Download PDF US The US stock market closed the third week of April with marginal losses, as the first full week of earnings season ended. The main indexes ranged from -0.42% for the Nasdaq, to +0.58% for the Russell, while the CBOE Volatility Index hit its lowest since January 2022, Read more…
Download PDF Introduction Starting in 1992, a field of financial economics research emerged that has spewed out hundreds of so-called factors that help explain the “cross-section of expected returns”. Harvey and Liu (2019) [6] provide a taxonomy of some 400 different factors which they classify into 6 so-called “common” classes Read more…
Download PDF Introduction We have seen some of the unique trading instruments introduced by the crypto space in our last article, namely perpetual futures and inverse futures and options. Building on our knowledge from another prior article where we introduced cryptocurrencies, basic blockchain infrastructure, as well as some decentralized finance Read more…
Download PDF Introduction Straddling into earnings is a long-volatility trading strategy that consists of entering a long straddle position right before companies’ earnings announcements and closing it after the earnings are released. By buying a straddle before an earnings announcement, investors are betting that the stock will experience a large Read more…
Download PDF US The second week of April was again positive for the US stock market, with the main indexes ranging from +0.29% for the Nasdaq, to +1.52% for the Russell. The S&P 500 and the Nasdaq are now 18% and 25% off the October lows respectively, trusting the ability Read more…
Downlooad PDF Introduction Sweden has been widely regarded as a model for social welfare and economic prosperity, and its housing market, GDP, and inflation rates are key indicators of its economic stability. However, the Swedish housing market has been a source of concern in recent times, with some claiming that Read more…
Download PDF Introduction Transaction costs are a critical component of trading strategies, as they can have a significant impact on returns. Institutional investors need to be able to accurately model transaction costs to make informed decisions in backtesting and optimising their strategies. In this article, we will explore the various Read more…
Download PDF Introduction Global macro strategies, which aim to profit from economic and political trends across markets and asset classes, have been a staple of the investment world for decades. In recent times, these strategies have gained in popularity as investors seek to diversify their portfolios and take advantage of Read more…
Download PDF US The US stock market closed a very positive week with all the main indices gaining more than 3% from last Friday, bringing all indices positive YTD, with the Dow Jones and the Russel 3000 Value just entering positive territory for the year. The S&P and Nasdaq concluded Read more…
Download PDF What are 0DTEs? Zero Days to Expiry (0DTE) options are options that expire on the same day they are purchased; this gives them an unusually high amount of leverage that is hard to find anywhere else. Due to theta, the extrinsic value of an option declines exponentially as Read more…
Download PDF Context Markets witnessed the second largest bank collapse in US history since the fall of Lehman Brothers in 2008, as SVB was taken over by regulators on the 10th of March. Since March 2022, the FED has frenetically increased its target fund rate in an effort to tame Read more…
Download PDF Introduction When managing a portfolio, the fundamental problem is to find investments with excess risk-adjusted expected rates of return. Once the manager has identified some favourable opportunities and is ready to assemble the portfolio, they still need to decide how much capital, as a fraction of the value Read more…
Download PDF Introduction on recent market developments After a subdued performance of equities in 2022 (-18.01% dividends adjusted), January has seen a significant turning point for US equities, given the recent strong rally. This article will briefly summarize what happened in markets this last month, outlining the causes of the Read more…
Download PDF Introduction The following article will investigate the peculiar phenomenon of excess market returns that seem to accumulate before FOMC announcements and that can hold, depending on the announcement itself, for several days after the decision. The Federal Open Market Committee (FOMC) is the organ of the US Federal Read more…
Download PDF US Every major index in the US had a positive week after starting slow and rebounding in Thursday’s and Friday’s sessions. The NASDAQ Composite led the pack with a weekly growth of 2.58%, followed closely by the Russell 3000 Growth Index which enjoyed a WoW climb of 2.46%. Read more…