Hedge Funds Review
Banks pitch auto-resetting CSAs to cut leverage ratio and XVAs
Regular settlement of margin would reduce swaps' residual maturity
Alternative assets under administration fall – survey
But growth strong in private equity and real estate
Investors overlooking smart beta tracking errors, say experts
Few funds have tracking-error constraints, says risk institute
SEC’s fund leverage cap needs revising but the idea is sound
Simplicity is welcome – up to a point
Banks pushing Eurex to allow hedge funds into cleared repo
Prime brokers proposing to guarantee the performance of clients’ trades
Buy side turning to stress tests to manage liquidity
Asset managers look beyond quantitative metrics for hard-to-model risk
Managed futures funds outshine macro peers
Quant funds doing a better job interpreting drivers of rates and currency markets
Three ways to model liquidity risk
Deriving synthetic bid/ask spreads offers a new approach to a thorny problem
Buy side targets leverage cap in SEC derivatives plans
AQR says its managed futures fund could suffer larger drawdowns under new rule
Smaller firms get boost on timing for non-cleared margin
Counterparties will be able to offset extra collateral calls, says source close to EBA
Liquidity adds to institutional zest for hedge fund clones
Demand is high for alternative ETFs, despite underwhelming performance
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
Funds of hedge funds look to focus and diversify both at once
Concentration on largest holdings has grown but average holding size has shrunk
Buy-siders hope for late reprieve on margining for non-cleared swaps
National supervisors coming round to industry view on same-day settlement, say sources
Flexibility a sticking point in buy-side resolution stay protocol
Firms want a choice of the counterparties covered, regulators are opposed
Why feedback loops could tie regulators in knots
Growing awareness of endogenous risk raises difficult questions about too-big-to-fail approach
Why we should all long The Big Short
Hit film will allow more people to have an informed dialogue on regulation, free markets, finance and opportunity
Daily fund liquidity needs rethinking, say asset managers
Buy-side firms sceptical about liquidity metrics, but see need for fundamental change
Volcker rule didn't dry corporate bond liquidity, research says
When banks closed prop desks, market liquidity improved, academics claim
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Equity long/short inflows positive despite tough year for industry
Europe, Australasia, Far East drove long/short fund returns in 2015
Banks hold advantage in clearing contract talks
Buy side losing battle with prospective clearing members
Swing pricing requires changes to '40 Act regime – asset managers
US mutual fund processes need upgrading for SEC proposals to be viable, say asset managers
Prime alpha: separating skill from luck in asset management
Alternative way to judge manager performance provides useful tool for risk managers