Below is a total return graph for JPC, Nuveen's High yield convert ETF, from 2007 from Jan. 1, 2007) to present. Note the return is basically zero. I pulled 39 High Yield ETFs, and their average return from 2007 to present has been about 21% -- and is the same whether I equal-weight or value-weight them.
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Note these have a survivorship bias in them, in that I am not using all extant funds from 2007. The JPC benchmark, the Bloomberg Active Index for Corporate Preferred Funds, generates a similar 20% return over that period.
In contrast, the Merrill High Yield Master II shows a whopping 43% return over this period, twice what bonds with that moniker actually generated. The Merrill index is not tradeable, which is very important. The bid-ask spreads in junk bonds are very high -- often five points -- and indices don't internalize these. Also, if you are big, there's trade impact.
Academics might look at the Merrill index to estimate the return to junk bonds, but there's a 22% difference here, and that excludes all the survivorship biases in my comparison to actual funds.