‘Current Intermediate Credit spread levels offer an attractive entry point. Historically, starting spreads of 200bps and 110bps or greater for Long Credit and Intermediate Credit, respectively, have – on average – resulted in a positive 12-month forward excess return. Conversely, spreads below those levels have typically resulted in a negative excess return. With current Intermediate Credit spreads at 114bps versus Long Credit spreads at 138bps, Intermediate Credit is providing more spread per unit of spread duration. Further, Intermediate Credit provides stronger downside protection and less dispersion in forward excess returns.’
Link: Can Intermediate Credit Carry Your LDI Strategy? – Income Research + Management