Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Traders eye dual digitals to cheapen up carry plays
A power law can fit the ATM skew, but struggles with short maturities
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introduction to these instruments and highlights their performance in recent market periods
The latest S&P Indices versus Active (SPIVA®) Scorecard provides an update on the active versus passive investment debate
Four-year-old Silicon Valley firm sees growing role for third parties as indexes become more complex
Four of the top 10 benchmarks in 2022 were based on the economic theories of prominent academics
Rob Arnott says investors can easily avoid hidden costs of traditional indexes
How well do actively managed equity funds stack up against their index benchmarks over short- and long-term periods?
Hong Kong warrants investors “will take time” to warm to new product, dealers say
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Market sell-off in Q2 has increased cost of buying back notes mis-sold by the bank in 2019
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
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.
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
After the quantitative investment strategies (QIS) sector saw big drawdowns in assets under management during 2020, Bank of America saw an opportunity to build out its QIS offering and defensive strategies based on over-the-counter rate volatility…
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time