Model Portfolio | The Cost Of Carry

I absolutely loved Michael Lewis’s first book, “Liar’s Poker” (1989). It was ostensibly about the 1980’s bond market powerhouse Salomon Brothers and their mortgage-backed securities (MBS) business he dubbed “the fat men and their marvelous money machine”.

What goes unmentioned is that the big money was earned by the Arbitrage Group (Sali Arb). They coine…