Hedge funds
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Transparency vs clarity: the Mifid swaps conundrum
Participants want better OTC transparency, but say Esma’s efforts at clarity could muddy the picture
Pricing data in fixed income markets – Is transparency truly an issue?
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explains how investment in commercial transparency solutions has proven itself in 2020, and why this leaves a question mark over the potential value of a centralised bond tape
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Esma’s move on hedge fund leverage worries industry
Critics say proposed guidelines rely on patchy data and inconsistent calculations
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale
Margin calls on eurozone funds rose fivefold in March
ECB data shows some funds faced liquidity squeeze as VM calls flooded in
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
The mysterious disappearance of a Chicago trading giant
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
Some quants fear more deleveraging to come
Buy-siders brace for further selling after hedge funds dumped risk in March
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments
Swaps exposures of US G-Sibs dropped 12% in Q4
Net current credit exposures hit $474.8 billion by year-end
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
Equity gains bolster EU hedge funds’ portfolios
Funds were net sellers of equities, but market gains added +10% to balance sheet values
Study finds ‘significant’ crowding in hedge funds
New research links herd investing to bigger drawdowns in stressed markets
Non-EU hedge funds stage surprise escape from SFTR
European Commission clarifies scope of reporting obligation that confused many in the industry