Relative Value Methodologies: Performance Reviews

This section presents statistical evaluations of the performance of three relative value methodologies – Industry Value Tracker, Debt versus Equity, and Senior versus Subordinated. The results are based on real-time recommendations generated by the methodologies.

Focus Issues Outstanding Performers

Below are some outstanding performers (both long and short) among issues that recently showed up on Leverage World's Focus Issues list. This valuation-based analysis is a preliminary screen, designed to help investment organizations concentrate their credit analysis on the most promising situations. Criterion for inclusion on the list is that an issue gains or loses a minimum of 2 points between the days it enters and exits the Focus Issues list. Not every issue turned up by the Focus Issues model subsequently outperforms the high yield index. The recap demonstrates, however, that the initial cut includes many that produce exceptional returns.

Senior versus Subordinated Outstanding Performers

Below are some outstanding performers among issues that were identified by Leverage World's Senior versus Subordinated tracker over the past 12 months. The criterion for inclusion on the list of Outstanding Performers is that the senior bond outperformed its paired subordinated bond, or vice versa, by at least 3% on a monthly basis.

Debt versus Equity Outstanding Performers

Below are some outstanding performers (both long and short) among issues that were identified by Leverage World's Debt versus Equity tracker over the past 12 months. This analysis constitutes a unique form of capital structure arbitrage. The criterion for inclusion on the U.S. list of Outstanding Performers is a gain (loss) of at least 3 points in the seven days following the issue's appearance in the Debt versus Equity tables. Reflecting the lower volatility of the European market, the criterion for inclusion on the European list is a gain (loss) of at least 2 points in the seven days following its appearance in the tables.