The current crisis in historical perspective

This short post is primarily to give links to three excellent articles on macro economics by Ray Dalio, founder of Bridgewater. The first, a 'template for understanding' how economies work, is better than anything I have ever seen in introductory books on economics. The other two articles take a closer look at the dynamics of debt and … Continue reading The current crisis in historical perspective

Fixed-income investment strategies in the age of the New Normal

I came across an interesting presentation given by one of the senior members of PIMCO UK, a chap called Mike Amey. Click here to see it (a PDF). What I especially like about this presentation is that it covers a lot of the main topics that I hear investors discussing at the moment, ranging from … Continue reading Fixed-income investment strategies in the age of the New Normal

Everything you wanted to know about Repo but were afraid to ask

Well the title is a bit of an overstatement! This post is actually just a short note with a link to a document which covers the concept of specialness in the repo market, and which is actually a good description of the repo market as a whole. Such things are hard to find, you know. … Continue reading Everything you wanted to know about Repo but were afraid to ask

Facts, rules of thumb, and intuition for swap spreads

The N-year swap spread is defined as: N-yr swap spread := N-yr swap rate - N-yr government bond yield. Since most quants spend much less time on the bond market than on the swaps market,  they often don't come to appreciate the central importance of the swap spread. Here is an unordered list of why … Continue reading Facts, rules of thumb, and intuition for swap spreads