Credit Carry Risk Premia

The Credit Carry Risk Premia Strategy captures the spread between High Yield and Investment Grade credit indices. Historically, this spread has been positive. Furthermore, a long position in HY Credit has offered better risk-adjusted returns than a long position in IG Credit. The strategy takes a long position in HY credit indices and a beta-adjusted short position in IG credit indices which provides a positive carry with a lower volatility than a long/short position with equal notional. To protect the portfolio from losses during a spread-widening environment, the beta is adjusted dynamically.

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