US high-yield retail funds reported a substantial outflow for a third straight week, driving the four-week rolling average to its deepest reading in the red since February, per data from Lipper. The $2.28 billion outflow for the week to Sept. 7 built on a $9.6 billion cumulative outflow over the previous two weeks.

The $11.9 billion flowing out of the funds over the latest three weeks marks the heaviest outflow for any comparable period since March 2020. The exodus left the year-to-date net outflow from the weekly reporters to Lipper at $38 billion, on top of $13.03 billion outflow in 2021, and versus a $38.3 billion inflow in 2020.

The four-week rolling average, which incorporates a $1.5 billion inflow for the week to Aug. 17, moved to negative $2.6 billion, from negative $2 billion through the previous week, and versus a 2022 nadir for that metric of negative $3.1 billion for the four weeks to Feb. 16. Flows have swung dramatically from a four-week average of positive $2.3 billion on four consecutive weekly inflows through Aug. 17.

High-yield ETFs led the latest move as $1.6 billion left the funds, driving outflows from the category to $20.7 billion so far this year. Meantime. investors pulled $714 million from mutual funds for the week, increasing the category's net outflow in 2022 to $17.2 billion.

The value of the assets at the weekly reporters to Lipper declined for a third straight week, to $220.8 billion, from $239.9 billion at the Aug. 17 reading. The 2022 low is $217.8 billion, recorded on June 29, which compares with $282.4 billion at the final reading of 2021.

The rapid decline in fund valuations reflects both the three straight heavy fund redemptions, and four straight weeks of downside related to market-based losses. The change in fund values due to market conditions was negative $267 million net of the latest week, driving that metric to a cumulative $7.6 billion market-based loss over the last four weeks. Markets have now moved against high-yield fund assets to the tune of $27.4 billion so far in 2022, after a net $14.3 billion gain in 2021.

For reference, the price for the S&P US High Yield Corporate Bond Index was 88.15 as of the Sept. 7 close, down slightly from 88.44 a week earlier, and versus 91.38 on Aug. 17. The index yield to worst ticked higher by six bps over the latest week, to 8.28%, versus 7.42% on Aug. 17.

This article originally appeared on PitchBook News