Systematic Credit and Equity G-255 Trading Indicators for February 4, 2026
G-255 Specific Credit Sector Indicators February 3 – Long Only Indicators on Page 8
G-255 Overview: What It Is
G-255 tracks the world's 255 largest corporate issuers, each with â¥$15 billion in liquid tradable debt. It covers ~6,000 USD bonds (avg. $1.16B per bond) and 242 publicly listed equities (combined market cap ~$47 trillion—60% larger per issuer than S&P 500 average), with 80 equities non-U.S. domiciled.
Long Opportunities
Credit: Focus on de-leveraging issuers — Single A/BB TMT, Single A Healthcare, UK/US/Canadian Banks, Floating Rate Notes (161 undervalued bonds worth $277 bil in value; 92 long indicators).
Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (40 undervalued equities worth $9.9T).
Short Opportunities
· Credit: 1,628 overvalued bonds ($2.78T market value; 1,340 short indicators) Big 6 banks remain the largest overvalued sector (303 overvalued bonds. $735 billion of market value, 268 short indicators.
· Equity: 16 overvalued issuers ($1.58T; 12 short indicators).
This quantitative, rule-based framework provides unified, objective signals for global corporate capital structure
extremes.
Systematic Portfolio Daily Credit Trading Model Indicators
· Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 7-year maturities.
· Short Indicators: Target re-leveraging issuers trading at the deepest discount from their model avoid point; avoid 7-year maturities due to low attractiveness and focus on 2031 maturities for best short opportunities.
· Replace Longs: Swap long positions that have reached their avoid trading level.
· Portfolio Trading Hurdle: Maintain a 1:1 long-to-short ratio once the 50% long position threshold is reached.
· Current Status: Add new supply trades where the issuer is deleveraging; add new issue bonds where spreads have widened by +2 basis points.
· Current Status of Trading Indicators: Last week, one short trade was added, and three long trades reached their avoid trading level. The trading model did not add any long indicators Monday.
Monitor Trade Position Composition
· Track the percentage of long positions relative to the total portfolio.
· If replacing long positions that have reached their avoid trading level pushes the portfolio above the 50% long hurdle, initiate short positions in re—leveraging issuers (focusing on 5-year maturities) at a 1:1 ratio for additional long positions.
· Review: Reassess portfolio balance after weekly fund flow data to ensure alignment with the systematic strategy.
· Look for individual bond indicators to change overnight: Historic trading levels are leading to overnight adjustments to long, short, and avoid indicator levels.
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G-255 Specific Bond Trading Indicators February 3
· Closed Positions: On Friday 1/16/26 McDonald's (Baa1/BBB+) MCD 5 02/13/36 reached its avoid trading level. On Tuesday 1/20/26 Royal Bank of Canada (A1/A) RY 4.305 11/03/31 reached its avoid trading level. On Wednesday 1/21/26 Mitsubishi Finance (A1/A-) MUFG Float 09/12/31 and ATT (Baa2/BBB) T 4.55 11/01/32 both reached their avoid trading levels. On Friday 1/30 Morgan Stanley (Baa1/BBB+) MS 5.498 1/19/38 (subordinated short) reached its avoid trading level.
· Enter New Longs: ATT (Baa2/BBB) T 4.9 11/01/35 Friday 12/19/25, RBC (A1/A) RY 4.305 11/03/31 and Amazon (A1/AA) AMZN 5.55 11/20/65 were added as a G – 255 de-levering new issue trading more than +2bp to NIP. On Wednesday 1/14/26 Bank of New York (Aa3/A+) BK 4.026 01/22/30 was added as a G – 255 new issue long indicator
· Enter New Short Trades: On Friday 1/16/26 the G-255 trading model added Morgan Stanley (Baa1/BBB+) MS 5.948 01/19/38 as a secondary short trade indicator.
New Credit Trade Indicators Friday : None
Current Sample Systematic Basket Credit/Equity trades based on trading strategy February 3
Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – February 3, 2026)
· Total Trades: 195 (full year 2025); 25 (2026 YTD)
· Long Indicators (2025): 136 out of 150 tightened by an average of -9.2 bp. (2026): 8 out of 16 tightened by an average of -6.53 bp.
· Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp. (2026): 1 out of 10 widened -7.3 bp.
· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 8 positions tightened by -1.82 bp.
· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 10 positions tightened by -3.35 bp.
· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±1.62 bp.
· Success Rate (2025): 88.2% of indicators reached avoid-trading levels (slightly below historical norms).
· Average Trade Holding Period (2025): 23.9 days (above average).
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Systematic Portfolio Daily Equity Trading Model
· Long Indicators: Target G-255 issuers with positive year-on-year cash flow, trading more than 5% below their historic price moving averages. Focus on issuers with the largest returns to shareholders.
· Short Indicators: Target G-255 issuers with negative year-on-year cash flow and returns to shareholders, trading more than 7.5% above their historic price moving averages. Focus on issuers with the largest declines in operating cash flow.
· Allow trading levels for all 242 equities to determine the number of positions: G-255 is not a "stock picking" tool—it is a stochastic measurement system based on current operating metrics and returns to shareholders.
· Current Status of Trading Indicators: Last week, one short trade was added, and 2 issuers dropped off the "most attractive long" indicators list.
· Monitor Trade Position Composition: replace positions reaching their avoid-trading level pushes the portfolio above the 65%/35% long hurdle, shrink position size to remain at model indicator trade position levels.
· When short positions reach their avoid point, rely on the overall position indicator for trade size. Only position short equity positions that meet G-255 model criteria.
G-255 Specific Equity Trading Indicators February 3
· Closed Long Positions: Home Depot reached its avoid trading level on Tuesday 1/20/26. Altria reached its avoid trading level on Monday 1/26/26, Royal Caribbean Cr and Meta Platforms both reached their avoid trading level on 1/29/26. On Friday 1/30/26 ATT (T) reached its avoid trading point
· Open Long Positions: since January 5, the G-255 has added and (subtracted) 16 issuers from the most attractive long indicator list DELL, 6-Jan ATT, 8-Jan, Kraft Heinz, American Tower, Crown Castle, Kroger, 14-Jan Softbank, AIG, 15-Jan Paramount Skydance, Meta Platforms, 16-Jan, Sanofi, Microsoft, Fidelity National Serv, HPE and Qualcomm, Jan 28, Mastercard.
· Open Short Positions: G-255 has added UAL US equity short on 1/20/26 and adds GM US equity and UPS US equity as additional short trade indicators on 1/27/26 and Starbucks (SBUX) on 1/28/26
· Close Short Positions: On January 30 Nordea Bank NDA SS Equity was changed to a G-255 long trade indicator post 4Q earnings.
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Definitions:
· A G-255 "Highest rated" equity long must be trading -7.5% relative to its historic moving average.
· A G-255 "Highest rated" equity short must be trading +7.5% relative to its historic moving average.
Overall, the 31 highest-rated G-255 long positions have returned 5.10% in January and +.26% in February
Overall, the 7 highest-rated G-255 short positions have returned -1.85% in January and +.8% in February
G-255 Trade Sizes and Systematic Trade Process for Debt and Equities
· G-255 represents the world's 255 largest issuers of corporate securities and have a minimum equivalent of $15 billion of tradable liquid debt market capital in all global currencies.
· At present there are 6,022 G-255 USD bonds in circulation.
· There are 242 publicly listed equities for the G-255 debt issuers that trade in 8 currencies.
· The total equity market capital of the 242 stocks is just over $47 trillion or $182 billion per issuer. That is 60% larger equity capital per constituent than the S&P 500.
· 80 of the 242 publicly traded equities for the G-255 are domiciled outside of the United States.
G-255 Credit Indicators USD Trading Process and Size – Overall Strategy Is Designed To Trade $3 Trillion of Assets
· The G-255 trading process is designed for systematic trading on electronic platforms for equities and bonds.
· The system accommodates the largest institutional trade sizes, dependent on user resources and trading relationships (all G-255 USD corporate bonds trade OTC via over 80 dealers and all 5 major U.S. electronic bond trading firms).
