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macro, rates, and cross-asset strategies · 2026-07-23

Credit risk-on/off rotation

rotate HYG when credit is healthy, IEF when spreads widen

expected Sharpe 0.4–0.8confidence: mediumfree daily data

The HYG/IEF (or HYG/LQD) relative-strength ratio is a widely watched early-warning signal — high yield underperforming Treasuries flags stress ahead of equities. A recent SSRN study (Situ) tests HYG↔IEF monthly rotation with a price-ratio-vs-moving-average signal and a return-spread threshold, using realistic frictions (0.03%/side), 20-80% bounds and a 30% turnover cap.

Why it's relevant now

Practitioner commentary (Lead-Lag) notes credit is calm again in 2026 — precisely when rotation discipline matters, because carry looks free right up until spreads gap. A systematic rule harvests HY carry in calm regimes and steps to duration before the turn.

Universe

HYG (high yield), IEF (7-10y Treasury); optional LQD/SHY for the risk-off leg and z-score reference.

How it works

Each month, hold HYG when the HYG/IEF price ratio is above its ~6-10 month moving average (or return-spread positive), else rotate to IEF; single-asset switch with turnover cap.

Expected performance

Research-derived Sharpe estimate: 0.4–0.8. transparent binary-timing overlay on two liquid ETFs; modest but low-turnover).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Monthly credit rotation: hold HYG when HYG/IEF price ratio is above its 6-month moving average, else hold IEF Get SignalChain — $49 →

Research & sources

More macro, rates, and cross-asset strategies ideas

Cross-asset time-series momentum (ETF trend)
go long/short each asset on its own 12-month trend, vol-scaled
Treasury yield-curve carry & roll-down
long duration when the curve pays you to wait
Cross-asset gold regime filter
hold gold only when both gold and Treasuries are trending up
Cross-asset relative-strength rotation with a correlation short hedge
own the strongest sleeves, short the weakest

Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.