US high-yield retail funds posted a blistering $5.04 billion outflow for the week to Aug. 31, after the funds shed $4.57 billion over the previous week, according to Lipper. It's the heaviest cumulative two-week outflow since early March 2020, when global markets recoiled at the onset of the pandemic.

The four-week rolling average dove deeper into the red at negative $2.03 billion, from negative $36 million through the week ended Aug. 24, and positive $2.31 billion for the four weeks to Aug. 17.

The late-summer fund exodus leaves the overall year-to-date outflow at $35.7 billion. That compares with a net outflow of $13.03 billion for all 2021, and a $38.3 billion inflow for all 2020.

No category was spared over the latest week, as mutual funds lost $2.83 billion, and $2.21 billion exited high-yield ETFs. For the year to date, outflows total just over $20 billion from mutual funds, and $15.6 billion from ETFs. In 2021, mutual funds saw $13.9 billion of outflows, while ETFs scraped out an $841 million net inflow for the year.

The value of the assets at the weekly reporters to Lipper have suffered big hits both from the back-to-back heavy outflows and down markets. The change in the asset values due to market conditions was negative $3 billion for the latest assessment period, on top of negative $3.7 billion change over the previous week. Against that backdrop, the value of the funds at the weekly reporters was down to $223.6 billion as of Aug. 31, from a 10-week high of $239.9 billion on Aug. 17, and versus the $282.4 billion level at the final reading of 2021.

That dramatic intramonth swing has left asset values near the $217.8 billion level recorded on June 29, 2022, which was a low since May 2020.

Rocky markets reflect rising Treasury rates and risk aversion in the face of a stridently hawkish Fed, which is playing out against light trading and shuttered primary markets at the tail-end of the summer. The price for the S&P U.S. High Yield Corporate Bond Index fell to 88.44% of par as of the Aug. 31 close, down more than 3.5 percentage points since Aug. 15. Over that same span, the index yield to worst swelled to 8.22% — up nearly a point from 7.26% on Aug. 15 — and the index option-adjusted spread gapped wider to T+457, from T+396.   

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This article originally appeared on PitchBook News