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Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
Buy side hopes for best execution reporting carve-out
After EC exempts venues from best execution reporting, Aima hopes RTS 28 reports will be next
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
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Quotes
One of the challenges with the pure trend-following system is we often start with some pre-fixed time horizons and windows and ways that you define a trend. [So] you’re going to pick strategies and approaches that worked well in the past but may not be the best solution in the future
Kathryn Kaminski, AlphaSimplex
Prop shops think they’re above everyone. They say: ‘If you can’t give us razor-thin prices and the best terms, we’ll just go to the next person.’
Head of sales at a large clearing bank
The [ESG] data that is most important is unstructured. It’s more nuanced. It’s more specific
Peg DiOrio, Voya Investment Management
Editor's Choice
The scientists probing the human mind for an investing edge
Recent advances in behavioural finance could give rise to new quant models and strategies
Big Figure
Between BlackRock and a hard place
BlackRock mutual funds loaded with municipal debt have been slower to recover losses incurred over the first three months of the year than other fixed income funds sponsored by the asset management giant. Risk Quantum analysed the cumulative year-to-date returns of 30 fixed income mutual funds sold by BlackRock to institutions at March 31 and May 31. The average fund had returned -3.97% over the three months to end-March and -0.31% over the five months to end-May – a 366 basis point improvement in two months.
Read the full article7 days in 60 seconds
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25-31, 2020
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