Net Liquidity Index vs High Yield (HYG)
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
Net Liquidity aggregates Fed balance sheet, TGA, and RRP to estimate system liquidity. HYG reflects risk appetite in credit. Rising liquidity with rising HYG is classic risk-on. Falling liquidity with stable HYG signals credit resilience despite liquidity drain, often supported by positive fundamentals or institutional demand.
Cross-Asset Analysis
Convex Net Liquidity Index (convex Net Liquidity Index, Fed Balance Sheet minus Reverse Repo minus TGA. Measures actual liquidity flowing into markets) and High Yield Credit (HYG) (iShares iBoxx High Yield Corporate Bond ETF) are priced in separate markets, yet their co-movement tells macro desks something neither series reveals alone. Policy-driven transitions trigger abrupt repricing into the Convex Net Liquidity Index-High Yield Credit (HYG) relationship because the two markets adjust to policy guidance on different timescales.
Watching Convex Net Liquidity Index in tandem with High Yield Credit (HYG) provides insight into how macro factors propagate across different parts of the global market structure. Correlation trading desks mark options on the Convex Net Liquidity Index-High Yield Credit (HYG) spread once the core relationship has been quantified across sufficient regimes. Policy interventions can artificially compress or widen the Convex Net Liquidity Index-High Yield Credit (HYG) spread, most notably when central banks buy specific asset classes.
Convex Net Liquidity Index belongs to the Liquidity space, while High Yield Credit (HYG) belongs to Credit & Financial Stress, and the interaction between those two worlds is where the relevant macro information resides. Liquidity-driven windows produce cross-asset co-movement in Convex Net Liquidity Index and High Yield Credit (HYG); fundamentals-driven regimes produce separation. The bridge between Convex Net Liquidity Index and High Yield Credit (HYG) runs through shared macro drivers, and isolating the spread decomposes common factors from idiosyncratic noise.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between Convex Net Liquidity Index and High Yield Credit (HYG)?+
Convex Net Liquidity Index and High Yield Credit (HYG) are connected through shared macro drivers across asset classes. When the dominant macro driver shifts, both respond, though with different sensitivities and at different speeds. The spread between Convex Net Liquidity Index and High Yield Credit (HYG) captures the specific macro signal that flows through this relationship.
When does Convex Net Liquidity Index typically lead High Yield Credit (HYG)?+
Convex Net Liquidity Index tends to lead High Yield Credit (HYG) during macro regime changes, where the more liquid asset moves first. In those periods, moves in Convex Net Liquidity Index precede corresponding moves in High Yield Credit (HYG) by days to weeks, depending on the transmission channel and the depth of each market.
How are Convex Net Liquidity Index and High Yield Credit (HYG) historically correlated?+
Long-run correlation between Convex Net Liquidity Index and High Yield Credit (HYG) varies by regime. Cross-asset correlations vary by regime, tending to tighten in stress and loosen during normal conditions. The correlation is not stable: it shifts with macro conditions, and the periods when it breaks down are often the most informative moments in the Convex Net Liquidity Index-High Yield Credit (HYG) relationship.
What macro conditions drive divergence between Convex Net Liquidity Index and High Yield Credit (HYG)?+
Divergence between Convex Net Liquidity Index and High Yield Credit (HYG) typically arises from idiosyncratic shocks in one asset, policy interventions, or structural shifts in demand. When one asset's idiosyncratic drivers dominate, the spread moves in ways that the common macro story does not predict, which is usually a signal to look more carefully at the specific drivers at work in Convex Net Liquidity Index or High Yield Credit (HYG).
Is Convex Net Liquidity Index a hedge for High Yield Credit (HYG)?+
Cross-asset hedges between Convex Net Liquidity Index and High Yield Credit (HYG) work when the macro drivers of the two assets are sufficiently decorrelated, which depends on the regime and therefore needs to be reviewed as conditions change. Effective hedging requires matching the hedge to the specific risk being protected, and the Convex Net Liquidity Index-High Yield Credit (HYG) pair is best stress-tested under scenarios the investor most worries about before being sized into a real portfolio.
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Data sourced from FRED, CoinGecko, CBOE, and other providers. This page is for informational purposes only and does not constitute financial advice. Past performance does not guarantee future results.