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After last week's podcast hiatus, we're back to our regularly scheduled programming.

And we're back with more fixed income analysis.  This time, we're diving into credit timing using value signals.

Trying to identify "fair value" for credit spreads is no easy task.  Published literature traditionally tackles the problem one of three ways: (1) with an econometric model, (2) a derived Merton model, or (3) a statistical spread reversion model.

We opt for approach #3, but instead of looking at spreads, we evaluate the steepness of the credit curve.

We find tepid success in building a long/short portfolio.  Perhaps enough to warrant further interest in the signal, but not enough to warrant interest in the strategy (PDF).


🎧 LISTEN: Flirting with Models – Daniel Grioli – Thinking like a Fox (S2E1)
🎧 LISTEN: Masters in Business – Blackrock's Andrew Ang

Read of the Week
→ UPDATE: "In our tenth year of business, total combined assets under management and advisement have approximately doubled and late last year crossed above the $1 billion threshold (only to quickly dip back down below; thanks, Q4).  While we pause to celebrate these milestones, we also look toward the next decade. What are we trying to achieve?"  Newfound Q2 2019 Firm Update

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