Credit Stress (IEF/LQD)
Credit stress neutral: IEF/LQD z-score at +0.21σ
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Credit-spread risk gauge from the IEF/LQD ratio (Treasuries vs investment-grade corporates). Widening spreads (high z-score) are a risk-off warning that has led equity drawdowns; a low z-score = credit healthy / risk-on.
- 0 signals since 2003-01-01.
- Credit stress neutral: IEF/LQD z-score at +0.21σ
Credit Stress (z)
+0.21σ
-1..+2σ
IEF/LQD Ratio
0.8734
Treasuries / IG corp
Risk-On 1Y Med
+15.1%
87% win
As of
2026-09-29
When to run this study
Run daily. Gauges credit-market risk via the IEF/LQD ratio (Treasuries vs investment-grade corporates). A high positive z-score = credit spreads widening = risk-off warning (the COVID/2022/2025-tariff/2026-correction setup). A low/negative z-score = credit healthy = risk-on, which has more often preceded new highs.
Historical results
Forward SPY returns by credit-stress band
| Credit-Stress Band (IEF/LQD z) | N (days) | 1M Win% | 1M Med | 3M Win% | 3M Med | 6M Win% | 6M Med | 1Y Win% | 1Y Med |
|---|---|---|---|---|---|---|---|---|---|
| <=-1σ | 2031 | 68.80 | 1.49 | 78.50 | 3.94 | 82.30 | 8.01 | 87.40 | 15.05 |
| -1..+2σ | 2844 | 67.50 | 1.61 | 72 | 4.35 | 78.80 | 7.26 | 84.30 | 15.01 |
| >=+2σ | 448 | 60.50 | 1.88 | 60.50 | 2.39 | 47.10 | -1.36 | 60.70 | 6.91 |