Recent Commentaries

A risk parity math refresher

After reinitiating risk party last week, I wanted to spend a few moments on the exact trade structure so as to avoid any confusion. In past years I have generally operated with a weighting of $100k per basis point of fixed income for every $100m in spoo notional. This...

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Spoos & 2s, with an extra helping of rouge

It has been just about 5 months since spoos first pushed above the 3000 level. At that point they were up about 20% year to date, while the blues were up about 9%. Together, our beloved spoos and blues had ripped a whooping 29% in the first 6 months of 2019. And even...

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