Risk Appetite Index vs High Yield (HYG)
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
CRAI aggregates cross-asset risk appetite signals. When HYG moves and CRAI confirms, credit risk appetite is aligned with broader markets. When HYG diverges from CRAI, credit is either leading or lagging the cross-asset picture. HYG falling while CRAI rises signals credit-specific stress not yet broadly priced.
Cross-Asset Analysis
Before getting to the spread, note what each leg actually represents: Convex Risk Appetite Index is convex Risk Appetite Index, cross-asset risk appetite from 5 ETF price ratio z-scores (IWM/SPY, HYG/LQD, XLY/XLP, EEM/EFA, KRE/SPY). 0-100 scale, and High Yield Credit (HYG) is iShares iBoxx High Yield Corporate Bond ETF. Correlation trading desks quote options on the Convex Risk Appetite Index-High Yield Credit (HYG) spread once the underlying relationship has been quantified across enough regimes. Cross-asset pairs like Convex Risk Appetite Index against High Yield Credit (HYG) surface the macro variables that traverse asset classes: liquidity, inflation, real rates, and risk appetite.
Asset-specific shocks in either Convex Risk Appetite Index or High Yield Credit (HYG) produce spread moves unrelated to the shared macro story. Convex Risk Appetite Index belongs to the Sentiment & Positioning space, while High Yield Credit (HYG) belongs to Credit & Financial Stress, and the interaction between those two worlds is where the notable macro information lives. In risk-on regimes, correlations across asset classes converge toward historical values, and the Convex Risk Appetite Index-High Yield Credit (HYG) spread typically obey its historical fair value.
Convex Risk Appetite Index and High Yield Credit (HYG) sit in different asset classes, and the linkage between them captures cross-asset macro dynamics that neither alone can express. The link between Convex Risk Appetite Index and High Yield Credit (HYG) runs through shared macro drivers, and isolating the spread separates common factors from idiosyncratic noise.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between Convex Risk Appetite Index and High Yield Credit (HYG)?+
Convex Risk Appetite 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 Risk Appetite Index and High Yield Credit (HYG) captures the specific macro signal that flows through this relationship.
When does Convex Risk Appetite Index typically lead High Yield Credit (HYG)?+
Convex Risk Appetite 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 Risk Appetite 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 Risk Appetite Index and High Yield Credit (HYG) historically correlated?+
Long-run correlation between Convex Risk Appetite 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 Risk Appetite Index-High Yield Credit (HYG) relationship.
What macro conditions drive divergence between Convex Risk Appetite Index and High Yield Credit (HYG)?+
Divergence between Convex Risk Appetite 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 Risk Appetite Index or High Yield Credit (HYG).
Is Convex Risk Appetite Index a hedge for High Yield Credit (HYG)?+
Cross-asset hedges between Convex Risk Appetite 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 Risk Appetite 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.