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Macro Voices
MacroVoices #393 Harley Bassman: Convexity Spells Opportunity
Sep 14, 2023
Convexity Maven Harley Bassman joins MacroVoices to discuss why traders who understand convexity are being rewarded. They also delve into topics such as inflation, bond market risks, Simplify Asset Management's new product, crude oil market developments, market trends, and the Fed's impact.
01:09:47
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Quick takeaways
- Investors can benefit from focusing on convexity-based trades in the current market.
- Inflation is inevitable due to increasing debt and limited options to manage it, and investors should seek investments with positive convexity.
Deep dives
The Opportunity in Convexity-Based Trades
Harley Bassman, known as the Convexity Maven, discusses the advantages of convexity-based trades in the current market. He highlights the imbalance between the risks and rewards of duration, credit, and convexity, and suggests that investors should focus on taking advantage of the overpriced volatility in interest rates. Bassman also explains how his strategy involves buying newly issued mortgage bonds with higher coupons to capture embedded optionality and generate better returns.
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