Hi Marten, yes there is some acadamic and some sell-side research inside. True.
I don't adjust my backtest since 2021 to be honest so I can share it immediately (if I have time I can update the piece).
The scope of the piece was to show some of the driver of the market and while not to be used systematically for trading, I prefer to have a systematic process.
I'd be interested in a post on your credit research approach. You shared here how you partially analyze the macro. How about the micro?!?!
Basically my focus on credit (where my job started) was always based on a fusion of top to bottom-up
Chosing the beta (macro), the sector rotation and at the end the name analysis.
Btw It is my intention making a piece about that (what are the voice of BS, IS and CF that I look usually).
That One above Is not me.. don’t message other people and signal him
awesome, appreciate
Great! Learned a lot for Rates. You have a similar framework for corp RV that you’re willing to share? Appreciate your open work! Thanks
For corporate I have a fusione approach (from macro to micro).
1 choice of the beta to use and of asset classes (senior, sub, rating, etc)
2 sector choices (similar ranking style here)
3 relative value for each sector using fundamentals and valuation
In the next week I ll share something about this
Great! Looking very much forward to this too!
Very interesting, thanks for sharing! How often do you update it?
The data are all on a daily base (so you can look at it every day). In the version with back test it is on a monthly base.
Very interesting, and I recognize a lot from research/academic papers. Are you willing to share your backtests results?
Hi Marten, yes there is some acadamic and some sell-side research inside. True.
I don't adjust my backtest since 2021 to be honest so I can share it immediately (if I have time I can update the piece).
The scope of the piece was to show some of the driver of the market and while not to be used systematically for trading, I prefer to have a systematic process.