Asset management
Rokos hires new risk chief
Gianluca Squassi is replacing Nick Howard as the $8 billion hedge fund’s CRO
Natixis creates model to ‘learn’ how factors interact
Random forest technique sheds light on flux in how factors mix, manager says
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Wall Street vets vie to be BlackRock of crypto
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
Honesty is key to machine learning’s future – Roberts
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Quants ‘running into walls’ with AI interpretability
Some firms “stumbling” with new technology, conference hears
Quants say big data is all buzz, no alpha
Efforts to extract alpha from alternative data have been “really unsuccessful”, says Domeyard’s Qi
Quants use AI to cut through murk of ‘sustainability’
Separating the wheat from the chaff is fundamental to ESG investing. Machine learning can do that
CICC looks to China assets for alt risk premia boost
Source of diversification can be found in yuan-denominated assets, says fund’s quant head
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
Factor timing: scant upside, big downside
Stock selection trounces “tempting” factor timing in study
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Malta’s crypto assets plan means greater AML risks, IMF warns
Authorities must rapidly improve AML regime and guarantee FSA’s independence, mission says
Solvency II special measures boost EU insurers’ capital ratios
Median insurer's SCR ratio would be 24 percentage points lower without LTG and transitional benefits
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
How quants at Value Partners pick Macau’s casino winners
Hotel data on ‘high rollers’ helps group make casino investment calls, as quant influence grows
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
The funhouse mirror of CLO equity hedges
CLO equity cannot be directly hedged, so people are buying approximations and hoping for the best
If CLO investors flee, defaults could snowball
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated