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Fri, November 28, 2025

Systematic Credit and Equity G-255 Trade Indicators for November 28, 2025

Yes, I do sleep. In fact, I am headed to sleep after this is published.

My apologies for the sloppiness in Wednesday's report. Despite running the report through an edit check twice, there were several typos and missing words. I guess I didn't get enough sleep on Tuesday.

US risk markets certainly were not sleeping on Wednesday as trading capped an equity bounce and credit-spread tightening that left week-over-week results for both markets in the green.

If you've noticed larger movement in both long and short trade indicators in opposite directions over the past two weeks, it's not a mistake.

We've taken out the prior 52-week spread tights for two-thirds of the G-255 credit index since November 11, and over 30% of the G-255 equities have hit their 52-week lows in the past 90 days.

So, what does all that mean? The distance between peak equity price or credit spread and the trough equity price or credit spread is narrowing. The G-255 only creates long or short indicators when bonds or equities trade at an extreme relative to their 52-week trading history. With the distance between the peak and trough for those securities narrowing, we are seeing more rapid changes in long and short (not overvalued/undervalued) G-255 systematic trade indicators.

So, Friday's top G-255 data hierarchy for credit:

G-255 Credit and Equity Market Indicators November 28

  • Attractive Long Credit Indicators: 72 (-21 from Wednesday and -35% below the 200-day moving average of all long indicators). 12 long credit indicators are not included owing to underlying equity price declines of more than -10% in the past 30 calendar days.

  • Attractive Long Credit Market Cap accounts for: 33% of all undervalued Systematic Credit capital.

  • Attractive Short Credit Indicators: 668 (+153 from Wednesday and +30.5% above the 200-day moving average of all model short trade indicators).

  • Attractive Short Credit Market Cap accounts for: 45% of all overvalued Systematic Credit capital.

G-255 Credit Remains Fairly Valued Despite the 2-Day Increase in Short Indicators

  • 1,508 bonds ($2.3 trillion) are overvalued per the stochastic credit trading model, with 668 short trade indicators.

  • 668 bonds ($2.3 trillion) have short indicators and are overvalued per the stochastic credit trading model.

  • Attractive Short Credit Market Cap is $1.05 trillion.

What number gets us to short or long credit? A: 80% of all overvalued Systematic Credit capital.

Why No G-255 Australian Bank Bond Indicator Shorts in the Model Basket Trade?

We have yet to see any of the USD short indicators for the Aussie banks hit the Systematic trading model's minimum daily trading liquidity hurdle.

The Trading Model's Top Indicator For Friday, November 28

Was end-of-the-month trading actually on Tuesday? We won't know until we see the first hour of trading Friday. However, when trading volumes are -25% or more below normal, the model avoids adding risk. So, we will have to stick with a non-quantitative prediction for Friday. University of Illinois upsets UConn at the Garden this afternoon. No statistical bias there!

G-255 Credit Trading Sector Indicators and Wednesday Credit Trading

We saw a return to ETF credit inflows and tighter spreads week-over-week in both USD HY and IG credit. US equities are no longer slightly undervalued following Wednesday's move. However, the remaining long equity positions in the Systematic trading model are in names not typically at a valuation extreme enough to generate a fresh long trade indicator. G-255 equities significantly outperformed both large-cap US indices in November. Credit indicators were (slightly) undervalued for the first time since June, though only for one trading day. We need to see stronger and more sustained credit inflows to trigger meaningful indicator changes in the Systematic Trading Model's trade allocation for either credit or equities.

  • Top traded IG G – 255 issuer: Meta Platforms (Aa3/AA- Hold credit/long equity) (+1 to -2bp) Wednesday

  • Top Traded HY G – 255 issuer: CSC Holdings (CSHLD Caa1/CCC long credit) wider on Wednesday

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G-255 Credit Market Valuation and New G – 255 Supply November 28

Source: Bloomberg Capital Markets

"On a Risk/Reward basis, High Yield bonds have far outperformed Investment Grade in 2025"

"IG market has "given back" almost 70% of spread tightening since April 10, 2025, wide"

  • UST 10-Year Rates: -26.9bp YoY and -57.5bp YTD. February 21, 2025, was the tightest spread date of 2025.

Bloomberg 10Y credit spreads are derived by taking the Moody's index yield and subtracting the UST 10Y YTM.

Net inflows to ETFs totaled $15.5b in the week ended Nov. 25, 2025, including the effect of leveraged funds, compared with $6.36b the prior week

Government bond ETFs expanded by $2.69b to $6.98b

Broad bond-market ETFs expanded by $2.79b to $5.89b

  • Dedicated Investment Grade corporate bond ETFs had net inflow of +$621mm compared to -$335mm of outflow last week.

    • Dedicated High Yield corporate ETFs have net inflow of $1.14 billion compared to outflow of $-1.411 billion compared to last week

IShares 0-3 Month Treasury Bond ETF had the biggest inflow, of $2.26b

IShares 1-5 Year Investment Grade Corporate Bond ETF had the biggest outflow, of $505.8m

Thus far only 54% of the USD G-255 bonds issued in November have reached their avoid trading levels. The majority of the bank bonds issued in October are still outside the model's avoid levels where a minimum (-5bp if possible) spread tightening over the next month is expected to occur. 912 of 1069 bonds issued ($1.08 trillion) have reached their avoid trading level in 2025.

We will review the October/November new supply in the next G-255 new supply report.

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G-255 Credit and Equity Market Indicators November 28

  • Attractive Long Credit Indicators: 72, (-21 from Wednesday and -35% below the 200-day moving average of all long indicators). 12 long credit indicators are not included owing to the underlying equity price declines of more than -10% in the past 30 calendar days.

  • Attractive Long Credit Market Cap accounts for: 33% of all undervalued Systematic Credit capital.

