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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
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
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Quotes
The fundamental assumptions of the models need to be changed for the models to get better. The economics establishment is strongly resisting this
Doyne Farmer, University of Oxford
The asset manager pays commission to the dealer, which is perfectly legitimate. But some of those commission payments may get kicked back to the EMS and used to subsidise the cost of the technology the buy side is using. That’s an inducement
Trading technology expert
A black swan is an unexpected event. If you start by defining an event, and then ask experts how it impacts markets, your model doesn’t ‘find’ black swans. It is the input of the model, not the output
Chief risk officer at a large European asset manager
Editor's Choice
Investors at the gates: MMF reforms fail the Covid test
After MMF rescues return, regulators urged to rethink rules on gates and sponsor support
Big Figure
Short-lived success for short funds
It’s no surprise that dedicated short bias (DSB) funds performed spectacularly through the financial panic triggered by the coronavirus crisis. Most, though, gave up these gains in the weeks since the bear market’s nadir, and only a handful were up for the year by May 31. Risk Quantum analysed returns data on almost 27,000 US mutual and exchange-traded funds provided by Refinitiv Lipper. Between February 12 and March 23, at the height of the coronavirus panic, funds using a DSB strategy averaged a peak return of 83.43%. The average performance across all fund classifications was a -25.2% drawdown.
Read the full article7 days in 60 seconds
Covid capital, SA-CCR and problems with post-Libor protocol
The week on Risk.net, July 4-10, 2020
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Sometimes it’s fine to be boring
Scared of fallen angels? So are the rating agencies
Our Take
Libor deadlines – the dominoes start to fall
Full stream ahead for bonds