同行超额利差（ESP）计分卡2025年5月

Restricted - External Simon Polbennikov, CFA(vi)+44 (0) 20 3134 0752simon.polbennikov@barclays.comBarclays, UKAlbert Desclée(vi)+44 (0) 20 7773 3382albert.desclee@barclays.comBarclays, UK FIGURE 1. ESP Scorecard Performance: Top (Q5) vs. Bottom (Q1) EPS Quintile PortfoliosCum. Exc. Returns, %Avg. Exc. Returns, %/yrVolatility, %/yr12m3Y5Y10Y3Y5Y10Y3Y0.091.984.294.893.452.883.075.761.490.22-0.070.830.940.122.202.173.580.38-0.142.053.463.953.331.091.292.423.16-1.723.055.918.056.357.096.939.600.830.610.921.212.040.834.644.576.270.26-2.332.134.696.015.523.864.134.931.220.052.654.373.752.563.042.993.871.43-0.300.501.210.920.342.232.142.570.540.352.153.152.832.221.141.131.522.78Note: ESP scores are calculated at the beginning of each month. Portfolios are rebalanced at the beginning of each month and capitalisation weighted. All reported returnsare in excess of duration-matched Treasury portfolios. Monthly compounding is used to calculate cumulative returns. Transaction costs are excluded.FIGURE 2. US IG Corporate: Cumulative Excess Returns of Bond Portfolios with High and Low ESP Scores, %Note: ESP scores are calculated at the beginning of each month for all bonds in Bloomberg Fixed Income US Corporate index. The high ESP portfolio includes all bonds withabove median scores, while the low ESP portfolio includes bonds with below median scores. Portfolios are rebalanced at the beginning of each month and capitalisationweighted. All reported returns are in excess of duration-matched Treasury portfolios. Transaction costs are excluded.QPS Research publishes the performance of the ESP Scorecard monthly.Figure 1 provides summary performance statistics of the ESP Scorecard across US IG, Euro IGsenior, and US HY B-Ba markets. Corporate bonds are sorted into quintiles by ESP Score. Figure1 reports the returns of top (Q5) and bottom (Q1) quintile portfolios in periods ending on 30 May2025.ESP Scorecard for US IG CreditIn May, above-median ESP bonds outperformed below-median ones by 25bp in the US IGuniverse (Figure 3). All rows in Figure 3 report excess returns of High over Low ESP (above vs.below median) portfolios, except for the bottom row, which reports excess returns of the High Information Ratio3m5Y10Y1.590.600.430.033.071.371.160.660.450.131.461.121.250.660.430.132.511.462 1TES stands for TradeEfficiencyScore and is a measure of relative liquidity. SeeMeasuring Bond-Level Liquidity, BarclaysResearch, July 2015.FIGURE 3. US IG Corporate: Performance of High ESP over Low ESP Portfolios, %Cumulative Excess Returns (High -Low), %Avg. Annualized ExcessReturns, %/yrAnnualized Volatility,%/yrInformation Ratio6m12m3Y5Y10Y3Y5Y10Y3Y5Y10Y0.201.011.822.101.810.640.741.342.842.841.350.301.101.581.621.570.680.610.792.332.651.980.150.961.982.331.910.690.861.762.882.721.080.351.252.052.111.990.770.750.852.662.802.350.330.941.601.591.640.580.570.952.742.811.720.061.052.042.582.040.851.041.892.392.491.080.070.781.371.431.240.660.721.252.081.971.000.351.171.932.201.660.770.861.592.512.561.050.160.922.012.432.010.881.011.552.282.411.290.191.242.142.632.040.680.891.713.162.951.190.231.222.222.902.840.570.701.563.894.121.820.100.490.921.060.930.320.380.682.852.821.36Note: All returns are in excess of duration-matched Treasury portfolios. Transaction costs are excluded.FIGURE 4. US IG Corporate: Performance of Portfolios Sorted by ESP ScoreCumulative Excess Returns (High -Low), %Avg. Annualized ExcessReturns %/yrAnnualized Volatility,%/yrInformation Ratio6m12m3Y5Y10Y3Y5Y10Y3Y5Y10Y-0.38-0.070.830.940.122.202.173.580.380.430.03-0.250.532.192.371.212.973.184.450.740.750.27-0.240.782.582.961.792.853.194.790.910.930.37-0.200.943.013.562.322.773.155.161.091.130.450.041.984.294.893.452.883.075.761.491.590.60-0.210.832.552.911.732.712.924.710.941.000.37ESP portfolio over the index (+12bp). The scorecard performance varied across sector, qualityand liquidity buckets, as indicated in the figure1.The performance of the ESP scorecard has been positive over medium and long periods, asindicated by average returndifferentialsbetween High and Low ESP portfolios over 3-, 5- and10-year horizons and respective information ratios.Figure 4 presents the recent and historical performances of bonds sorted by ESP score. Therelationship between ESP quintile and average performance has been monotonic. Historicalvolatilities and information ratios, when calculated over longer periods, were also highest forthe top quintile. FIGURE 5. US IG Corporate: Current and Average Characteristics of High and Low-ESP PortfoliosOAD, yrOAS, %Liquidity Cost Score, %3m6m12mMay-253m6m12mMay-253m6m12m6.806.877.001.031.111.031.040.500.490.460.516.826.786.840.730.800.740.730.500.480.450.516.816.836.930.880.960.890.890.500.490.460.51-0.020.090.160.310.310.290.310.000.010.000.00-0.010.040.080.150.150.140.150.000.000.000.00FIGURE 6. US IG Corporate: Median ESP of Bonds with top 20% ESP Scores withDifferentInception DatesFigure 5 reports the aggregate characteristics: spread, duration,