: [
I currently intern at Boyd Watterson Asset Management. I am on the quant fixed income team. I have been involved in a few projects since I started, however, my main projects right now look into option adjusted spreads, their excess returns X months out, and their volatility. I conduct a hypothesis test and mathematically model the relationship between high spreads and excess returns. After identifying these optimal percentiles, we feed the results into our forecasting model that builds a monthly portfolio. There is a lot of backend code that went into finding these optimal points. Please note that most of the results I present below will be surface level due to obvious legal reasons. I understand if the graphs may be confusing and would love to hop on a call so I can discuss the meat and potatoes of what’s going on below.
],