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Statistikk › Verdsettelse › Credit premium

The investment grade credit premium has been statistically zero since 1986

B|t 3.31 then 1.531926 to 2022: 5.88%1986 to 2022: 3.06%3.06%BB|t 2.89 then 2.591926 to 2022: 3.34%1986 to 2022: 3.22%3.22%BBB|t 1.92 then 0.901926 to 2022: 1.40%1986 to 2022: 0.78%0.78%A|t 1.69 then 0.601926 to 2022: 0.86%1986 to 2022: 0.34%0.34%AAA to AA|t 1.67 then 0.581926 to 2022: 0.62%1986 to 2022: 0.25%0.25%1926 to 20221986 to 2022

Annualised credit risk premium by rating, measured as the excess return of corporate bonds over duration matched Treasuries after removing the term premium. Built from a reconstructed database of over 100,000 bonds and about seven million observations from April 1895. Only BB is clearly significant in the recent sample.

Over 1926 to 2022 the investment grade credit risk premium is 0.91% a year. Over 1986 to 2022 it is 0.52% with a t statistic of 0.75. For investment grade bonds the term premium accounts for the vast majority of excess returns over Treasuries.

0.91%Investment grade credit risk premium, 1926 to 2022, t = 1.87
0.52%The same over 1986 to 2022, t = 0.75
3.14%High yield credit risk premium over 1986 to 2022, t = 1.97
0.55Sharpe ratio of the aggregate corporate bond portfolio, 1926 to 2022

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