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Q&A: Robert Litterman on the CFTC climate risk report
Chair of industry sub-committee – and famed quant – says carbon dividend plan essential to create right incentives
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
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Quotes
One of the strengths of pension funds is that they can be relatively illiquid and they are long-term investors, but if you have this huge derivatives book – and you have to clear it – then it makes you a short-term investor, because you have to keep so much in cash to meet variation margin calls
Arjen Pasma, PGGM
Even though I have over 22 years of experience in the industry, with every stress event I’ve learned something new. A good risk manager should always look at what has just happened and learn how to make things better
Nasreen Kasenally, UBS Asset Management
There is definitely support on the buy side for an increase in the range of transactions that will be subject to [Mifid’s] post-trade transparency
Adam Jacobs-Dean, Alternative Investment Management Association
Editor's Choice
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Big Figure
Hedge funds show thirst for liquidity
The eurozone’s hedge funds started redeploying liquidity over the three months to end-June, after their dash for cash in the first quarter. As of Q2, hedge funds held €97.4 billion ($115.3 billion) in cash and loans, down some 11% on Q1. At end-March, deposit and loan claims accounted for 20% of total hedge fund assets, their highest share at any time since at least 2008.
Read the full article7 days in 60 seconds
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
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Don’t blame HFT: plug liquidity gaps for market stability
Sometimes it’s fine to be boring
Our Take
Time to move on from mean-variance diversification
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