In February, RidgeWorth added Roche Holdings, the Swiss pharmaceutical giant. Keegan likes its strength in oncology and low patent-expiration ratio. "From a bondholder's perspective, the cash flow tends to be very stable, and you have very predictable servicing of debt," Keegan says. He bought the new debt at a spread of 345 basis points (or 3.45 percentage points) over 10-year Treasury yields.

In addition to Wal-Mart Stores, he also holds bonds of U.K.-based Tesco, the world's third-largest retailer after Wal-Mart and France's Carrefour.

As part of his retrenchment theme, Keegan recently bought Time Warner Cable, whose roster of subscribers grew in the first quarter. Keegan figures that even with less discretionary income, consumers won't fiddle with their TVs; they may even spend more on cable and less on going out.