Nancy Zimmerman – People, Process, and Fixed Income Arbitrage at Bracebridge (EP.517)

Fixed income arbitrage relies on identifying inefficiencies between substantially similar instruments, a strategy that persists due to market segmentation, constrained economic agents, and the mechanical nature of passive index-driven investing. Nancy Zimmerman, co-founder of Bracebridge Capital, emphasizes that successful investing requires rigorous stress testing and a clear distinction between temporary drawdowns and permanent capital impairment. Navigating market crises demands liquidity, flexibility, and a team defined by curiosity and intellectual rigor. Rather than relying on macro predictions, the firm focuses on bottom-up analysis to capture alpha across developed market rates, structured credit, corporates, and emerging markets. By maintaining a process-oriented approach and aligning incentives with investors, the firm transforms complex, mispriced opportunities into diversified, uncorrelated return streams. This evolution from pricing individual securities to holistic portfolio construction highlights the enduring value of deep technical expertise and disciplined risk management in volatile environments.