Where we stand

We present an update of the value vs. growth draw-down chart featured in past newsletters. ... more

A resurgence of catalysts

The Ukraine conflict could have interesting implications for relative value (RV) strategies.

Historically, the worst period for RV strategy performance has been the low-yield, low-growth environment of the years between 2008 and 2020 (the shaded region in the figure below). By contrast, prior to 2008, when yields were higher, RV did well in both high-growth (1960s and 1980s) and low-growth (1970s) eras. It suggests that RV performance is more sensitive to yields than economic growth. ... more

Implications of bear steepening

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