Short-selling
SEC plans ‘pose reverse-engineering threat to quant funds’
Managers say proposed disclosure rules would lead to less efficient markets
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
Clock ticking on UK plan for regulatory reforms
Changes to SMCR and short-selling rules least likely to be completed before next election
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
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
China structured products could surge after QFII relaxation
Changes to market access scheme allow new hedging methods, but detailed guidelines still pending
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Mifid redux? Esma insists on LEIs for repo collateral
Mifid-style ruling will bar firms from using securities without identifiers in financing transactions
No alpha in hedge funds’ average short positions – research
A strategy betting against low conviction shorts beat a benchmark model by 6% in back tests
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
VAR restrictions ‘will hit returns’ for sophisticated traders
VAR cap can be even more constraining than a short-selling ban, researchers find
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
Long/short return calculations can ignore effect of leverage
Net exposure should be smaller than long exposure, not larger, says academic
Risk USA: Buy-side firms rail against European short-selling bans
Rule changes have forced firms – including DE Shaw – to stop trading some equities and credit default swaps
EU short-selling ban hits liquidity, hikes uncertainty
Liquidity drained from the sovereign CDS market before the ban took hold this morning – and market-makers are still unsure what they can and cannot do
UBS Securities fined $8 million for inaccurate recording practices
UBS Securities has been fined $8 million by the SEC for inaccurately recording 'locates' information
Dealers predict CVA-CDS loop will create sovereign volatility
A recipe for disaster?
Finra fines UBS $12 million for failing to adequately supervise short sales
Fine from Finra is latest indicator of UBS's control and supervisory issues
Regulatory experts say EU's naked CDS ban is ill-judged
The new rules are "another instance of the authorities blaming the wrong people and imposing the wrong policies", says Cass's Ian Marsh
Short-selling bans spark confusion over index trades and extraterritoriality
Dealers say volumes have been light as market participants try to work out scope of bans – with confusion arising on index trades and the geographic reach of the rules