Download PDF Introduction Merger Arbitrage tackle the potential of mergers and acquisitions (M&A) to yield returns irrespective of market conditions. By examining the transaction dynamics, we illustrate how arbitrageurs capitalize on the ‘deal spread’ – the difference between the current market price and the proposed acquisition price. As we navigate Read more…
Download PDF USA Despite a week marked by volatility in the markets, stocks closed higher, showcasing resilience amidst economic fluctuations. Notably, growth stocks surpassed value shares, contributing to the overall positive sentiment. Small-cap companies outshone their large-cap counterparts, propelling the Russell 2000 Index back into positive territory for the year-to-date Read more…
Download PDF Introduction In this article we present a systematic, factor-based approach to credit investing. Our aim is to give the reader a wholistic view of the process that brings to life a systematic investment strategy: from the collection of data, a non-trivial task within the credit space, to the Read more…
Download PDF Introduction Global economies faced a lot of growth pressure in the last two years arising from rising interest rates, increased inflation, geo-political tensions, and a slowdown in the Chinese property market. Some of these issues are likely to remain a key theme throughout the year. The monetary cycle Read more…
Download PDF USA This week in USA equities, the S&P500 closed 3% lower than last week but nonetheless still +4.73% YTD. The main take-aways from earnings season results released this week include Paramount Global and American Express Co emerging as top gainers, exhibiting the highest percent gains over a single Read more…
Download PDF Introduction Natural language processing has recently become a tool with great applications in finance. Companies like JPM, Deutsche Bank, Statestreet are using NLP software to extract alternative data such as social media platforms sentiment, extract key insights from research reports and even flag possible executive deception by analyzing Read more…
Download PDF Introduction The Japanese economy was a peculiar case in the last 50 years. From growing its GDP at 7% a year in the post-war boom period, after the 1990’s bubble, it sunk into a disastrous vicious cycle, made of negative growth, deflation, credit crunch, liquidity trap and a Read more…
Download PDF USA This week, U.S. financial markets faced mixed signals amid volatile inflation data and shifting expectations for Federal Reserve policy actions. The S&P 500 and the Dow Jones Industrial Average experienced fluctuations, closing down from their recent highs, reflecting investors’ reactions to economic indicators and central bank commentary. Read more…
Download PDF Introduction Feature engineering and selection are crucial for optimizing machine learning models. Through thoughtful feature engineering, models can capture essential insights from the data, which may otherwise remain hidden, thereby improving the predictive accuracy. On the other hand, effective feature selection reduces model complexity, which not only speeds Read more…
Download PDF Introduction Catastrophe bonds (CAT bonds), also called “Act-of-God” bonds, or “cat-in-the-box” bonds, have emerged as a compelling investment strategy, particularly highlighted by their performance in 2023, where they generated the best returns (+19.69%) of any alternative investment strategy, according to Preqin. These instruments are key for the insurance Read more…
Download PDF USA In a holiday-shortened week, the U.S. market exhibited strength as both the S&P 500 and Dow Jones reached record-high closing levels. With the S&P 500 closing at 5254 points, adding 0.4% and the Dow Jones closing at 39807 points, up 0.1%. This comes, after a better than Read more…
Download PDF Introduction “When I see a bubble forming, I rush in to buy, adding fuel to the fire.” This is a famous quote by George Soros. It probably inspired Jarrow and Kwok to write their paper, Inferring Financial Bubbles from Option Data where they attempt to take advantage of Read more…
Download PDF USA This has been a pretty volatile week for the US market. As in the past, this rally was majorly led by the tech sector. On Monday the S&P 500 reached a new all-time high of 5147 points but still closed the session in red with Apple losing Read more…
Download PDF Geopolitical Context The currently ongoing Red Sea Crisis, initiated as a reaction by the Houthi movement to the Israel-Palestine war, has greatly exacerbated Egypt’s ongoing political and economic turmoil. Most commercial shipping firms have announced their withdrawal from the Suez Canal. As recently as this week, the Houthis Read more…
Download PDF Introduction Following poor harvests in Africa due to bad weather throughout the year, hedge funds have been pouring money into the long trade since last year betting on a continued shortage of supply. Across the two cocoa futures contracts, London and New York, speculators have a total of Read more…