Hedge funds
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
Hedge funds doubt tall tales around UK short-selling review
FCA has never used powers to ban short-selling, but reporting tweaks would be welcome
BoJ policy shift sends traders to hedge downside yen moves
Hedge funds and corporates rush to FX options following central bank move
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
Nasdaq takes aim at equity TRSs with bespoke futures
Can custom basket forwards convince buy-side firms to ditch bilateral swaps?
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
The statistics of capture ratios
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
LCH mulls FX spot clearing as buy-side demand grows
Anticipated ForexClear service could reduce funds’ reliance on prime broker credit lines
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Systematic hedge funds eye outsourcing to bank algos
Cost pressures encourage new stream of clients to pass FX algo trading to banks
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
LGIM blasts ‘dangerous’ netting of short positions on carbon emitters
Netting shorts on big polluters distracts investors from task of persuading firms to slow climate change
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Large vector autoregressive exogenous factor (VARX) model with network regularization
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.