Articles by Rob Mannix
Saba picks a fight with BlackRock over closed-end funds
Hedge fund kicks off new proxy campaign with letters citing ‘gruesome’ losses
A student of Dr Doom says QE is here to stay
Salomon alumni Michael Howell says central banks can’t stop pumping liquidity
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
‘Spectacular’ vol disconnect ‘ominous’ for risk assets
Historic divergence has caught the eye of Boaz Weinstein and others
Smart beta pioneer looks to shake up cap-weighted indexes
Rob Arnott says investors can easily avoid hidden costs of traditional indexes
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
When markets offer lemons, Lynx makes lemonade
Swedish asset manager has had bumper year with trend-following platform tailored for troubled times
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto
Terrance Odean on the $2.8bn catch in zero-commission trading
Berkeley professor’s research on the true cost of retail trading has caught the eye of regulators
It’s amateur hour: how retail traders upended options market
Cutting-edge data shows non-professionals are driven by news events and desire to make a quick buck
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
This time’s no different: Robeco’s faith in 200-year backtests
Firm’s (very) long-term studies suggest factor strategies can soften hit from stagflation
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
JP Morgan quants are building deep hedging 2.0
New model uses Bellman technique to learn general derivatives hedging strategies
The stETH slide and what it means for crypto liquidity
Q&A: Automated market-making may have contributed to depegging, says a crypto fund manager
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism