Latest on Investing
Ukraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
French resolution may lead EU to adopt US-style rules for PFOF
German and Czech proposals would also put kibosh on commission’s mooted ban on the practice
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Quotes
“Adding bitcoin, and more generally, a diversified basket of cryptocurrencies, to the investible universe of broad portfolios may be beneficial”
Artur Sepp, Signum Bank
“People who bought these in late 2021 did the most unbelievably perfect trade you could imagine”
Eric Barthe, Anova Partners, on volatility knockout options
There are elements that have to be in place for competition to work properly. In retail trading, I’m not sure those elements are in place
Terrance Odean, professor of finance, Berkeley
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Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
Big Figure
Low liquidity
By some metrics, liquidity is thinner today in key markets than ever. For the S&P Mini futures contract, liquidity on 55% of days in 2022 has qualified as “stretched”, according to quants at Societe Generale – a worse reading even than in 2008 when the figure was about 50%.
Read the full articleRegulation
CFTC chair defends under-fire crypto bill following FTX debacle
Proposed legislation addresses many of the issues that led to FTX’s failure, Behnam tells Congress
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