Funds eye Eurostoxx 50 outperformance over credit

By Hazel Sheffield
14 Apr 2014

Hedge funds and asset managers are considering buying protection on the iTraxx Crossover, and going long the EuroStoxx 50 with a time horizon of six months, expecting stocks to outperform credit in the near term.

Raphael Dando, quant strategist at Société Générale in Paris, examined the roll-corrected time series, which corrects past spreads for mismatches of composition and maturity, and found that the Crossover has never been so tight. He estimated the compensation for expected default losses on Crossover names using Moody’s 12-month ...

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