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Middle East crisis revives demand for VKOs – with a twist
Equity investors balance fear and optimism by pairing 2022’s best hedge with lookback options
In the age of GenAI, why do we still need good models?
Jean-Philippe Bouchaud says models can guide artificial intelligence through regime shifts and away from overfitting
Iran confusion makes the case for causal modelling
A new test model built using Claude suggests oil prices may surge back above $100
The MIT professor giving LLMs a ‘brain scan’
Hui Chen’s research is yielding new ways to interpret – and steer – AI models
How the Iran war wreaked havoc on consensus US rates trades
Hedge fund steepeners, swap spreads and vol-selling strategies were hit as conflict forced stop-outs during March
Featured
Valuing private equity analytically
A framework that includes liquidity and market completeness for PE valuation
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
Ellington spinout hopes to ease whole-loan investing
Data hurdles have frustrated insurers as they look to increase allocations
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
Inflation
Iran conflict squeezes hedge funds’ short inflation bets
Rising gas and oil prices have sent headline inflation soaring with some funds being stopped out
Citi launches core inflation QIS
Custom indexes eliminate energy and food prices to ease trading of stickier inflation trends
Sticky fears about sticky inflation
Risk.net survey finds investors are not yet ready to declare victory on inflation – with good reason
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Small bond fund breaks ranks with bumper sovereign CDS bets
Counterparty Radar: Boston Management and Research builds sizeable protection-heavy positions across narrower set of issuers
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