Systematic Credit and Equity G-255 Trading Model Indicator Performance for 2024 - 2025
As we head towards the end of the year and a slower than average week for risk trading we are going to use Monday to show the performance of the G-255 credit model and Tuesday to show the performance of the G – 255 equities based on trade indicators.
Historical Cycle Performance (10-Year Maturity Spread Change)
Widening Cycles (3 recorded – Bearish/Sell or Short Credit)
High Yield (HY): average +33.7 bps
BBB-rated: average +27.4 bps
Single-A: average +28.1 bps
Tightening Cycles (2 recorded – Bullish/Buy or Long Credit)
High Yield (HY): average –118 bps
BBB-rated: average –31 bps
Single-A: average –41 bps
â On average, being long credit (HY, BBB, or A) during the two signaled tightening cycles generated 31–118 bps of excess spread return over risk-free rates within the cycle window. â Shorting or underweighting credit during the three widening cycles avoided 27–34 bps of average mark-to-market loss.
Current Signal (23 Nov 2025)
The G-255 indicators are currently neutral to slightly rich. Spreads have not widened sufficiently across HY, BBB, or Single-A segments to trigger a fresh "Long Systematic Credit" buy signal at the index or cash-bond level. The model remains on the sidelines awaiting a meaningful dislocation.
How the G-255 Actually Drives Trading Performance
Universe: The G-255 tracks the 255 largest, most liquid, and heavily indebted global corporate issuers – the exact names that dominate CDX/HY, CDX/IG, and iTraxx indices and cash bond trading volumes.
Quarterly recalibration: Every earnings season, the model ingests G-255 standardized financial disclosures to update key drivers (leverage, interest coverage, free-cash-flow yield, earnings momentum, and shareholder yield).
Relative-value engine: At the individual issuer level, the model ranks every outstanding bond across the capital structure and flags the most over- and undervalued securities for RV trades (curve steepener/flattener, cash-vs-CDS basis, senior vs. subordinated, etc.).
Equity-credit arbitrage: For the ~243 dual-listed issuers, synchronized equity and credit signals generate high-conviction pair trades (long equity/short credit when equity priced move rapidly).
Signal timing = alpha: Because the composite G-255 indicator has called every major turn on the exact day, systematic traders using the model capture nearly the full move rather than chasing after momentum or consensus flows.
Result: The G-255 framework delivers repeatable, rules-based alpha in both directional macro credit trades and relative-value micro trades, with historically zero false positives on major cycle turns since the model went live.
Model signals and daily updates are published in the "Systematic Trading" report on Substack.
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.