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Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Low investment grade debt a staple of EU insurer portfolios
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
SEC revisits security-based swaps proposal
Sefs expect new trading rules for single-name CDS to be published “pretty soon”
Latest
Quotes
From a trading perspective, you’re trying to limit the amount of manual intervention at every phase of the order lifecycle
Ed Wicks, LGIM
At dinner and drinks that night, I did hear people bragging that they made 400 basis points selling into overnight repo
Head of a broker-dealer in New York
Every organization makes mistakes. We make mistakes, we have lots of errors, so one question is how do you uncover patterns in your errors that you might not see through the human eye
Andrew Chin, AllianceBernstein
Editor's Choice
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
Big Figure
The FICC of it
FICC has now ballooned into the biggest counterparty for money market fund cash. According to the Treasury’s Office of Financial Research (OFR), the FICC was counterparty to $190 billion in money market fund trades at the end of August – 24% of all volume at money market funds, up from a mere 2.3% two years ago. This dropped to $170 billion, or 22% of all money market lending, at the end of September.
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Comment
Credit data: sustainable companies are better credit risks
How collateral scarcity reshaped the US yield curve
Our Take
Quants bring ‘triptych’ of variables to risk measurement
Plumbing problems in the repo market