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Long gamma puts brakes on post-election US stock rally
Call selling by ETFs helped fuel largest net gamma positioning among dealers since July
BlackRock on how modern portfolio theory is misunderstood
Standard asset allocation is likely sub-optimal in a changing world, say strategists
Acadian model detects gaps between climate goals and reality
Quant shop builds tool for net-zero alignment assessment, using NLP and Bayesian models
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
FX options workflows need an overhaul, say buy-siders
FX Markets Europe: Traders say electronification of FX options is still lagging
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BlackRock preps managed futures ETF
Asset manager’s plans could open strategy to $400 billion-plus new asset pool
Critics warn against softening risk transfer rules for insurers
Proposal to cut capital for unfunded protection of loan books would create systemic risk, investors say
Robeco fires up AI thematic ETF
Firm’s large language models pick themes, categorise stocks, and choose winners and losers
Man Group airs climate allocation tool for real-world decarbonisation
Compass is a guide for steering $200 trillion investment toward decarbonising high-emission industries
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Credit
TwentyFour’s ABS chief on skirting ‘overbaked’ deals as issuance booms
Some new issuers are pricing tighter than is sensible, says Aza Teeuwen
Trillion-dollar basis trade will keep growing – asset managers
Treasury issuance, credit trades and repo stigma drive rise in futures use
Securitisation clears way for UK insurers to buy ground rents
Asset manager says booming sector will make up for falling demand from pensions
Legal & General to launch ABS funds amid rising pension demand
After 2022 gilt crisis, trustees and consultants turn to asset-backed securities to bolster portfolio liquidity and returns
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Pimco and Vanguard slash FX forwards trading with BNP Paribas
Counterparty Radar: French bank sees its notional volumes with mutual funds halve
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