Back in 2015, Marty Fridson, Chief Investment Officer at Lehmann, Livian, Fridson Advisors LLC, spoke with Barron's on the topic of high yield industries most sensitive to rising interest rates.

The Barron's article states that performance differences between industries make sense when you consider the dynamics of the particular industries. 

Fridson explained:

The historically observed relative performance makes intuitive sense for certain of these industries. For example, rising interest rates are often associated with rising inflation expectations, which would likely benefit materials producers such as mining companies. Banks are widely expected to get earnings relief from higher interest rates. On the other side of the ledger, rising interest rates would logically tend to hurt industries that sell to consumers on credit, such as automakers and department stores.

Today, the Fed is predicted to slow its planned interest rate hikes to help calm volatility in the current market. Under the influence of many contributing factors, the average yield on risky company bonds has climbed to 7.24 percent, based on AdvantageData's weighted yields by industry. 

Notably, junk bond yields have moved higher as Treasury rates have retreated. The wider spread shows that investors demand a bigger return in exchange for default risk in a market that continues to make people nervous.

Investors are also demanding more in return for buying the debt of highly rated companies as well due to growing concerns about the economy and the strength of quarterly earnings reports. 

Below is AdvantageData's Yields by Industry: (Market-Weighted) - North American High Yield list.