Episodes
Monday Jan 30, 2023
Quantative strategies for scenario analysis – Stacie Ware
Monday Jan 30, 2023
Monday Jan 30, 2023
Fixed income markets are off to a promising start this year after facing their worst-ever year on record in 2022. Last week, the 2 and 10-year Treasury notes fell to a four-month low following weaker economic data, and now all eyes will be on the Fed’s next rate move to see how it will impact bond yields once again. So, will rates remain elevated? And what are some scenarios at play in a higher rate environment? Joining us today to discuss scenario analysis across a range of fixed income sectors in 2023 is Fidelity Quantitative Analyst, Stacie Ware. Based in Fidelity’s fixed income headquarters in Merrimack, New Hampshire, Stacie works closely with the Tactical Bond, Core and Core Plus teams on asset allocation and risk management. In speaking with host Pamela Ritchie, Stacie shares how she and the team are constantly recalibrating models as more data comes in on inflation and other macro variables and projections. They use a propitiatory risk model with 5000 simulations conditioned on the VIX, both current and forward, which shows them how various models relate to future outcomes for Fidelity fixed income portfolios.
Recorded on January 25, 2023.
Transcript (PDF): https://www.fidelity.ca/content/dam/fidelity/en/documents/transcripts/transcript-podcast-fidelityconnects-ware-jan27-23.pdf
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