Indexes
Final FRTB tweak ‘will kill correlation trading’, say dealers
Some European banks plan to lobby ECB for relief when rules are transposed to local law
BMR needs tweaks, not overhaul – EC official
Upcoming review “will not look fundamentally at the scope” of the third-country regime
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
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…
Nowcasting can illuminate China’s macro scene
Nowcasting teams are proving a valuable tool for investors
CSOP to tap Chinese interest in quant with momentum index
Hong Kong asset manager plans to spin off products from recently launched cross-asset index
Shallow liquidity threatens Saron momentum
Swaps on Swiss Libor successor gain traction, but lack of cash products poses liquidity hurdle
Banks call for third-country benchmark fix as EC delays BMR
Two-year delay may open the door for rethink on local legal representation requirements and recognition options
Nikkei faces hurdles in EU benchmark registration
Brexit confusion forces Japan index provider to look beyond UK
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Fundamentals fuelling smart beta in China
As Chinese equity markets mature and become increasingly driven by fundamentals, the time is right for international investors to invest in smart beta strategies, say Vincent Yam, head of trading, and Weiwei Wang, senior derivatives trader at Guotai…
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
A pairwise local correlation model
In this paper, the authors develop a new local correlation model that uses a generic function 'g' to describe the correlation between all asset–asset pairs for a basket of underlyings.
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Investment product of the year: JP Morgan
Risk Awards 2019: JPM’s big February winner points way forward for investable indexes
Index provider of the year: ERI Scientific Beta
Risk Awards 2019: Clients are flocking to Edhec offshoot for its bookish approach
Innovation of the year, Asia: BOCI
Energy Risk Asia awards, 2018: Bank of China International launches first broad-based Chinese commodity index
Asia moves: SFC names new chairman, LCH hires regional head, and more
Latest job changes across industry
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Mattatia makes surprise move to MSCI
Former SG equity derivatives structurer was set to join BNP Paribas
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Does the impact of exchange-traded funds flows on commodities prices involve stockpiling as a signature? An empirical investigation
This paper examines the relation between the flows into the three main commodity index exchange-traded funds (ETFs) and the prices, inventory and term structure of four energy and twelve US-traded agricultural contracts.
South Korea prepares for EU benchmark equivalence
New regulatory framework aims to allow European firms to continue using local benchmarks