巴克莱信用因子洞察：2025年6月；美国高收益债券中的周期性因素转为正面，动量因素转为负面

Restricted - External Andrew Johnson, CFA+1 212 526 9716andrew.johnson3@barclays.comBCI, USDominique Toublan+1 212 412 3841dominique.toublan@barclays.comBCI, US We use a combination of forward-looking macro views, our credit strategy team's outlook, andhistorical factor performance throughdifferenteconomic regimes in making ourrecommendations. The investment horizon for each recommendation is intended to be onemonth.Factor views: 2024 ReduxAndrew Johnson, CFA BCI, US | Dominique Toublan BCI, USAs the risk-on sentiment persists and markets continue to look throughtariffuncertainty, wefind ourselves drawing a lot of comparisons to 2024. For much of 2024, markets shruggedoffagreat deal of macro uncertainty due to extremely stubborn technicals. Higher-for-longer rateskept all-in yields high, which drove demand from total return investors in both IG and HY. Thisdemand, combined with light net supply as the aforementioned macro uncertainty kept a lid ondealmaking, created a vicious technical that kept spreads compressed for most of the year.Now, with markets pricing in barely two more cuts by year-end (Barclays' economics call is onlyone, and not until September), the message seems to be "higher-for-longer, for-longer."On top of that, demand remains robust — retail inflows continue apace, and institutionalinvestors, having been defensively positioned going into "Liberation Day," have ample drypowder to put to work. We also expect net supply to continue to be minimal as M&A takes timeto gather steam. So, while our strategy team is still calling for US investment grade and highyield to finish the year slightly wider at 95-100bp and 325-350bp, respectively (see Revising ourforecast tighter), we don't expect a catalyst for that widening in the short term (the latestdeadline fortariffnegotiation set by the administration is not until July 9,afterall). As such, webelieve technicals will dominate for the next month and spreads will grind tighter in June. The 2 FIGURE 3. 2024 Factor Excess Return: US IGFIGURE 4. 2024 Factor Excess Return: US HY-3.0%-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%2024 L/S Excess Return (%)-10.4%Source: Bloomberg, Barclays Researchsetup looks remarkably similar to 2024! In 2024, spread duration and carry were clearoutperformers in both US IG and US HY while momentum and quality were clearunderperformers.As such, the following factor recommendations reflect our view that the next month should bedominated by technicals — demand for all-in yield should remain robust, net supply shouldremain light, and spreads should grind tighter. US Investment GradeFIGURE 5. Current Factor Recommendations in US IGFactorDefinitionIG CyclicalsLevel 4 industry classified as cyclicalsIG QualityBonds rated A3 and aboveIG SpreadDurationBonds with OASD of 10 years or aboveIG CarryA bond's OAS at the end of the previous monthIGMomentumThe negative of the most recent three-month change in market-value weighted issuer OASNegativeIG ValueRatings/spread/duration bucketed excess spread to peersIG VolatilityStd Dev of % spread change over last 12mSource: Barclays Research2 June 2025 We are positive on cyclicals in US IGOur IG cyclical basket did modestly well in May, returning +12bp in the long-short version. Anexception to our 2024 comparison is IG cyclicals. Though they underperformed in 2024, weremain positive on IG cyclicals since, unlike in 2024, they look quite cheap tononcyclicals (Figure 4). Though the basis has compressed a tad since last month, which was thecycle wides, cyclicals are trading at wides not seen since late 2020. We continue to believe thatspreads will tighten from here, and in general risk-on environments, IG cyclicals tend tooutperform.FIGURE 7. Cyclicals look cheap relative to noncyclicalsSource: Bloomberg, Barclays Research 5 We are negative on quality in US IGOur IG quality basket underperformed in May, returning -33bp in the long-short version. BBBscontinue to look cheap to As in US IG (Figure 8), which gives us a preference for down-in-qualitytrades. To continue the 2024 comparison, our quality factor (which represents an up-in-qualitytrade) was the worst-performing factor in US IG in 2024. Given that we expect credit to look like2024 in the short term, we reiterate our negative view on quality for June.FIGURE 8. Lower-quality IG looks cheap relative to higher qualitySource: Bloomberg, Barclays ResearchWe are positive on spread duration in US IGOur IG spread duration basket performed very well in May, returning +151bp in the long-shortversion. For June, we remain positive on spread duration since we expect spreads to grindtighter, and spread duration typically outperforms when spreads rally. Spread duration was alsothe best-performing factor in US IG in 2024, so our thesis that the current environment is similarto 2024 supports our overweight to IG spread duration.We are positive on carry in US IGOur IG carry basket did modestly well in May, returning +7bp in the long-short version. Carr