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Cross Assets Research

Scaling Razorbill Cross Assets Relative Value Strategy

By Pierre-Philippe Ste-Marie

This document explains how Razorbill Advisors plans on scaling its main alpha engine, the Cross Asset Relative Value (CARV) Strategy, across the spectrum of opportunities we identify as a function of AUM and risk profile. The analysis is based on the experience gained building a similar strategy from an initial $25M equivalent capital up to over $120M in AUM from 2003 to 2008.

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A Liquidity Analysis of CDS & Bonds

By Pierre-Philippe Ste-Marie and Robert Pinkerton

There are many discussions lately about fixed income OTC market liquidity but we saw very few backed by data. In doing this research we strive to understand how liquidity has evolved over the last 5 years, to figure out when did the liquidity regime changes happened, what is liquid and what isn’t and most importantly we strive to understand if the OTC market, particularly the CDS market, was still liquid enough for a strategy like our credit opportunity strategy to operate. This paper presents our conclusions and potential research extension.

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Razorbill Advisors Credit/Equity Relative Value Index

By Pierre-Philippe Ste-Marie

Razorbill Advisors has begun publishing internally developed relative value credit centric indices. These indices will be published every month and are published to provide an insight on our vision of the world. In our first set of indices we look at the relative value of credit markets with respect to equity markets in Canada and the United States. This paper is written with the objective of presenting the framework, explaining the index, its feature and its use.

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Canadian Fixed Income ETF landscape

By Robert Pinkerton

The first Canadian fixed income ETFs were created in 2000 by iShares. Since then ETFs have seen rapid growth which mostly began in 2008 with a rapid addition of issuers and products. Actively managed ETFs were created in 2010 and have been growing steadily since then. The goal of this research paper is to understand the growing and changing fixed income ETF landscape including real estate ETFs, issuers and their legal and operational structure.

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A Note on Canadian Preferred Shares

By Hugues Sauvé and Pierre-Philippe Ste-Marie

The recent selloff in part of the Canadian preferred share market has been exaggerated by retail overreaction and mispricing of inherent features. Therefore, it represents a very attractive trade opportunity. A taxable retail investor can expect up to 7% income equivalent with limited interest rate risk while investing in strong public entities.

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A Case Study on Canadian REITS Preferred Shares

By Hugues Sauvé and Pierre-Philippe Ste-Marie

This case study showcase Razorbill ability to rapidly evaluate fixed income securities. This case study is done on Riocan Real Estate Investment Trust Investment Trust Units (REI.PR.A CN).

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Credit Centric Alpha Portfolios

By Sylvain Crouzet and Hugues Sauvé

Credit-centric alpha portfolios have evolved rapidly in the last 15 years, with the introduction of credit derivatives at the turn of the 21th century and the quickly changing execution landscape after the 2008 credit crisis. Whether they derive from templates developed in other asset classes, or are tightly linked to the types of instruments involved in the credit markets, these portfolios have begun to attract considerable attention from the investment community as the volume in the underlying instruments has grown and the interesting risk-reward profile of the strategies has become better known.

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