18 December 2015 by lberuti
It is quite likely that this grapple does not exactly depicts what most investors wanted to see, as the dominant colour is a bright shade of red. Even taking the carry and roll down into account, given the magnitude of the moves in a number of sectors, the widening of the risk premia means that a static investment in credit lost money on many names. The default of ABGSM (Agengoa SA) towards the end of the year, the vicious widening of many names’ risk premia (metals, miners, PORTEL or RALFP to name a few in Europe, drillers in the US) was a stark reminder that when you invest in credit, you have to be very selective as there is definitely some asymmetry in this asset class. This note of caution will be our last contribution until the end of the year, and the teams of Hellebore Capital Management and Cleared Derivatives Solutions both wish you all a very merry Christmas!