  • Attractive Short Credit Indicators 668, (+153 from Wednesday and +30.5% above the 200-day moving average of all model short trade indicators).

  • Attractive Short Credit Market Cap accounts for: 45% of all overvalued Systematic Credit capital.

G-255 Equity Trade Indicators and US Equity Correlation to Overall US Credit Spreads

US equities and credit markets correlated directionally again Wednesday and have moved in the same direction as equities in 7 of the past 10 trading days.

  • US equities are now higher WoW; US credit markets are almost unchanged in the week ended November 26

  • US equities are -1% lower over the past month, US credit spreads are now just wider MoM.

2025 is on track for the second-weakest year in 32 for USD credit-equity correlated movement—historic 80% vs. ~74% this year.

Systematic Equity Trading Indicators November 28

• Attractive Long G-255 Equity Trade Indicators: 60 (includes both undervalued and equities priced at

extreme discount (-6 from Wednesday and roughly similar to the 200-day moving average of all long trade

indicators).

• Attractive Short Equity Trade Indicators 8, (Unchanged from Wednesday and -11% below the 200-day moving

average of all model short trade indicators).

  • For G-255 issuers, equity prices of the world's most indebted companies were +.93% Wednesday and +2.80% over the past week, while the S&P 500 rose +.69% Wednesday and 2.57% over the past week.

  • Why are G-255 equity issues outperforming the S&P and Dow? A: Over 30% of the 242 publicly traded G -255 equities have already reached their 2025 low price and 40% of the G-255 issuers are non – US corporates.

  • G-255 issuers are returning more capital to shareholders (via dividend growth and share repurchase) than S&P issuers as a whole.

  • Highest ranked equity long indicators on Friday:

Meta Platforms Inc (META) Mastercard Inc (MA) Comcast Corp (CMCSA)

G-255 issuer news Thursday

Petrobras (PETBRA Ba1/BB long credit/short equity) announced a 2% decrease in its next five-year investment

plan to $109 billion of which $10 billion will still need budget confirmation subject to a financing analysis. The rest is still under analysis "with a lower degree of maturity."

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G-255 Specific Credit Sector Indicators November 28

Long Opportunities: Focus on de-leveraging issuers, including Single A and BBB-rated TMT, UK Banks, US Regional Banks, and Floating Rate Notes.

  • Valuation Insight: The stochastic credit trading model identifies 284 undervalued bonds ($448.4 billion market

value), with 93 long trade indicators across the 6,000-bond USD universe.

  • At present only Single A rated TMT, BBB rated TMT, BB rated TMT and US Regional Bank sectors have 10+ long individual bond trade indicators.

Short Opportunities

  • 1,508 bonds ($2.3 trillion) are overvalued per the stochastic credit trading model, with 668 short trade indicators.

  • U.S. Big 6 Banks (all ratings): No longer a short indicator as of 10/22. +6 to +14 bp 9/22 – 10/22

  • Single A and BB Energy: No longer a short indicator as of 10/27. Bonds +6 to +14 bp 9/27 -10/27

  • Single A Healthcare: No longer a short indicator as of 10/22. Bonds +5.5 to +13 bp 9/22 – 10/22

  • Single A Industrials: No longer a short indicator as of 10/22. Bonds +6.5 to +15 bp 9/22 -10/22

  • Autos: 157 bonds ($168.2 billion) are overvalued, with 80 short trade indicators

Systematic Portfolio Daily Trading Model Indicators

  • Long Indicators: Target deleveraging new issues with attractive valuations, focusing on 5-year maturities.

  • Short Indicators: Target releveraging issuers trading at the deepest discount from their model avoid point, avoiding 7-year maturities due to low attractiveness.

  • 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 67.5% long position threshold is reached.

  • Current Status: Add new supply trades where the issuer is deleveraging; add new issue bonds where spreads widened by +2 basis points.

  • Current Status of Trading Indicators: Last week, one short trade and two long trades reached their avoid trading level. The trading model added three long indicators.

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 65% long hurdle, initiate short positions in releveraging issuers (avoiding 7-year maturities) at a 1:1 ratio for additional long positions.

  • Review: Reassess portfolio balance after today's 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 November 28

  • Closed Positions: The Cigna (Baa1/A-) CI 2.4 03/15/30 (short) and Amazon (A1/AA) AMZN 4.35 03/20/33 (long) both reached their avoid trading levels Wednesday November 19. The Truist Bank (Bank Sub A3/A-) TFC 2 ¼ 3/11/30 short trade indicator reached its avoid trading level on Friday November 21. The General Motors (Baa2/BBB) GM 3.6 06/21/30 short trade indicator reached its avoid trading level on Monday 11/24.

  • Enter New Longs: The trading model added Meta (AA3/ AA-) META 4 7/8 11/15/35 and META 5 1/2 11/15/45 new supply long trade indicators on 11/7. The new Amazon (A1/AA) AMZN 4.35 03/20/33 was added to the Model Trade on Monday 11/17.

  • Enter New Short Trades: The trading model added General Motors (Baa2/BBB) GM 3.6 06/21/30 as a short trade on Monday 11/17. The trading model added BP (A2/A) BPLN 4.893 09/11/33 as a short trade on Thursday 11/20, the Toyota (A2/A) TOYOTA 4.8 01/05/34 Friday 11/21 and the CVS (Baa3/BBB) CVS 1 3/4 08/21/30 on Monday 11/24

Current Sample Systematic Basket bond trades based on trading strategy November 26

Systematic Trading Indicators Wednesday: None.

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G-255 Credit Basket Trade Statistics

Wednesday's Basket Trade Long/Short Ratio: 70%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – November 26, 2025)

Performance Summary: Total Trades: 189 (1% of total trade indicators).

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.