Alpha
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Evaluating the performance of energy exchange-traded funds
The authors investigate the performance of energy exchange-traded funds between January 2000 and August 2022, finding a relatively high degree of correlation with the performance of US and global equities.
Smarter data: steering a course in volatile markets
Fixed income markets are entering a new era of turbulence. This paper outlines the challenges facing asset managers in this macro environment and how to overcome them through high-quality data and cutting-edge analytical tools that uncover alpha and…
ESG: the new risk factor in your portfolio
Risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and boost profit-and-loss margins
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Accelerating fixed income’s risk‑on rise
Jason Waight at MarketAxess reveals how advances in data and technology are enabling faster, more agile risk-on trading strategies in today’s fixed income markets
ETF provider of the year: Yuanta SITC
Asia Risk Awards 2020
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Lessons from the past – The evolving importance of historical tick data (Part I)
A recent Risk.net webinar in association with Refinitiv examined the opportunities and challenges for using historical tick data in today’s volatile markets. Panellists outlined the variety of ways the industry is harnessing historical tick data, but…
China Minsheng Bank MStar shines in volatile markets
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Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Lighting up the black box: a must for investors?
Many contend you must be able to interpret machine learning in order to use it
At Numerai, real-world figures need not apply
AI hedge fund CEO sees the light in black-box technology