The fixed income market is an over the counter market fraught with risk: price obscurity, legal pitfalls and information asymmetries stack the odds significantly against inexperienced players. Yet, everyone needs access to it. With independence from sell-side ideas, strict attention to trade and legal details and strong relationships and reputation throughout the dealer community, we have the experience needed to source liquidity and execute efficiently.
Fixed income value investing signals are acquired from a well diversified and uncorrelated / uncrowded relative value platform run by Razorbill’s portfolio managers. We make use of fixed income arbitrage, capital structure arbitrage and long / short credit, a combination of strategies that scans across senorities, maturities and reference entities for value, and that has been successfully traded since 2003.
Our fixed income benchmark replication engine is built on proprietary stratified sampling and optimization to choose the best subset of obligations with the goal of maximizing liquidity levels and minimizing tracking error. Our data-mining technology allows us to screen market movements, index constituent changes, corporate actions and rating changes for the purpose of efficient replication and rebalancing.
Risk/return asset allocation is embedded through an extensive risk metrics platform made available intraday both to the portfolio managers and the risk management team. Our state-of-art live-fed toolbox cover scenario analysis, sensitivity measures and value at risk, both at the individual and portfolio levels.