Chart of the Week: Cross-Asset YTD Performance

Chart of the Week | June 06, 2022
Macro Insights

Cross-Asset YTD Performance

• Few asset classes have been in positive territory this year, with only commodities and the U.S. dollar providing relative outperformance. Meanwhile, legacy non-agency residential mortgage-backed securities, floating rate bonds, and value equities remained close behind.
• As described in “What to Expect in Second Half of 2022: A Macro View”, macro headwinds may persist, continuing to weigh on cross-asset performance throughout the remainder of the year. However, some asset classes may provide relatively attractive risk-adjusted returns.
• Thus, commodities (soft and hard), the U.S. dollar, non-agency RMBS, floating rate (bank loans), value equities, municipals, and selective high yield corporates (preferrable short duration) appear to be the best investment categories for the remainder of the year, with non-agency RMBS and floating rate bonds likely being the best of the mix.

**Commodities represented by the Bloomberg Commodity Index; Agriculture represented by the Bloomberg Agriculture Subindex; Industrial metals represented by the Bloomberg Industrial Metals Subindex; US Dollar (Spot) represented by the Bloomberg Dollar Spot Index; Non-Agency RMBS represented by Markit iBoxx Broad Us Non-Agency RMBS USD IndexTri; Precious Metals represented by the Bloomberg precious Metals Subindex; Floating Rate represented by the S&P/LSTA U.S. Leveraged Loan 100 Index; Large Cap Value represented by the Russell 1000 Value Index; All Cap Value represented by the Russell 2000 Value Index; Mid Cap Value represented by the Russell Mid Cap Value Index; Agency RMBS represented by the Bloomberg US MBS Index TR; Municipals represented by the Bloomberg Municipal Bond Index TR; High Yield represented by the Bloomberg US Corporate High Yield Index TR; Small-Cap Value represented by the Russell 2000 Value Index; US Treasury represented by the Bloomberg US Treasury TR Index; HY Municipals represented by the Bloomberg Muni High Yield Index TR; Barclays Aggregate represented by the Bloomberg US Agg Index TR; Corporates represented by the Bloomberg US Corporates Index TR; Mid Cap represented by the Russell Mid Cap Index; EM Debt represented by the Bloomberg EM USD Aggregate Index TR; Large Cap represented by the Russell 1000 Index; All Cap represented by the Russell 3000 Index; Aaa Corporates represented by the Bloomberg Aaa Corporate Index TR; Small-Cap represented by the Russell 2000 Index; Large Cap Growth represented by the Russell 1000 Growth Index; All-Cap Growth represented by the Russell 3000 Growth Index; Small Cap Growth represented by the Russell 2000 Growth Index; Mid Cap Growth represented by the Russell Mid Cap Growth Index