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5Jul

A tailwind from dispersion

By |5 July 2021|Categories: Thought leadership|

The main success factor for a relative value strategy is the absolute level of spreads, and as discussed extensively in recent newsletters, the narrowing of value spreads which started in November 2020 is still intact and contributing positively to performance.

A secondary success factor is a high level of dispersion, or the degree to which individual names within the spread universe are moving independently. This is because dispersion helps to mitigate the impact of the inevitable periods of overall spread widening which occur from time to time. It allows rotation out of names which are narrowing against the trend, and into other names which are widening. (more…)

3Jun

The outlier rejoins the pack

By |3 June 2021|Categories: Thought leadership|

We have been writing for some time about the bottoming-out of the value factor which started in November 2020.

This trend has been observed globally and among the various markets of the Asia-Pacific region.

However, one market had been notably absent from the trend: (more…)

4Mar

Implications of bear steepening

By |4 March 2021|Categories: Thought leadership|

Interest rates are in focus, with long-term Treasury yields rising steadily, the curve steepening and implied volatility moving higher.

We have previously considered the effect of these trends on equity relative value performance. How about the impact on corporate merger activity? (more…)

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