Volatility Review Monetizing the convexity risk premium, US structuredproduct dynamics, Positioning update Implied convexity continues to exhibit very high levels of stress and lags the recovery in other risk premia. We recommend monetizing this rich risk premium by selling Jun’21 variance swaps vs. buying 0.75x the vega notional in Jun’21 vol swaps on the S&P 500.Additionally, steep longer-dated skew and…
In the U.S. retail landscape, the strength seen this past holiday season continued into the first quarter of 2018....
Markets Are Discounting Machines.Financial markets look ahead and discount what humans often can’t see or even imagine. 2020 may...
In 2016, the Golden Capital Portfolio managed to achieve a 167% return on capital invested. Capital allocation was largely...
My wife’s great grandmother died this year aged 100. Ida Beckett, this is your life (in US stock returns):...
The best hedges are cash and time, which work in tandem! The answer to fear of downside risk is...
Some of the 21st century’s biggest breakthroughs are happening in health care, transforming the way we diagnose, treat and...
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