Author Archives: Win Smith

September in Paris

In a previous post, I described a paper on sovereign debt by Mattia Landoni (Cox School of Business – Southern Methodist University), Christopher Cameron (US Treasury), and me.  Our paper gives a simple way to relate debt management policies and … Continue reading

Posted in Bonds, Economics, Math | Tagged , , | Leave a comment

Talk on Alternative Factor Investing

QWAFAFEW* Denver meets September 12th with a discussion on alternative factor investing!   Please RSVP now. Event Details and Location: We will meet at the Cactus Club in Denver, located at 1621 Blake St, starting at 5:30pm. Our format will allow ample … Continue reading

Posted in Investments | Tagged , | Leave a comment

Bond Talk on May 23

‏If you’re in Denver on May 23 and you’re interested in the bond market, join us for a QWAFAFEW* talk: Predicting the Supply of Long-Term Bonds.  The talk will be based on a new paper by Mattia Landoni, Chris Cameron, … Continue reading

Posted in Bonds, Economics, Math | Tagged , , , , | Leave a comment

New Paper on Bond Portfolio Dynamics

  Mattia Landoni (SMU Cox School of Business) and I recently completed a paper on bond portfolio dynamics (now under review at an academic journal). We offer a new theory on the evolution of the maturity structures for rolling bond … Continue reading

Posted in Bonds, Economics, Math, Optimization | Tagged , , , | 2 Comments

Spam Followers

A wave of spam followers has hit this blog, so I removed the “follow” feature.  If you are sincerely interested in following this blog, please do so by contacting me.  Thank you.

Posted in Uncategorized | 2 Comments

The Invisible Run-Off

Today, the Alphaville section of the Financial Times published The invisible run-off, in which I discuss a new source of “quantitative tightening” that almost no one seems to have noticed.  I estimate that $350 billion of private funds will be … Continue reading

Posted in Bonds, Economics | Tagged , , , | Leave a comment

My Letter to the Wall Street Journal

The Wall Street Journal just published a letter of mine, Debt Bomb has Shorter Fuse Than Many Citizens Think (credit to them for the snappy title, and to my wife Corrina for invaluable editing).  I respond to the Journal’s recent editorial Obama’s … Continue reading

Posted in Bonds, Economics | Tagged , , | Leave a comment