What's the Main Driver of Cross-Sectional Excess Return and Credit?

In this episode I chat with Greg Obenshain, Partner and Director of Credit at Verdad Capital. Prior to joining Verdad, Greg worked as the high-yield portfolio manager at Apollo Global Management and Stone Tower Capital.

Despite his background as a fundamental analyst, Greg is a quant convert. His ideas are still grounded in a strong fundamental understanding of what it means to invest in credit, but in a sector where even just acquiring data may be an edge, he lets the data speak for itself.

Greg argues that within credit, excess return comes from identifying improving and declining credit conditions. And, much like quantitative equity investing, there are certain characteristics that can provide insight into how those conditions might change.

We discuss the counter-intuitive findings the data has brought to light, what Greg thinks most credit investors get wrong, and how to grapple with the dimensionality problem of fixed income.

I hope you enjoy my conversation with Greg Obenshain.