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.
Dr Laura Ryan’s research challenges the traditional reliance on correlation for diversification, emphasising that relative volatility and volatility predictability are more critical metrics for effective risk reduction.
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.
A common theme in 2024 has been ongoing demand for corporate bonds. As to be expected, institutional investors have favoured higher quality investment grade bonds, but demand for sub-investment grade (high yield) and private credit has also been strong.
The saying that all good things must come to an end is a bittersweet reflection of reality.
Given the uncertainty created by a looming US election, interest rate expectations constantly readjusting and geopolitical risks, having additional sources of diversification in portfolios can provide protection during periods when volatility spikes and markets are stressed.
This month Gopi Karunakaran caught up with Hans Lee from Livewire Markets for a deep dive into the world of Relative Value investing.
