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.
The surprise rate cut by Norges Bank and the Swiss National Bank’s return to a zero-policy rate triggered sharp moves at the front end of yield curves this week, as traders rapidly repriced easing expectations. In Norway, two-year yields dropped a not insignificant 10 basis points, while Swiss short rates compressed toward zero, flattening local […]
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 […]
Recent months have seen heightened volatility across financial markets, with riskier assets such as equities and corporate bonds bearing the brunt of the associated uncertainty. In times like these, investors increasingly turn to products that offer both diversification and downside protection. Ardea Investment Management’s Fixed Income Relative Value strategy is specifically designed to perform independently […]
On 20 May 2025, the Dutch Parliament narrowly rejected a proposal (73–72) that would have allowed individuals to vote on opting out of the country’s transition from Defined Benefit (DB) to Defined Contribution (DC) pensions. The proposal, backed by opposition parties, was not intended to stop the reform but to give individuals more choice. The […]
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.
