Systematic Credit and Equity G-255 Trade Indicators for January 28, 2026
G-255 Specific Credit Sector Indicators January 28 – 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 (162 undervalued bonds worth $292 Bil in value; 91 long indicators).
Equity: Focus YoY operating cash flow growth — TMT, Healthcare, Consumer (45 undervalued equities worth $13.25T).
· Credit: 1,580 overvalued bonds ($2.67T market value; 1,319 short indicators) Big 6 banks remain the largest overvalued sector (305 overvalued bonds. $737 billion of market value, 305 short indicators.
· Equity: 15 overvalued issuers ($1.53T; 8 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.
1
G-255 Specific Bond Trading Indicators January 28
· Closed Positions: Deutsche Bank NY (Baa1/BBB) DB 4.95 08/04/31 reached its avoid trading level on Tuesday 1/13/26. 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.
· 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 Tuesday : The credit trading model adds RBC (RY Baa2/BBB) RY 6 ½ 05/24/2086 new issue long trade indicator.
Current Sample Systematic Basket Credit/Equity trades based on trading strategy January 26
Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – January 26, 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. In 2026: 8 out of 15 tightened by an average of -6.53 bp.
· Short Indicators (2025): 36 out of 45 widened by an average of +5.85 bp.
· Remaining Longs (2025): 14 positions tightened by -1.53 bp. (2026): 7 positions tightened by -1.96 bp.
· Remaining Shorts (2025): 9 positions tightened by -19.23 bp. (2026): 10 positions tightened by -1.73 bp.
· Average Spread Movement (2025): ±6.73 bp in the recommended direction. (2026): ±1.94 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).
2
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 January 28
· 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
· 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
· 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
3
Definitions:
· A G-255 "Highest rated" equity long must be trading -7.5% relative to its historic moving average.
Overall, the 30 highest-rated G-255 long positions have returned +0.47% in January.
Overall, the 7 highest-rated G-255 short positions have returned -0.29% in January.
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.
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.
·
Equity and Credit Trading and Sector Indicators and Tuesday Trading
Tuesday, January 27, 2026, Eight G-255 issuers reported earnings, alongside renewed geopolitical headlines involving the US dollar and trade sanctions/tariffs. We also saw longer-dated US Treasury yields move higher, while Citigroup and Royal Bank of Canada issued perpetual or perpetual-like subordinated debt and preferred stock ahead of the Federal Reserve meeting on Wednesday.
These developments are interconnected: the combination of earnings results and US consumer data continues to paint a weak picture for the US economy. Equity markets were bifurcated, with technology stocks rallying on Nvidia-related "broad infrastructure investment" headlines and Texas Instruments raising its 1Q 2026 guidance (potentially leading to positive year-over-year earnings growth), while G-255 equities remain fully overvalued—only 45 of 242 issuers are trading below attractive long entry levels. After the close, G-255 credit short indicators rose back above 1,300, even as US credit spreads were reported to have widened on the day.
4
G-255 Systematic Model Update: January 28 Trading and Earnings Reports
"Buy the dip" continues even when the underlying data is negative.
Headline market commentary such as "Stocks Close In on New Highs as Tech Leads Charge" and references to "exceptional economic strength" are increasingly disconnected from the numbers.
What Exceptional Strength, Where?
The Conference Board Consumer Confidence index fell to 84.5 in January (from 94.2 in December), marking an 11-year low, with the labor component weakening rapidly. This reading aligns closely with last Friday's University of Michigan survey at 56.7—well below its 40-year average of 84. Claims of a firming US consumer economy remain quantitatively unsupported.
Reported earnings from LVMH, UAL, AAL, ABT, JNJ, PG, CSX, UNP, UPS, and GM continue to show little to no unit volume growth or pricing power in the US economy. Adjustments, "six-month high" characterizations of deeply negative year-over-year consumer surveys (down 20% YoY and roughly 50% from historical norms), and other narrative framing do not alter this reality. Please see page 8 for more on LVMH
US equities increasingly trade on adjustments, hype, index flows, and derivatives rather than reported earnings. Should markets ever refocus on non-adjusted earnings results, the appropriate response would be: "Run, Forrest, run."
