Global credit: Capturing opportunity and value | Insight Investment

Evidence suggests that active managers are typically able to achieve greater levels of alpha over the medium term when implied volatility in credit markets increases. Our analysis would support this when considering alpha generated by an actively managed Insight strategy over rolling three-year periods from 2011 to September 2023.

We believe there is good reason to expect volatility to remain elevated. Significant geopolitical tensions and the existence of competing fiscal and monetary priorities in many areas can create an environment of elevated market uncertainty, which in turn can present attractive value opportunities available for capture.

Figure 1: Alpha has increased as implied volatility increases.

Source: Insight and Mercer. Insight global credit strategy outperformance in USD terms, of Bloomberg Global Aggregate Credit Index hedged into USD, gross of fees. Mercer Insight Universe median manager alpha versus global credit sector benchmark index.