Relative value
Hedge fund surge in momentum EGB trading stirs unease
Dealers voice concerns that crowded positions could lead to liquidity squeezes following mass unwinds
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
Holes in the netting: the limits of CME-FICC cross-margin deal
Big margin savings for some, but more needed to ease pressure of UST clearing mandate
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Hedge fund of the year: Saba Capital Management
Risk Awards 2021: credit specialist proved its worth in the Covid crisis
Alternative markets give edge to Florin Court strategy
By concentrating on exotic and alternative markets, Florin Court Capital Fund has sidestepped overcrowding and correlation to the main trend following commodity trading advisers, offering investors a diversified alternative to the standard systemic macro…
Mariner’s CRO on avoiding predictable surprises
Buy-side risk survey: relative value specialist builds shocks into investment strategy
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Hedge funds levered up in 2018
Relative value funds have highest adjusted leverage, at 7,155%
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
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…
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
BlueMountain hunts for mispricings in rates markets
As QE rolls off, Colin Teichholtz sees rich pickings for relative-value fixed-income strategies
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes