This project analyzes cross-country sovereign yield curve dynamics to understand the emerging global rate divergence following the COVID-19 shock.
It was developed as part of a live research project with A Global Macro Fund.
The work focuses on the evolution of inflation processes, term premia, and macro shocks across the U.S., Euro Area, U.K., Japan, and China, with a view toward identifying actionable investment opportunities in rates markets.
- Macro Diagnostics: Growth, inflation, and monetary policy shifts post-2020.
- Yield Curve Analysis: Curve shapes, spread dynamics, and term premium decomposition.
- Event-Driven Impact Studies:
- 2021 Q2 Fed Rate Hike
- 2022 Russia-Ukraine War
- 2023 U.S. Refinancing Wave
- 2024 U.S. Presidential Election
- 2025 Germany Election
- Investment Implications: Cross-country relative value trades and curve strategies.
📄 Final Presentation Slide Deck
The slides summarize:
- Key macro and rates regime shifts.
- Cross-country curve decompositions.
- Event-driven curve and spread movements.
- Identified mispricings and trade ideas.
I'm an aspiring global macro investor, with a focus on cross-market rates dynamics, macro regime identification, and quantitative macro research.
This project reflects hands-on hedge fund experience translating macro trends into structured trade ideas.
- Real-time yield curve and spread monitoring.
- Scenario analysis for upcoming political and fiscal events.
- generalized rates trading idea generating process.