Core Score: Turning Credit Insights into Potential Alpha

06 October 2026

1 min read

Historically, Returns Have Increased with Core Score

Average Monthly Excess Return vs. US Treasuries by Core-Score Quintile (Percent)

Historical analysis does not guarantee future results.
Investment-grade index represented by the Bloomberg US Credit Corporate Index. High-yield index represented by the Bloomberg High Yield Corporate Index. Quintiles, which are ranked from lowest (1) to highest (5) core score, are adjusted for credit quality and duration differences. Returns shown as excess return versus duration-matched Treasuries.
As of June 30, 2026
Source: Bloomberg and AllianceBernstein (AB)

Hand-picking individual securities from an enormous fixed-income universe can be inefficient. That’s why AB developed a dynamic credit scoring model known as core score, which ranks investment-grade and high-yield corporate bonds by their attractiveness. Portfolio managers use these rankings to make better-informed investment decisions. Since the model’s inception, core score has reliably predicted the relative performance tier into which bonds ultimately fell (Display).

During this time, bonds assigned lower core scores generated lower average excess returns in the subsequent month, while bonds assigned higher core scores generated higher excess returns. Investment-grade and high-yield bonds in the highest core-score quintile generated average monthly excess returns of 32 basis points and 45 basis points, respectively.

The views expressed herein do not constitute research, investment advice or trade recommendations, do not necessarily represent the views of all AB portfolio-management teams and are subject to change over time.

This is a marketing communication. This information is provided by AllianceBernstein (Luxembourg) S.à r.l. Société à responsabilité limitée, R.C.S. Luxembourg B 34 305, 2-4, rue Eugène Ruppert, L-2453 Luxembourg. Authorised in Luxembourg and regulated by the Commission de Surveillance du Secteur Financier (CSSF). It is provided for informational purposes only and does not constitute investment advice or an invitation to purchase any security or other investment. The views and opinions expressed are based on our internal forecasts and should not be relied upon as an indication of future market performance. The value of investments in any of the Funds can go down as well as up and investors may not get back the full amount invested. Past performance does not guarantee future results.

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