The Credit Signal: Utilities Just Flipped the JOJO.Index to Credit-Off
Weekly read on the JOJO.Index credit signal: it moved to credit-off as high yield spreads rose 80 bps from their 12-month low.
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The Credit Signal is a weekly read on one question: is the equity market telling credit to get defensive? Data through Friday, 10/23/2026.
The signal this week: credit-off
The JOJO.Index asks one thing every week. Are utilities leading the S&P 500? If yes, it sits in long Treasuries. If no, it holds high yield.
Last week the answer changed. The index moved to credit-off, long Treasuries, for the first time since late July. Utilities are up 9.33% against the S&P 500 over the past four weeks.
What credit spreads are doing
High yield spreads hit 260 bps on Aug 28, a 12-month low. They were 340 bps on 10/22, up 80 bps in eight weeks. That is still below the 10-year average of 383, and still in the bottom quarter of readings since 1997. Spreads have started to move. They have not repriced.
From the backtest: the 2011 downgrade
Backtested, 7/22/2011 to 10/3/2011, the S&P 500 peak to trough around the US downgrade and the euro crisis: the S&P 500 fell 17.89%. High yield fell 9.78%. The JOJO.Index gained 18.09%, credit-off in 8 of 12 weeks. These results are backtested and hypothetical; the index launched 6/14/2021.
The live scorecard
Live record, total return: 1 week +1.61%, 1 month +0.44%, year to date -0.43%, 3 years +29.9%, since the June 2021 launch -7.8%. The live years have been harder than the backtest, mostly because 2022 hit long Treasuries, the defensive sleeve, harder than it hit high yield. The full table is below, good and bad.
The JOJO.Index is the ATAC Credit-On/Credit-Off Index, administered by MarketVector, launched 6/14/2021. Results before launch are backtested and hypothetical, not actual performance. Indexes are unmanaged, have no fees and cannot be invested in directly. Past performance does not guarantee future results. Regime history is a Lead-Lag estimate from daily index returns. Sources: MarketVector, Yahoo Finance, ICE BofA via FRED. Not investment advice.
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