Dispersion
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Creaky credit sparks ‘high’ dispersion in CLO pricing
Investors are becoming more particular when it comes to tranches and managers
Dispersion trades are back after losing big in 2020
Bets on single-stock versus index volatility are “incredibly attractive by historical standards”
Asia’s private wealth giants shift gears to market-neutral
With interest rates low, structured product investors bypass capital-protected products for market-neutral strategies
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
The future of emerging markets – 30 years on from the launch of the MSCI Emerging Markets Index
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps