All-Asset Volatility and the Opportunities in Convertible Bond Arbitrage

OpinioPro Selection
By November 14, 2022 07:48

All-Asset Volatility and the Opportunities in Convertible Bond Arbitrage

Do you know what the US 10-year yield will be in six months’ time? No, seriously. Tell us. We’d love to know. Ever since the Global Financial Crisis, low growth, low inflation and easy monetary policy have allowed investors to confidently predict the value of the US 10-year yield, which serves as proxy for the long-term cost of capital. If we know the US 10-year yield, we can make a rough but informed prediction about the price of other risk assets. Indeed, it is arguable that no other factor was as decisive in creating a decade long equity bull-market and perpetuating the 40-year bond bull market; with US 10-year yields at historic lows, it made perfect sense to be long risk assets at almost any price. 

OpinioPro Selection
By November 14, 2022 07:48

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