I35476

WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index

The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is designed to provide exposure to the US High Yield Corporate Bond Market, while neutralizing sensitivity to increases in US interest rates. The index is a rules-based alternatively weighted index which employs a multi-step process to first identify bonds with favorable fundamental characteristics and then tilt to those which offer more attractive income potential. Offsetting short positions in US Treasuries are then constructed to neutralize interest rate sensitivity across maturities. The constituents of the index are selected and weighted on a semi-annual basis, and the interest rate hedge is rebalanced on a monthly basis to achieve the targeted duration exposure of 0.

 

The index draws from the US corporate bonds of public issuers domiciled in the United States. To be eligible for inclusion in the Index, debt securities must have fixed coupons with at least $500 million in par amount outstanding and a remaining maturity of at least one year. Component securities must be rated non-investment grade by at least one rating agency. The index shares the methodology of the US High Yield Corporate Bond Index and simply measures the return of the WisdomTree US High Yield Corporate Bond Index in combination with the interest rate hedge.

I35476 INFORMATION AND RESEARCH

Index Facts

Index Facts
As of 05/02/2024
Total Return Index Symbol I35476
Exchange Index Symbol
Index Inception Date 02/01/2020
Base Index Value 100
Number of Components in Index 640
Total Return Index Closing Value 154.64

Index Statistics

Index Statistics
As of 05/02/2024
Yields to Worst 8.35
Average Effective Maturity 5.35
Average Yield to Maturity 8.40
Effective Duration 0.16
Option Adjusted Spread 2.75
Par-Weighted Coupon 0.76

Credit Quality

As of 05/02/2024
Credit Quality
Weight
1. BA 42.20%
2. B 41.54%
3. BAA 10.16%
4. CAA 6.10%

Sector Breakdown

As of 05/02/2024
*Sectors are subject to change without notice

Definitions

  • The Yield To Worst (YTW) is the lowest potential yield that can be received on a bond without the issuer actually defaulting. When a bond is callable, the yield to worst is the lower yield of yield to maturity and yield to call.
  • Average Yield to Maturity represents the weighted average yield to maturity of investments in money market securities and short-term fixed income securities as of a specified date. Yield to maturity is the rate of return generated on a fixed income instrument assuming interest payments and capital gains or losses as if the instrument is held to maturity. The weighted average yield is calculated based on the market value of each fixed-income investment. The calculation does not incorporate yield from any currency forward contracts.
  • Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Effective duration is a calculation used to approximate the actual, modified duration of a callable bond. It takes into account that future interest rate changes will affect the expected cash flows for a callable bond.
  • Option Adjusted Spread is the spread of the bond yield and Treasury yield, which is adjusted to take into account an embedded option if the bond is callable or puttable.
  • Credit Quality is the underlying credit worthiness of a bond, reflecting its risk of default. Credit quality is typically represented by the credit ratings of a bond that are assigned by rating agencies such as Moody’s or Standard and Poor’s.
  • Par-Weighted Coupon is a par-weighted average of all coupon rates of the bonds in the index.
  • Average Effective Maturity is the average length of time until the bonds in the index reach maturity and are repaid, taking into account that some bonds may be called prior to maturity.
    • You cannot invest directly in an index.