Markets
New inflation calculation clips buy side
Was it a rebasing of the European index, or just a change? Mismatch cost inflation receivers 16bp
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Start-up uses AI to zero in on US property deals
Team including former cyber intelligence agents builds model to target real estate transactions
China throws up challenges for alternative premia funds
Poor data, curbs on trading and regulatory change put a new spin on the investment approach
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
US Treasury won’t issue SOFR notes until at least 2020
Project Titan will delay issuance of floating rate Treasury notes linked to new reference rate
Weiss scraps bond strategy amid liquidity qualms
Buy-Side Risk USA: $1.6 billion manager says thinned-out markets make generating alpha hard
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
Asia ETF Forum 2018 special report
Since the launch of the first exchange-traded fund (ETF) on the Hong Kong Exchanges and Clearing (HKEX) in 1999, exchange-traded products (ETPs) have gained popularity as they become one of the fastest-growing investment products in the world. Hong Kong…
Libor fallbacks a low priority for most bond investors
However some securities shunned due to perceived weak legal safeguards
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
Banks concoct fixed income alternative premia 2.0
Fixed income was a rare winner in a terrible 2018 for alternative risk premia. More complex iterations are on the way
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
Asset managers brave patchy data to nowcast China’s GDP
Techniques include using many datasets, relying on proxies and continually reviewing models
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Functional programming reaches for stardom in finance
Fans highlight more reliable code, and suitability for complex tasks and distributed ledgers
Wall Street vets vie to be BlackRock of crypto
Fund launch uses fundamental analysis to identify value propositions in high-risk industry
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
CICC looks to China assets for alt risk premia boost
Source of diversification can be found in yuan-denominated assets, says fund’s quant head
CPI bonds set for growth, say dealers
Double issuance sparks hopes for inflation-linked swap market
London likely to lose all euro repo clearing business
Fear of post-Brexit curbs on clearing and netting concerns propel shift to eurozone