Articles by Faye Kilburn
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
Softened liquidity rule would still be ‘misguided’
Treasury proposals welcome, firms say, but watered-down SEC rule would leave risks unaddressed
AQR’s Cliff Asness: ‘machine learning worries me’
Leading quant cautious on machine learning’s use with limited data
‘We’re being fed a line’: investors vexed by central bank influence
Buy-siders say central bank communications policies broke link between markets and political risk
Liquidity snarls progress on factor investing in credit
Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Managers see danger in rise of mega funds
Institutionalisation of hedge funds could be adding to liquidity risk, managers say
Firms race to apply machine learning to liquidity risk models
As key regulatory deadline looms, US mutual funds are waiting to see if machine learning can enhance liquidity risk models
Bank-loan funds in the dark over liquidity rules
Haziness in SEC requirement on ‘highly liquid’ assets could leave funds open to litigation
Banks shelving alternative beta products at increasing pace
Data suggests overfitting partly to blame for mothballing of two in five strategies
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
BlackRock to use machine learning to gauge liquidity risk
Firm close to rolling out new models for redemption risk and market liquidity
Quants look to image recognition to process alternative data
Funds are using machine learning to screen alternative datasets more quickly
What the ‘tech wreck’ doesn’t tell us about systematic investing
June sell-off might reveal more about discretionary investors watching factors
SEC liquidity rules may trigger forced sales, funds warn
Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches
BlackRock’s Prager backs unified fixed-income trading concept
A single venue for trading bonds, ETFs and derivatives is 'on the drawing board'
SEC and CFTC will align on derivatives rules, Cox tells funds
Ex-SEC head says hedge funds should expect greater harmonisation between regulators
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts
Saba’s Weinstein: ETFs ‘destroy value’ in junk bonds
Hedge funds wary of high-yield bonds; blame ETFs for shrinking liquidity premium
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades