Asset management
‘Stigma’ around some fund liquidity tools must end, say CROs
Fund managers are wary of using redemption gates and fees to manage outflows during crisis periods
CalSTRS CIO: new derivatives needed to hedge ESG risks
Second-largest US pension fund has also reduced fixed income allocation to 12% as rates have fallen
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
Rent-a-fund managers rebuff ‘misguided’ Esma criticism
Europe regulator warns of conflicts of interest between risk and portfolio managers in AIFMD delegation model
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
The changing shape of buy-side risk technology
Buy-side risk managers and FactSet’s global head of quantitative analytics gathered for a Risk.net webinar to discuss topical risk management trends for asset managers and to consider the industry challenges posed by the recent Covid‑19 pandemic
Alternative markets give edge to Florin Court strategy
By concentrating on exotic and alternative markets, Florin Court Capital Fund has sidestepped overcrowding and correlation to the main trend following commodity trading advisers, offering investors a diversified alternative to the standard systemic macro…
Covid-19 tumult prompts rethink of buy-side risk management
Buy-side risk survey: investment firms making changes to their risk reports, stress tests and concentration limits
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
AllianceBernstein’s CRO on managing risk with imagination
Buy-side risk survey: Andrew Chin suggests ripping up old assumptions and creating crisis ‘playbooks’
Continued change and volatility impacting Solvency II reporting
The capital impacts of Covid-19 mean increased Solvency II monitoring and reporting challenges for insurers. This is occurring against a backdrop of continued regulatory change. Faced with the evolving challenges of Solvency II, Refinitiv highlights why…
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Applying the scientific method to investing
The new field of experimental finance goes beyond backtesting
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
The scientists probing the human mind for an investing edge
Recent advances in behavioural finance could give rise to new quant models and strategies
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
Quants puzzle over how to handle negative oil prices
Firms are choosing to cut ‘outlier’ prices from data or to rely more on fundamental inputs