [02]. Monthly data frequency does not resolve within-month drawdowns. This recent 36-month window does not represent a full credit cycle.
The published annual panel for 2005–2022 includes pre-launch observations; its 18 annual points show a 0.68 correlation [07]. Across the seven full post-launch calendar years, 2016–2022, the correlation is 0.48 [07].
The Cliffwater and Bloomberg indices shared a 0.68 annual return correlation from 2005 through 2022 [07]. The post-launch period differs. Seven full calendar years from 2016 through 2022 yield a 0.48 correlation [07].
No cause of the observed correlations is identified. Variables shift. Different dates and macroeconomic regimes change alongside pre-launch coverage differences. These combined effects cannot be isolated.
The data tracks gross unlevered eligible underlying loan returns. Structures differ. This index profile diverges from net leveraged private fund shares. Annual frequency does not reveal within-year paths.
The index aggregates gross unlevered loans from listed and unlisted lenders [07]. It excludes fund leverage. Annual observation masks intra-year paths. Pre-launch history is backtested; 2015 partly so (CDLI launched 2015-09-30), and 2016 was the first full post-launch year [07].
The direct lending index returned 6.29% in 2022 [07]. Returns exceeded high yield by 17.48 percentage points during that year [07]. This performance diverged from broad public fixed income.
| CDLI | Bloomberg HY | Bloomberg Aggregate | |
|---|---|---|---|
| 2008 | −6.50% | −26.15% | 5.24% |
| 2022 | 6.29% | −11.19% | −13.01% |
In 2022, direct lending returned 6.29% [07]. High yield declined 11.19% [07]. The Aggregate index fell 13.01% [07]. During 2008, direct lending fell 6.50% and high yield dropped 26.15% [07]. The Aggregate index gained 5.24% [07].
Private loans predominantly feature floating interest rates [10]. Rate mechanics offer a plausible explanation for the 2022 gap. We did not control duration. We lack causal regressions.
The 2022 data provides a clear counterexample to identical return exposure. Direct lending remained positive. Public fixed income declined. Different asset classes demonstrate distinct observed annual returns.
Positive annual returns cannot exclude intra-year defaults. Outcomes vary. One calendar outcome does not guarantee a hedge against credit losses. We lack causal measurements. The 2008 direct lending figure is a retrospective pre-launch calculation [07].
The 2025 cross-section captures specific group averages [08]. Private credit issuance records 2.2x average EBITDA to cash interest coverage [08]. Syndicated leveraged loans average 3.7x [08].
Borrower groups remain separate. Private credit cohorts carry 5.0x median leverage alongside $223 million median revenue [08]. Syndicated leveraged loans report 3.2x median leverage and $902 million median revenue [08].
The EBITDA numerator measures operating earnings rather than free cash flow. The observed 2025 issuance cohort records lower average EBITDA per unit of cash interest at 2.2x versus 3.7x [08]. This metric identifies no default threshold or forecast [08].
Valuations track different variables. Cash interest metrics define present operational constraints separate from secondary market price returns. Valid cross-asset comparisons require precise alignment of metric definitions and distinct borrower populations.
The study covers private-credit and leveraged-loan borrowers; its metrics must not be extrapolated to bonds [08]. Coverage is an average, while leverage and revenue are medians [08]. These figures are not an individual default forecast [08].
The share of BDC loans featuring payment-in-kind terms rose by approximately four percentage points between early 2022 and early 2026 [09]. This metric tracks loan counts. PIK provisions capitalize interest into the principal balance instead of requiring cash payments.
The observed frequency of PIK loans increased from approximately 6 percent in early 2022 to approximately 10 percent in early 2026 [09]. This tracks loan counts.
PIK can let growth companies reinvest cash instead of servicing debt with cash. Across a lender’s portfolio, rising use often signals pressure on borrowers’ cash flows [09].
Investors distinguish accrued interest claims from actual cash receipts. Capitalizing interest defers specific current cash interest payments by adding them to the principal balance, altering the near-term cash profile.
Our two-endpoint comparison of BDC loans cannot distinguish changes in borrower composition [09]. The full Boston Fed paper finds that PIK growth occurs across nearly every industry and is not largely explained by the addition of companies in growth industries [09].
Losses differ by strategy. The senior segment recorded a 0.15% annualized loss magnitude [07]. The broad index realized a 1.01% loss magnitude [07].
Income differences emerged. The senior group generated an 8.39% annualized income return, trailing the 10.70% income return observed in the broad index [07]. Total gross return reached 8.15% against 9.71% broadly [07].
Loss metrics incorporate recoveries. They do not specify default frequencies. The index design tracks broad manager focus. It lacks a controlled sample of identical borrowers to isolate causal debt priority effects.
Selected populations alter outcomes. The aggregate performance data illustrates a historical tradeoff between realized loss magnitude and income return across distinct manager orientations. Investors must evaluate actual underwriting practices.
Early years use reconstructed history. The 87% senior-asset share describes flagship CDLI at the December 31, 2025 snapshot, not CDLI-S [11]. Measurement windows differ.
As of October 1 2026, the weak 96.0% investment grade yield rank [05] diverges from the 53.1% option-adjusted spread rank [03]. This covers the available October 3 2023 to October 1 2026 weekday window.
The investment grade effective yield is 5.99% [05]. High yield is 8.22% [06]. These sit 45 and 123 basis points below recent maximums of 6.44% [05] and 9.45% [06]. Against weekday observations since October 2023, the investment grade yield ranks at 96.0% [05]. High yield ranks at 93.9% [06]. Option-adjusted spreads rank lower. The 86-basis-point investment grade spread ranks at 53.1% [03]. The 324-basis-point high yield spread ranks at 75.1% [04].
Yield ranks diverge from spread ranks. Elevated yield percentiles do not mean the credit premium prices default risk richer. Yield involves components beyond the pure option-adjusted spread.
Analysts reviewing fresh 2026 data must separate yield from credit premium. The quantitative adequacy of the pure spread component is not calculated.
Ranks show the share of valid weekday observations at or below current levels. The window covers three years, not full history since 1997. Differences between yield and spread ranks do not measure rate causality. This data does not determine fair value or adequate default pay.
The CDLI posted a negative return in one of four Bloomberg High Yield negative calendar years between 2005 and 2022 [07]. Private credit supply did not dry up during March 2020 while high yield and leveraged loan issuance contracted [10]. These distinct metrics demonstrate divergent behaviors.
Bloomberg High Yield recorded four negative returns between 2005 and 2022 [07]. The CDLI fell once [07]. It posted positive returns three times during those high yield negative years [07]. Private credit supply stayed active during March 2020 while high yield and leveraged loan issuance contracted [10].
Annual sign divergence does not measure default correlation, tail dependence or intrayear maximum drawdown protection. Four limited observations cannot establish structural behavior. Asset category count alone does not establish portfolio diversification.
Public return correlation remains positive [01] [02], while historical private annual signs deviate [07]. Joint annual signs cannot identify within-year stress. Fully aligned three-sleeve covariance and matched borrower default data remain absent from our retained files.
The sample captures seven full post-launch calendar years between 2016 and 2022, alongside retrospective calculations prior to September 2015 [07]. Annual frequencies cannot resolve within-year return paths. This pre-launch historical data does not reflect real fund execution.
We processed a snapshot downloaded October 5, 2026. Public FRED ICE historical access has been limited to three years since April 2026 [01] [02]. This represents a data restriction, not index inception in 2023.
The observed series spans October 3, 2023 to October 1, 2026. Monthly returns use the last common valid published date each month. We retained published weekend month-end values including provider accrued interest without rolling back to weekdays. No additional manual interest adjustment occurs. Returns equal level ratios minus one. Hypothetical mix calculations exclude trading costs.
The observed series covers October 3, 2023 to October 1, 2026. Monthly returns use the last common valid published date each month. We retained published weekend month-end values including provider accrued interest without rolling back to weekdays. No additional manual interest adjustment occurs. Returns equal level ratios minus one. Hypothetical mix calculations exclude trading costs.
The data publishes option-adjusted corporate spread as a percentage. Original values convert at 100 basis points per one percent. We computed paired daily change correlations rather than extracting a published statistic. Valid daily observations span October 2023 to October 2026.
This metric reports high yield option-adjusted spread as a percentage. Values convert to basis points at 100 units per one percent. We calculated our own paired daily change correlations. Valid daily observations cover October 2023 to October 2026.
The series captures effective yield as an annualized percentage. It includes credit components but differs from realized cash income and total return. We calculated weak ranks using valid weekday at-or-below observations. The available October 2023 to October 2026 window lacks a full five-year history.
This variable measures high yield effective yield as an annualized percentage. It incorporates credit components, differing from realized cash income and total return. We generated weak ranks from valid weekday at-or-below observations within the available October 2023 to October 2026 window, lacking a full five-year history.
This catalog documents the selected source literature. Each entry details the published scope, dates, and exact variable definitions. We extract concrete metrics. These referenced studies provide the historical index returns and structural borrower statistics used to baseline the analysis.
This document details historical returns. It provides 2005 to 2022 annual data across CDLI, Bloomberg High Yield, and the Bloomberg Aggregate, while Exhibit 19 isolates income and realized loss from September 2010 to September 2023. The gross unlevered framework targets CDLI underlying assets exclusively. Pre-2015 index records remain retrospective.
This August 2026 note evaluates issuance. Table 1 contrasts the 2025 average EBITDA-to-cash interest coverage against median leverage and revenue. These statistics characterize distinct borrower groups. They measure separate private credit and syndicated leveraged loan populations. They do not track identical matched companies.
This August 2026 paper examines BDC loan characteristics. The sample includes 168 lenders across nearly 890,000 quarterly observations. We extract the PIK count share growth from roughly 6% in early 2022 to approximately 10% by early 2026. This metric identifies interest capitalization, distinguishing it from current cash receipt.
This IMF report examines early pandemic lending. Private credit funding supply persisted through March 2020, even as high-yield bond and syndicated leveraged loan issuance contracted sharply. We record this divergence. The document also evaluates predominantly floating-rate loans.
This December 2025 snapshot defines the index methodology. Senior assets constituted 87% of CDLI assets as of December 31, 2025. Eligibility rules govern the underlying loans. The index solely measures gross unlevered asset performance, making no assertions about absolute borrower resilience.
Across 35 matched monthly returns from November 2023 to September 2026, investment-grade and high-yield corporate total returns correlate at 0.89. A hypothetical 50:50 monthly rebalanced mix has annualized sample volatility of 5.09%, compared with a weighted average component volatility of 5.23%, a 2.7% relative reduction against the +1-correlation benchmark.
Sample and method: BlackRidge calculations from ICE BofA total return index levels distributed by FRED, using last common valid month-end observations and sample standard deviations scaled by the square root of 12. Separate private-credit annual returns and borrower metrics use different populations, periods and frequencies. Private-credit index history before its September 2015 launch is backtested.
Limits: the hypothetical mix excludes trading costs, serial autocovariance adjustment and duration normalization. Return covariance does not establish economic causes, default correlation or tail dependence. Private-credit index returns are gross and unlevered, not net leveraged fund returns. Fully aligned three-sleeve covariance and matched borrower default data are absent.
Primary input: FRED: ICE BofA US Corporate Index Total Return Index Value.
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