Continuing our short series exploring how Solvency II (SII) applies to the use of derivatives within a pure relative value investment strategy, this third paper looks closely at their use under the classification of risk-mitigation.
As a firm specialising in managing pure relative value strategies, where derivatives play a central role, we are keen to open the conversation around how these instruments can be used effectively and prudently within the constraints of Solvency II (SII) through a short series of papers. In this second paper, we look closely at the Prudent Person Principle and employing derivatives in the context of Efficient Portfolio Management (EPM).
Sovereign green bonds are often assumed to trade richer than their conventional peers – a pricing effect known as the greenium.
Dr. Laura Ryan’s research challenges the belief that bonds must be negatively correlated with equities to reduce risk, showing instead that relative volatility matters more – even when correlation is positive.
Gilts were back in the market’s crosshairs this week, as a sudden repricing in UK government bonds reignited concerns around fiscal credibility and underscored the shifting structural risk profile of duration assets.
Over the next few months, we’ll be releasing a short series of papers exploring how Solvency II (SII) applies to the use of derivatives within a pure relative value investment strategy. This first paper lays the groundwork for the series by outlining how we understand the core principles of SII as they relate to derivatives in a pure RV context.
Japan’s 40-year government bond auction on 28 May 2025 recorded its weakest demand since July last year, with a bid-to-cover ratio of just 2.21. The soft result pushed the 40-year yield up to 3.375%, driving a significant steepening of the super-long end of the curve and highlighting the growing risk premia investors now require to […]
Ardea IM explore how relative value can add diversification to core investment grade credit portfolios by adding to relative value with uncorrelated returns and effective portfolio diversification.
Named after Janus, the Roman god often depicted with two faces (one that looks to the past and one to the future), January is the month of new beginnings. The month we put lessons from the past year into action and the month we navigate the economic predictions for the year ahead.
With Trump trades flooding the equity market in the run up to the US elections; a sell-off in the treasury markets since then; and Bitcoin hitting an all-time high this month, it is fair to say, that for some investors at least, the last few months have been a bare-knuckle roller-coaster ride.
