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Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
To handle Covid-19 we need better data
Winton’s David Harding says unconscious bias in test data means epidemic is poorly understood
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Why aren’t our policy-makers sharing their models? We should not have to rely on leaks reported by the New York Times
Campbell Harvey, Duke University
We don’t care about interpretability
Ernest Chan, QTS Capital
One of the key functions of an algo is executing a trade over time, but with lots of volatility it becomes harder to make that strategy work
Forex head at a liquidity provider
Editor's Choice
Alt data lends a different light to coronavirus impact
Smog, traffic data – even movie rentals – help analysts track economic effects of virus
Big Figure
Viral index
Credit default index (CDX) traders swamped the market in high-yield (HY) and investment-grade contracts as the coronavirus crisis deepened, as weekly traded volumes quadruple multi-year averages. Weekly notional traded volumes in CDX HY contracts were $99.9 billion, $79.1 billion and $87.9 billion for the weeks ending March 1, 8 and 15, respectively, according to Depository Trust & Clearing Corporation data.
Read the full article7 days in 60 seconds
Pandemic disruption, alt data and Argentinian rates problems
The week on Risk.net, March 21–27, 2020
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Credit data: rising tide lifts fund houses – but can it last?
How diversifying too far weakened alt risk premia’s rebound
Our Take
Full stream ahead for bonds
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