Why a 30-year fixed-income arbitrage firm still finds mispricings everywhere

Key points

Key takeaways from Capital Allocators interview with Bracebridge Capital co-founder and managing partner Nancy Zimmerman (September ‎2026‎):

Crisis playbook. Every crisis teaches liquidity and flexibility to lean into dislocations you know well, and the key distinction between a drawdown and capital impairment — reinforced by good people with curiosity, bearings and rigor.

A Yale seed. Nancy founded Bracebridge in 1994 alongside Gabe Sunshine, seeded by David Swensen and Dean Takahashi at Yale; the mandate was uncorrelated fixed-income arbitrage, not rate bets, and the firm stayed the course for three decades.

Today's value proposition. A $13 billion asset manager delivering alpha-generating absolute returns uncorrelated to the level of rates, yield-curve shape, equities or currencies — a 20–30% sleeve that improves compounding across a diversified portfolio.

Four strategy engines. Developed-market rates (the oldest business), corporates, structured credit and emerging markets —“a gift that keeps giving” — each hunting inefficiencies between substantially-similar securities.

Why inefficiencies persist. Constrained agents, investor habitat, mandate narrowing, benchmark-driven passive investing, mechanically-created ETFs and backward-looking positively-correlated ratings keep producing mispricings; newness and crowding contribute too.

Process. Expert teams price every instrument bottom-up, source ideas, assess relative value, set position sizes and construct the portfolio around catalysts, holding periods and risk — with fluid risk management built on aggregating information across the book.

Hunting today. Mispricings across developed-market rates, structured credit, corporates and currencies, including a structural vacuum in duration demand left by the retreat of Japan, China and quantitative easing — alpha in a market many assume efficient.

Beyond the portfolio. Building and aligning the team and clients, investing in an unusual environment, and transferring investment knowledge to her work on the investment committee and brain science research at her alma mater, Brown University.

Read more: Capital Allocators with Ted Seides