Credit Spread Trade

Rotate high yield vs investment grade based on credit spread regime

Credit Spread Trade — gap audit strategy

Total Return

+13.5%

Sharpe Ratio

0.09

Max Drawdown

-4.9%

Win Rate

52.6%

Alpha

-18.8%

Comp. Score *

0.01

Risk Parameters

Max Allocation7.5%

Stop Loss5.0%

Take Profit5.0%

Max DD Tolerance4.9%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
HYG	BUY	5%	2.5% below entry	3.0% above entry	15.0%	TV YH
JNK	BUY	5%	2.5% below entry	3.0% above entry	15.0%	TV YH
VCIT	BUY	5%	2.5% below entry	3.0% above entry	15.0%	TV YH

▶ For Passive Investors (Buy & Hold)

Weak long-term profile. Not recommended for passive buy-and-hold. May still work as a tactical or hedged position — see main body.

Avg 5Y Return

9.4%

Avg 5Y Sharpe

-0.37

Avg 5Y Max DD

-14.2%

10Y Return (2015-2024)

15.5%

10Y Sharpe

-0.45

10Y Max DD

-17.9%

HODL Composite

0.02

Windows Tested

Consistency

32%