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The Hidden Risks of Low Volatility

  Volatility…. a market like no other, with sellers and no buyers. The most interesting market of all. The most educational market of all.     Yes, the realized volatility saw historical lows in July in many asset classes. This […]

Portfolio De-Risking: Negative Duration

  We described in “Non Beta Investing: the Ugly Duck. For now.“, how the big hands of central banks, as well as the big but weak hands of mammoth – compared to their target markets – ETFs and mutual funds […]

Non Beta Investing: the Ugly Duckling. For now.

In the past several months the global search for income and carry has reached not only a monumental level but also a dizzying speed. A good example is Switzerland, where in July the government bonds under 48 years maturity had […]

Sophisticated Bad Habits in Portfolio Construction – Rolling Beta

In the first post of the series: “Sophisticated Bad Habits,” in which biases and dogmas in portfolio construction are examined critically, Sorina Zahan tackles rolling beta – a purportedly sophisticated risk metric that, in fact, is deeply flawed. The following […]

Distressed cycles, energy, economy, and other unknowns

Macroeconomics is an inexact science and credit cycles are never the same. Therefore,  how could one think about the future when the habitual assumption that tomorrow will be much like today seems  (and is) more unreasonable than usual?  This is […]

Notes on emerging markets and market liquidity

Notes on emerging markets and market liquidity September – 2015 Emerging markets form an important area of interest for us. We find these markets at the center of a very explosive cocktail[1]. The ingredient list could cover a page in […]

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