Markets
How Digital Ledger Technology could become the new standard for Repo Markets
Introduction Download PDF Repos, or repurchase agreements are the pillars of the financial system, maintaining Read more…
Markets
Equity Risk Premium, a predictor of future returns?
Download PDF Introduction When investors decide to allocate their money in a risky investment, they demand higher expected returns than riskless investments. Thus, the expected return on every risky investment can be seen as the sum of the risk-free rate and a risk premium that compensates investors for bearing the Read more…
Markets
Market Recap 30/04/2023
Download PDF US The US stock market closed the month of April with the S&P posting monthly gains for the second month in a row, adding 0.87% for the week and 1.5% for the month. All US indexes closed the week in the green, with the only exception of the Read more…
Markets
Market recap 23/04/2023
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…
Markets
Is Research on Factor Models Reliable?
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…
Markets
Exploring Crypto Primitives II
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…
Markets
Straddling outside and into earnings: Part II
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…
Markets
Market recap 16/04/2023
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…
Markets
The Plunge of Sweden’s housing market
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…
Markets
Modelling Transaction Costs and Market Impact
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…
Markets
Macro Hedge Funds: Historical Overview and Recent Performance
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…
Markets
Market Recap 02/04/2023
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…
Markets
A Primer on 0DTE Options
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…
Markets
Market Recap 26/03/2023
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…
Markets
Exploring the Application of Kelly’s Criterion in Portfolio Optimization
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…