Credit Centric Alpha Portfolios
By Hugues Sauvé and Pierre-Philippe Ste-Marie
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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