I've previously posted my broader thoughts on high yield (that there is typically limited to no benefit vs. a stock / bond allocation), but the below chart provides some additional context I thought worth sharing.
Starting Yield: Anchor and Cap for High Yield Returns
The left hand chart breaks out five year forward returns vs. various starting yield-to-worst "YTW" buckets of the Barclays High Yield index (along with what the average starting yield was for the index within that bucket over the time frame). It should be no surprise that the average starting yield anchors what the return will be (when yields are low, returns are low), while the right hand chart outlines the average underperformance vs. the starting yield has been roughly 2.0-2.5% / year, irrespective of the starting yield (high yield isn't called junk for nothing).
Stocks vs High Yield Performance at Various Yields
Both charts show that equity market performance is highly correlated with the credit premium; when the YTW of high yield bonds is high, it is highly likely that the equity premium is high too - leading to higher equity returns. On the other hand, when yields are low and the credit premium (as well as equity premium) is low, stock and high yield returns are more muted. However, the unlimited potential of stocks vs the capped upside of high yield at low rates has lead to consistent equity outperformance when yields are low, while high yield has performed exceptionally after yields were completely blown out (post the 2008/09 financial crisis).
At the current yield to worst of 7.6% and a spread of almost 6% to treasuries, we should expect returns to be no more than 4.5-5.5% over the next five years. Nothing special for the potential risk, but much better than the sub 5% yield we saw a bit more than a year ago.