Indexes
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
Barclays adds £984m to ETN snafu bill
Market sell-off in Q2 has increased cost of buying back notes mis-sold by the bank in 2019
Pimco, Western AM buttress sold index CDS positions
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
Trading strategies and weekly anomalies in the stock market: Mexico, Indonesia, Nigeria and Turkey
This paper explores the day-of-the-week impact and efficiency of the stock markets in Mexico, Indonesia, Nigeria and Turkey by using closing prices of a major index from each stock market.
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
US funds continue expansion of sold CDS protection
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Did COP26 deliver?
Jaspreet Duhra, S&P Dow Jones Indices (S&P DJI), explores the opportunities that came out of the 2021 UN Climate Change Conference in Glasgow, and why S&P DJI will continue to produce rules-based indices that align with a 1.5° Celsius scenario
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
The future of equity derivatives and perspectives for UK equities and dividends
In this webinar, three experts from FTSE Russell, Natixis and Eurex discuss the emerging equity derivatives landscape in the UK and Europe post-Covid recovery
After FTSE inclusion, China bonds still face CNY hedge hurdles
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
Correlation diversified passive portfolio strategy based on permutation of assets
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
A regulatory push is key for a post‑Libor world
An online webinar hosted by Tradeweb and convened by Asia Risk explores the importance of directives and timings being clearly laid out by regulators in the transition away from Libor
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
Page 19901: the benchmark that time forgot
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
Refuge of ‘chancers’: Spacs draw criticism from big investors
Poor disclosure, sub-par returns and share dilution are highlighted as risks of so-called ‘blank-cheque’ companies