Indexes
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
Evolution of the fixed income tradable ecosystem
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
Active versus passive investment in declining markets
The latest S&P Indices versus Active (SPIVA®) Scorecard provides an update on the active versus passive investment debate
How MerQube sold Wall Street on open indexing relationships
Four-year-old Silicon Valley firm sees growing role for third parties as indexes become more complex
Brains beat backtests in a tough year for FIA indexes
Four of the top 10 benchmarks in 2022 were based on the economic theories of prominent academics
Smart beta pioneer looks to shake up cap-weighted indexes
Rob Arnott says investors can easily avoid hidden costs of traditional indexes
S&P Indices versus Active (SPIVA): institutional scorecard
How well do actively managed equity funds stack up against their index benchmarks over short- and long-term periods?
Bearish equities dampen China A-share warrants launch
Hong Kong warrants investors “will take time” to warm to new product, dealers say
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
QIS offering and defensive strategies on the Raven indexes
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…
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