Big Duration Short Delivers

Christopher Joye

Coolabah Capital

In The AFR I evaluate the "big interest rate duration short" and find that it has delivered in spades with the value of a AAA rated portfolio of Australian government bonds suffering a savage, two standard deviation plus loss of more than 2 percentage points (in total return terms) since the start of September as long-term rates embark on their journey towards normalistion---yes, it is actually happening. While on the subject of risk, I segue into the scandalous question of why neither APRA nor Treasury require Australian super funds to report any regular volatility or risk metrics at all---despite forcing workers to commit almost one-tenth of their income to super---and instead compel savers to predicate 100% of their performance evaluation exclusively on super funds' raw returns, which leads to skew-if asset-allocation that is biased to high returning sectors like equities and commercial property that have poor risk-adjusted performance characteristics (I've even included some subtle portfolio optimisation analysis for the technically minded). Free (VIEW LINK)


Christopher Joye
Portfolio Manager & Chief Investment Officer
Coolabah Capital

Chris co-founded Coolabah in 2011, which today runs $7 billion with a team of 33 executives focussed on generating credit alpha from mispricings across fixed-income markets. In 2019, Chris was selected as one of FE fundinfo’s Top 10 “Alpha...

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