S&P 500
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
What’s so special about time series momentum?
We find that the buy-and-hold (B&H) strategy for the S&P 500 index (^GSPC) for January 1950–April 2019 had a significantly higher return than that produced by time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its…
Nasdaq retail rush powers intraday momentum trade
Options and ETFs give tech index new momentum, while S&P 500 sees higher levels of mean reversion
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
US election scenarios: meltdown fears if poll contested
Crowdsourced election scenarios show sharp falls and correlation breaks if Trump challenges results
Covid scenarios, pt II: apocalypse how?
Second crowdsourced scenario exercise reveals polarised views in equities and FX
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Q&A: Ron Dembo on crowd-spotting black swans
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments