Capturing Credit Spread Premium
研究发现，过去20年投资级信用组合年均利差溢价为48个基点，若放松必须卖出降级债券的约束，溢价可升至86个基点且风险相似，建议采用容忍降级的信用基准。
Despite high spread volatility, investment-grade credit portfolios have generated an average annual spread premium (returns net of U.S. Treasury returns and defaults) of 48 bps over the past 20 years. The authors show that relaxing a common portfolio constraint that requires selling downgraded bonds would have allowed investors to capture an average annual spread premium of 86 bps, with similar risk. Thus, adopting a downgrade-tolerant credit benchmark could generate a higher credit spread premium.