Papers

Amundi Smith Breeden produces a variety of research material on monthly, quarterly, and annual cycles, some of which can include ad hoc research pieces or commentary on current economic or market conditions as they warrant.

Insight Newsletter:

Amundi Smith Breeden believes the appropriate sharing of research insights benefits the entire investment community. To that end, we produce a monthly newsletter, titled Insight. It includes detailed commentary from the firm’s strategists, featuring varying rotating topics, which have included the macro-economy, the yield curve, asset allocation, the MBS market, and the credit market. 

Click the link to download the latest Amundi Smith Breeden Monthly Newsletter - Insight.

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Fixed Income Minute Newsletter:

John Sprow, Senior Investment Specialist at Amundi Smith Breeden has developed deep investment and research experience over his 30 year career at the firm. In this series he shares brief educational pieces driven by specific client inquiries.

Click to download the latest Fixed Income Minute Newsletter.

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Latest Research:

Professor Douglas T. Breeden, Duke University, shares his findings and most recent views in a two part  article entitled, "Interest Rate Insurance Prices Implicit in Option Prices". 

Part 1

In the past two months, the U.S. economy first showed economic strength and several Federal Reserve Board members and Chair Yellen predicted an imminent rate hike, perhaps in June. Then on June 3rd, the May jobs report showed only 38,000 new jobs, well below expected, although the unemployment rate dropped to 4.7% and wage growth was strong. Fed Chair Yellen then said a June rate hike was off the table, though later in the year still likely. Rates in Japan and Germany are at historic lows, given heavy central bank stimulus. Interest rate options markets are pricing in more of a Goldilocks scenario for the long term.” 

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Part 2

Brexit worries have dominated headlines in the past few weeks, leading to a fall in the pound and to sharp declines in interest rates globally. Additionally, weak employment growth in the USA added to concerns and led to the Fed holding rates steady today. Recently, we show that fears of Brexit and uncertainty about its ramifications appear to have increased prices for insurance against low future rates more so in the Eurozone than in the UK. Eurozone insurance prices have declined for the normalization case of intermediate rates, while pricing is little changed for the tail risk of high rates 5-10 years out”. 

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The Reincarnation of Diversification

Co-authored by Pascal Blanqué, Chief Investment Officer, Amundi Group
"We explore the new environment, and suggest four sources of diversification beyond the traditional asset class approach– risk factors, currency, liquidity and time horizon." 

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