12. The performance varies greatly across fallen angels, so there are no clear decision rules as to the best time to sell them. However, there is an overall improvement in the risk-adjusted forward performance of fallen angels as the permitted holding period is increased.

13. See: Kwok Yuen Ng and Bruce D. Phelps, “Capturing the Credit-Spread Premium,” Financial Analysts Journal, 67:3 (2011), pp. 63–75.