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The Law of the Strongest

Asset Allocation, Nadège Dufossé, Macro
As we write these lines, the US market is approaching its historical peak, last reached in February 2025, and most asset classes have posted positive returns in local currency since the start of the year.
  • Research Paper, Fixed Income, Bob Maes, Philippe Dehoux

    Euro Swap Spreads : Unpacking Asset Classes

    You want to talk about euro swap spreads versus US swap spreads? We watch that, too. But to be honest, that graph is one of the last things we look at when managing euro fixed income aggregate portfolios. So if you want to see it, you’ll have to read all the rest of this page first.
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Research Paper, Alternative Investments, Johann Mauchand, Steeve Brument, CTA

CTAs throughout the business cycle : a form of economic rationality?

With the onset of the inflationary cycle and the change in central bank monetary policy, markets have entered a new paradigm, leaving investors uncertain as to the direction that markets will take next, and the timing of the transition into the next phase of the economic cycle.
Outlook 2023, Johann Mauchand, Steeve Brument, CTA

CTA's: "Ride of the Valkyries"

Hard landing or soft? From Draghi’s ‘’Whatever it takes” to Powell’s “Whatever it costs”, we know the markets are ready for exciting times. CTAs aim to face the next swing, whether it be hard landing or soft.
CTA, Alternative Investments, Asset Allocation, Johann Mauchand, Research Paper, Steeve Brument

Smile! CTA convexity is not lost…

If the smile measures how the portfolio value reacts to changes in the underlying markets, then maybe we should measure the smiles – and this is what our investment team has been doing.
Research Paper, CTA, Alternative Investments, Asset Allocation, Steeve Brument, Johann Mauchand

Interest rates go up

After several decades of riding a government bonds bull market, investors are now looking for alternative drivers of return. Commodity Trading Advisor (CTA) strategies, with their ability to make gains in rising, as well as falling markets, have historically been able to improve risk-adjusted returns when introduced to a balanced portfolio. However, a question that investors can legitimately ask today is how are CTAs impacted by rising interest rates?

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