Indexes
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Corporate ‘greenium’ reveals effect of ESG rules on returns
Analysis of sustainable products shows how SFDR has caused a shift in investor behaviour, writes economist
CP+ unveiled: accurate, real-time pricing for global credit and rates markets
Bond markets lack transparency, making it difficult for investors to value bonds and compare prices. This can lead to overpaying or missed opportunities. CP+, a real-time pricing tool for bonds, addressees these challenges by offering data on more than…
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
Bloomberg to launch T+1 FX fixing
Index arm to offer benchmark for value tomorrow outrights that settle in line with new US securities timeline
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
The race to build hyper-personalised investing
Direct indexing is taking off, but how far can it scale?
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
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
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
TMX, CanDeal set to launch risk-free Canadian term rate
Forward-looking version of Corra will take over as official loan benchmark next year
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
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