YoY weakness in survey data -50% from norm weakness doesn't indicate economic strength.
Texas Instrument TXN US equity
Yet another example last night: Texas Instruments rose 7% in pre-market trading despite reporting sales essentially in line with already low expectations and operating margins that continued to contract. The entire move was driven by the announcement that the newly created "data center" division grew 70% year-over-year—yet even with that growth, total company revenue remains on track to return only to 2022 levels by 2027, with net earnings likely 20% below the 2022 peak, confirming TXN is not a growth stock while the equity now trades at 9.3x 2025 revenue, richer than it was in 2022.
Key Trading Indicator Economic Results – Tuesday
G-255 Credit Market Valuation and New G – 255 Supply January 28, 2026 On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025
· US Credit Spreads reached their tightest point of the year on Monday, February 21, 2025, and widest on Tuesday, April 10, 2025.
We are no longer flat in terms of Credit Spreads YoY.
Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.
On Tuesday, four additional G-255 issuers brought $5.8 billion of new USD bonds to market (three banks and FedEx Freight, the pending spin-off trading under a FedEx guarantee until separation). The new FedEx Freight bonds, carrying the lowest investment-grade rating, priced well inside normal BBB- spreads.
5
Bank Subordinated Supply and Structural Considerations
We have participated in multiple discussions regarding the recent wave of new bank subordinated issuance. The G-255
market has seen several subordinated 15nc10 structures brought to market, raising questions about the structure and
relative attractiveness of these new bonds.
Quantitatively, over the past three years, subordinated 15nc10 (non-callable for 10 years) structures have generally
traded better—i.e., at tighter spreads and with stronger performance—than comparable 11nc10 subordinated issues.
Regarding the G-255 model's pricing view on the new Goldman Sachs (GS) subordinated 15nc10:
The model's assessment is driven primarily by supply-demand dynamics. Goldman Sachs currently maintains
meaningfully lower amount of subordinated debt in its holding company structure relative to the other Big 6 U.S.banks.
In light of evolving ratings agency treatment of subordinated debt, the observed 1.33x subordinated-to-senior credit
spread differential between the new GS 11nc10 senior and the 15nc10 subordinated tranches lacks quantitative
justification. As a result, the model's initial avoid-trading level for the new GS subordinated bond is set below UST +
110.
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, 1,055 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
6
G-255 Credit and Equity Market Indicators January 28
·
· Attractive Short Credit Indicators 1,316 (+44 from Tuesday and +150% above the 200-day moving average of all model short trade indicators). Short Credit Market Cap comprises 83% 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 13 of the first 16 trading days of 2026.
US equities are +.7% over the past month; US credit spreads are now materially tighter MOM
Systematic Equity Trading Indicators January 28
•
•
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.
7
G-255 Credit and Sector Indicators for "Long Only" trading strategies January 28
LVMH reported full-year 2025 revenue of €80.8 billion (down 5% reported year-over-year), generated strong operating free cash flow of €11.3 billion (up 8%), and proposed a dividend totaling €6.5 billion for an overall cash return to shareholders.
With no USD debt in circulation, the G – 255 LVMH equity indicator remains long at lower levels.
Weakness arose mainly from a slowdown in luxury demand since 2023, softer spending in key markets like China (affected by trade tensions and economic uncertainty) and the US (particularly for cognac), a decline in Europe during the second half, and adverse currency fluctuations that impacted tourist purchases and overall performance—
NextEra Energy reported full-year 2025 cash flow from operating activities of $12.48 billion, down from $13.26 billion in 2024, while fourth-quarter operating revenues rose 20.7% year-over-year to $6.5 billion, driven by increases at Florida Power & Light (up 10.8% to nearly $4.27 billion) and NextEra Energy Resources (up to $2.18 billion from $1.45 billion).
The company continues its cash dividend growth at roughly 10% annually through at least 2026 (based on the 2024 base), consistent with prior declarations such as the February 2025 quarterly dividend increase of approximately 10% versus the prior year.
G-255 trade indicators remain short credit (long FPL credit)/long equity.
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.