Buy side
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Study warns against ignoring factors’ procyclicality
Common multi-factor strategies have hidden macroeconomic exposures, research shows
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
Another Brexit: UK heading for Solvency II risk margin fix
PRA to approve local cut to risk margin but implementation may be postponed until after March 2019
SEC liquidity rule delay a double-edged sword for asset managers
Some mutual funds say a staggered approach to implementation will add to their workload
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
European supervisors may step in over Priips confusion
Differences in how issuers disclose product costs harming comparability, observers say
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Ex-F1 strategist in driving seat at Schroders data unit
Mark Ainsworth on “turning data into alpha” at fundamental asset manager
Fixed-value euro money funds set to disappear
EC’s dim view of share destruction leaves stable euro fund values impossible with negative yields
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Forwards users unclear on status of EU’s margin regime
National regulators have not all taken public stance on pending postponement
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
Game of Sefs: Tradeweb topples Bloomberg
Buy side’s desire for lighter-touch trading of interest rate swaps propels Tradeweb to top spot by volume
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
1MDB looms large in Asian banks’ war on money laundering
Banks in Asia-Pacific spurred by tougher enforcement and stricter AML rules
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
Buy-side firms doubt SEC initiative will fix bond markets
Despite increased electronic trading, liquidity worsening in some corporate bonds