G-255 Credit Indicators and USD Liquidity - 80% of All Daily TRACE Trades
The G-255 credit trading indicators cover 80% of daily NASD TRACE trades (95% of USD investment-grade and 48% of USD non-investment-grade).
G-255 Trade Indicators are created daily for all 6,250 debt and equity securities.
· Indicator Calibration: The stochastic credit trading model uses earnings data to recalibrate balance sheet leverage and valuation indicators, then evaluates spread-to-curve positioning, earnings momentum, and debt ratios against each issuer's historical trading patterns.
· Bond-Level Granularity: G-255 USD issuers hold an average of 27 USD bonds outstanding (~$27.5 billion USD debt cap per issuer). The model analyzes historical relative value across the capital structure, generating indicators for over/undervalued bonds.
· Equity-Credit Linkage: For issuers with both equity and bonds, equity signals (driven by cash flow and shareholder returns) directly influence credit spreads. The framework integrates these to produce synchronized long/short signals based on liquidity thresholds.
Equity and Credit Trading and Sector Indicators and Monday Trading
Monday, February 2, 2026, featured earnings reports from G-255 issuers Simon Property Group (SPG) and The Walt Disney Company (DIS), with market attention centered on Oracle Corp.'s announcement that it plans to raise $45 billion to $50 billion this year through a combination of debt and equity sales to expand cloud infrastructure capacity for AI demand. That headline drove movements in share and credit pricing on Monday, but the G-255 systematic trading model reached different conclusions: G-255 Single A technology credit spreads showed no material improvement, while G-255 equities continued to price better than the S&P 500 but not surpassing the DJIA.
G-255 equities have outperformed the S&P 500 across all periods and the DJIA over the past week, month, 3 months, 6 months, and 12 months (though underperforming the DJIA on Monday), attributable to three quantitative factors: (1) G-255 equities are 30% larger than the S&P 500 by market cap, (2) 35% of G-255 issuers are non-US corporates, and (3) G-255 issuers return 26% more capital to shareholders than either the DJIA or S&P 500.
G-255 equity valuation indicator remains overvalued. G-255 credit valuation indicator remains overvalued.
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G-255 Systematic Model Update: February 3 Trading and Earnings Reports
Earnings Pause – "Oracle Again?
"Sometimes the best trade is no trade" – John Stafford Jr., Ronin Capital. Perhaps I should have heeded that advice more often when I traded. Seldom does the G-255 trading model's new issue indicators pop out an "Avoid" trade indicator for an entire large new G-255 credit trade. But that is precisely what occurred on Monday.
We have written numerous times that the initial short ORCL (Baa2/BBB short credit/long equity) indicator, which first appeared last July, saw over +60 bp of spread widening. We also noted last November that the spread widening had, according to the trading model, reached its apex.
What we mean by "sometimes the best trade is no trade" is that being long the secondary Oracle bonds was a better trade (even if you added yesterday morning) than participating in the new deal. The G-255 Oracle trade indicators show the new bonds are highly unlikely to trade inside Oracle bonds issued in September 2025, which limits the upside of the new issue.
We also note that META, Broadcom, Alphabet, and several other credits also involved in AI buildout did not rally with Oracle.
"The Oracle plans to raise approximately $22.5 billion to $25 billion in equity capital during 2026 primarily through a newly authorized at-the-market (ATM) equity program of up to $20 billion, allowing opportunistic sales of common shares directly into the market throughout the year, supplemented by an initial modest issuance of mandatory convertible preferred securities that will automatically convert to common stock later."
And the new trade was priced on the above statement.
However, the G-255 trading model doesn't read headlines, and it doesn't incorporate capital that hasn't been raised. The model only incorporates publicly available corporate and trading data. The trading indicator on the Oracle new issue was "Avoid."
How to trade the new issue? Well, that's easier – there are 4 separate pairs trades (ORCL 5Y, 10Y, 20Y, 30Y and 40Y) where the trade would be for the old (September-issued) bonds / new (February-issued) bonds to tighten (when they trade +5 bp or wider depending on tenor) and old bond / new bonds to widen when they trade +3 bp or tighter depending on tenor.
Otherwise – if you were fortunate enough to be long the September 2025 Oracle supply, today you should rely on the trader's bible… "Exodus."
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G-255 Credit Market Valuation and New G – 255 Supply February 3, 2026 On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025 and 2026
· US Credit Spreads reached their tightest point of the year on Monday, February 21, 2025, and widest on Tuesday, April 10, 2025.
· YOY 10Y UST -33.3bp / YoY 5Y UST -58.7bp
January 2026 New USD G-255 Supply
· 63 issuers offered 163 separate bonds ($171 billion total capital — January record).
· Net new supply: $82 billion (third behind January 2017 and January 2024).
· Eight issuers came to market at least twice.
· 71% from financials (January record for G-255 supply).
Model Performance & Selectivity
· The G-255 systematic model generates long indicators for only ~12% of new issues (which represent ~67% of total annual USD new debt capital).
· When bonds are held until they reach their avoid-trading level, the model has historically been successful 97% of the time.
January 2026 New Issue Statistics
· 52 G-255 issuers came to market in USD during January 2025
· Total of 154 bonds issued
· 92 of those bonds have already reached their avoid-trading level according to the G-255 credit model
Broader New Issue Performance (All 2025 G-255 Issues)
· 95% of avoid-trade indicators delivered an average return of just under –8 bp over a 34-day average holding period
· Over the past 12 months, 1,051 of 1,100 G-255 USD bonds issued (totaling $1.147 trillion notional) have reached avoid signals
· All 20 December 2025 G-255 new issue trade indicators were reached in less than 22 trading days
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G-255 Credit and Equity Market Indicators February 3
· Attractive Long Credit Indicators: 92 (-14 from Monday) and -8 % below the 200-day moving average of all long indicators.
· Attractive Long Credit Market Cap accounts for: 62% of all undervalued Systematic credit capital.
· Attractive Short Credit Indicators 1,340 (+100 from Monday and +144% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 82% of all overvalued Systematic credit capital.
G-255 Equity Trade Indicators and US Equity Correlation to Overall US Credit Spreads
G-255 credit spreads have correlated directionally with US equity index movement for 17 of the first 22 trading days of 2026.
US equities are +1.6% over the past month; US credit spreads are now materially tighter MOM
Systematic Equity Trading Indicators February 3
• Attractive Long G-255 Equity Trade Indicators: 39 (includes both undervalued and equities priced at extreme discount) -3 from Monday and -41% below the 200-day moving average of all long-trade indicators.
• Short Equity Trade Indicators 13, (+1 from Monday) and +18% to the 200-day moving average of all model short trade indicators).
G-255 Key Differentiator
It uses a purely systematic, stochastic absolute value model with zero human input: signals derive solely from each issuer's own 52-week public pricing history (plus earnings and balance sheet/leverage data). No peer comparisons, forecasts, macro factors, or sentiment analysis. This issuer-isolated approach detects extreme trading levels vs. each name's historic norms, covering ~85% of daily TRACE-reported USD corporate bond trades (95% IG, 48% HY). Back-tested tracking accuracy: 97.5%.
Cross-Asset Integration
The automated model links equity (growth, volatility, momentum) and bond (credit spreads, debt dynamics) data from each issuer's history, spotting divergences (e.g., equity momentum vs. spread moves) to generate objective long/short indicators across both asset classes.
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G-255 Credit and Sector Indicators for "Long Only" trading strategies February 3
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Disclaimer - This report is not intended as, and does not constitute an offer, or a solicitation to buy or sell any securities or financial instruments. All data, levels, opinions, and representations herein are provided for informational purposes only and should not be relied upon for making investment decisions. Past performance is not indicative of future results. The authors of this report assume no liability for losses or damages arising from the use of this information. Investors should consult with a qualified financial advisor before making any investment decisions. The information in this report is based on sources believed to be reliable, but no guarantee is made as to its accuracy, completeness, or timeliness.