Now you can compare (most of) the S&P 100 equity index with a corresponding index based on CDS market prices. From the WSJ:
Ratings agency Standard & Poor's Wednesday launched a new index to help investors compare the performance of the US equity- and credit derivatives markets. In fact, the agency has created three new indexes that will add to the benchmark CDX indexes already widely used in this $29 trillion market for insurance against default. The S&P US Investment Grade Index lists the 100 most liquid names in the CDS markets with top-shelf credit ratings. And the S&P CDS US High Yield Index references 80 companies with lower ratings. Each of these names will have equal weighting. But in a first for the credit default swaps market, S&P will also publish an index tracking credit risk premiums for companies listed on an equity index benchmark. The S&P 100 CDS Index tracks 80-90 of the most liquid names in the corresponding equity index, with matching weighting. They comprise the names with the most heavily traded credit default swaps. ... The S&P 100 CDS Index is the first tool that allows investors to directly compare risk premiums in the credit markets with stocks. That means investors now have a standard for comparing two markets that have attracted much controversy during this financial crisis, since they're heavily used to express negative views on companies. ... The indexes will be calculated at the end of each day, using CMA datavision as primary source of pricing.I'm not sure how the S&P US Investment Grade and High Yield indexes will distinguish themselves from the CDX Investment Grade and High Yield indexes (CDX.NA.IG and CDX.NA.HY). I'll have to look into that more.