Hedge funds
Amundi, Axa urge boardroom pay cuts for climate laggards
Link remuneration to carbon-emission goals and companies will get serious, say large investors
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
Two Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
How to trade like the investor who made $1bn in a day
Mark Spitznagel won’t reveal how he made a 4,144% return, but he does discard plenty of rival trades
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
After Archegos, prime brokers put the squeeze on hedge funds
Hedge funds are told they will need to pay more margin, more frequently, to back their trades
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
JP Morgan warns hedge funds to expect intraday margin calls
US bank may demand variation margin ‘up to seven’ times a day after Archegos default
EC drafting proposal for derivatives consolidated tape
Commission official says beta version ready for testing in 2023 will also include equities, bonds and ETFs
Margin matters – A smarter approach to margin risk
Michael Hollingsworth, head of financial risk analytics in the Data and Access Solutions division at Cboe Global Markets, reveals how trading firms are calculating margin in real time to manage pre- and post-trade risk and end-of-day clearing-house…
Hedge funds and the rebound in collateral velocity
Reuse rate of collateral points to growing fragility and interconnectedness in financial markets
Trouble in the family: regulators’ options after Archegos
What rule changes are needed in response to the messy collapse of Bill Hwang’s firm?
Could an Archegos blindside banks in Europe? Not really
Archegos’ banks were burnt by its hidden US swaps – in much of Europe, they would have to be public
Credit Suisse and the Wild West of synthetic prime brokerage
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
Who wants to buy US Treasuries?
Federal Reserve’s journey to tapering will be paved with volatility and weaker demand
Credit Suisse held just 10% margin against Archegos book
Swiss bank gave family office 10 times leverage, compared with four or five times at Goldman
After Archegos, Credit Suisse clients tap rivals for clearing
Swiss bank is said to have lost clearing business amid uncertainty over its future
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
The price of liquidity in the reinsurance of fund returns
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed