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I'm not aware of any indices out there -- probably because the majority of
Wall Street views junk on a basis relationship to ten year treasuries. Back
in the late 80s, the financial futures group at Drexel Burnham was using a
combination of muni-bond futures and S&Ps to hedge junk portfolios. They
found a high enough correlation that they were able to sell the concept to a
fair number of insurance companies and S&Ls. If I were looking to track
junk over time, I'd look at the lowest cost fund as it will likely show the
least annual turnover. Does Vanguard have something to look at? I'll run
through my CSI database and see what's out there.
-Sean
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