Credit Momentum Risk Premia

Trends in economic activity and default rates are causing trending in credit markets. Trending can start to accelerate strongly, particular when spreads move sharply in one direction. The strategy uses Credit Default Swaps on the CDX IG, CDX HY, iTraxx Main and iTraxx Crossover. The direction of the trend is determined by two signals, a medium term and a long term trend signal. The signals are applied on each instrument daily. A volatility targeting is carried out at an instrument and portfolio level.

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Future Value Capital LLP
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