Based on current macro regime conditions and hy effective yield's historical behaviour in similar regimes, the model projects 7.38% by 2026-12-31 ( +6.8% from 6.91% today). The 68% confidence range is 6.26% to 8.50%; the wider 95% range is 5.19% to 9.57%. Methodology below the headline.
HY Effective Yield Forecast 2026
Quantitative analysis from 2,970 observations of HY Effective Yield history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Regime Scan[01/04]
Δ = divergence from +0.2% unconditional all-history average
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 265 | -5.09% | 14.18% | -0.36 | 42.8% | -5.08% |
| 3Y | 787 | -6.31% | 15.81% | -0.40 | 44.0% | -17.74% |
| 5Y | 1,309 | 9.85% | 19.19% | 0.51 | 45.6% | 59.95% |
| 10Y | 2,614 | -0.99% | 20.94% | -0.05 | 41.3% | -9.44% |
| All | 2,970 | 0.25% | 20.38% | 0.01 | 41.9% | 2.83% |
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Forward Returns by Macro Regime[04]
How HY Effective Yield has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 1,047 | 0.59% | 4.39% | 1.05% | -4.21% | 39.3% |
| Normal (15-25) | 1,444 | 1.42% | 1.27% | 10.55% | -4.22% | 42.0% |
| Elevated (25-40) | 355 | -2.21% | -2.21% | -6.52% | -10.16% | 33.6% |
| Extreme (>40) | 40 | -10.51% | -30.69% | -44.10% | -48.91% | 0.0% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 543 | -0.36% | -2.66% | -6.73% | -6.77% | 16.6% |
| Flat (0-100bps) | 1,626 | 0.79% | 2.01% | -1.12% | -5.47% | 38.2% |
| Steep (>100bps) | 670 | 0.48% | 3.82% | 23.00% | 10.74% | 60.9% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 962 | 2.00% | 6.60% | 25.35% | -2.23% | 44.1% |
| Normal (350-500bps) | 1,431 | 1.49% | 3.01% | 3.55% | 0.17% | 50.2% |
| Stressed (>500bps) | 577 | -4.25% | -9.52% | -21.45% | -24.13% | 7.3% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 173 | 0.41% | -0.89% | 42.42% | 42.86% | 91.6% |
| Neutral (middle) | 557 | 1.19% | 7.96% | 38.86% | 22.72% | 84.3% |
| Strong (top tercile) | 2,088 | 0.34% | 0.04% | -4.65% | -7.16% | 28.4% |
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads HY Effective Yield; negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| HY OAS Spread | Credit risk leader | 0d | 0.813 | 0.813 | coincident |
| Trade-Weighted Dollar | FX driver | 0d | 0.425 | 0.425 | coincident |
| VIX | Volatility leader | 0d | 0.421 | 0.421 | coincident |
| Baa-10Y Spread | Credit risk (slow) | 0d | 0.306 | 0.306 | coincident |
| Copper | Global growth proxy | 0d | -0.265 | -0.265 | coincident |
| Initial Jobless Claims | Labor leader | -10d | 0.215 | 0.088 | lags target by 10d |
| NFCI | Financial conditions | -4d | 0.184 | 0.033 | coincident |
| 10Y Treasury Yield | Discount-rate driver | -1d | 0.100 | -0.080 | weak |
| 10Y-2Y Yield Spread | Recession leader | +36d | -0.068 | 0.029 | weak |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where HY Effective Yield sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| May 13, 2025 | 7.2300 | -2.63% | -10.65% | -6.50% |
| Feb 12, 2025 | 7.0800 | 3.11% | 0.99% | -7.63% |
| Nov 14, 2024 | 6.9700 | 4.16% | 3.87% | -2.87% |
| Aug 16, 2024 | 7.1500 | -5.45% | -0.56% | -5.03% |
| Apr 8, 2022 | 6.2600 | 22.52% | 15.65% | 40.26% |
Worst Historical Drawdown[07]
Cross-Asset Correlations · 1Y[08]
Largest Single-Period Moves[09]
- Mar 9, 202014.35%
- Mar 12, 202011.04%
- Mar 16, 202010.62%
- Mar 18, 20208.83%
- Mar 6, 20207.73%
- Apr 9, 2020-9.75%
- Mar 26, 2020-8.14%
- Nov 9, 2020-7.21%
- Jun 16, 2020-6.61%
- Nov 4, 2020-6.29%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | -0.01% | 40.5% | 257 |
| February | 0.05% | 38.6% | 246 |
| March | 0.24% | 51.1% | 266 |
| April | -0.07% | 39.9% | 253 |
| May | -0.03% | 42.6% | 256 |
| June | 0.03% | 44.8% | 239 |
| July | -0.21% | 32.1% | 246 |
| August | -0.01% | 41.7% | 247 |
| September | 0.13% | 41.8% | 239 |
| October | 0.07% | 45.5% | 246 |
| November | -0.03% | 44.5% | 238 |
| December | -0.06% | 39.0% | 236 |
N = 2,970 OBS · GENERATED 2026-05-18 09:30Z
Forecast Approach
regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.
Key Drivers & Risks
- •Default rates
- •Monetary policy
- •Economic growth
- •Risk appetite
- •Leverage levels
Historical Volatility
Asymmetric: tight in calm, explosive in stress
Frequently Asked Questions
What factors could push HY Effective Yield higher?▾
The primary drivers that tend to lift HY Effective Yield depend on the current macro regime. Financial conditions indexes are the Fed's dashboard. The Chicago Fed's NFCI blends over 100 inputs spanning equity volatility, credit spreads, funding stress, and leverage. Real yields across the TIPS curve reveal the true cost of capital after inflation, while liquidity measures (reverse repo, TGA, reserves) show whether the system is flush or stressed. Together they form the transmission belt from policy rate to real economy. Convex tracks these drivers live across the Credit & Financial Stress category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push HY Effective Yield lower?▾
The same transmission channels that drive HY Effective Yield higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see HY Effective Yield heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
What is the historical range for HY Effective Yield?▾
Historical ranges for HY Effective Yield vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the HY Effective Yield chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the HY Effective Yield forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.
Get forecast updates for HY Effective Yield and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.