Hedge funds
LCH mulls FX spot clearing as buy-side demand grows
Anticipated ForexClear service could reduce funds’ reliance on prime broker credit lines
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Systematic hedge funds eye outsourcing to bank algos
Cost pressures encourage new stream of clients to pass FX algo trading to banks
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
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
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Large vector autoregressive exogenous factor (VARX) model with network regularization
In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
SEC rule could stop pension funds investing in hedge funds
Hedge funds need to hold insurance to win US pension plan money. New rules would make cover too dear
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
New rules could see hedge funds sued for ‘doing a good job’
SEC proposal would make it easier for investors to sue hedge funds than mutual funds for negligence
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
Ignoring climate risk helps Crispin Odey hedge fund jump 30%
Odey Asset Management profits from buying energy stocks shunned by investors averse to climate risk
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Bank risk manager of the year: Deutsche Bank
Risk Awards 2022: Seasoned risk team put on a masterclass in how to manage margin risks
SEC outdoes Europe on hedge fund, private equity disclosures
US to ban preferential treatment and introduce quarterly performance updates in rule shake-up
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year