Download PDF Introduction The reopening of China’s economy in 2023 has been welcomed with optimism and anticipation as it offers a potential return to pre-pandemic growth. The Chinese government’s decision to reopen has led to an increase in the prices of many assets related to the country and has spurred Read more…
Download PDF US The main driver of US market returns this week was the U.S. core personal consumption expenditures price index that surged to 0.6% MoM in January far higher than the 0.4% expected and double the previous months. The year-on-year increase was revised higher to 4.7% compared to the Read more…
Download PDF Introduction While interest rates were still stuck at historic lows in Europe, news broke in June 2022 that Credit Suisse was about to issue a contingent convertible bond at a yield level of close to 10%. The peculiarity with this type of security is that it is converted Read more…
Download PDF Introduction Recently, the governments of Argentina and Brazil announced that they are considering the launch of a common currency and are aiming for stronger monetary and economic integration in South America. Furthermore, some of the biggest events in Europe in the last decade included the Euro Crisis and the Read more…
Download PDF US Equities started off the week strong, with most major indexes surging, in anticipation of Tuesday’s CPI report, where inflation slowed ever so slightly to 6.4% from 6.5% in December, less than market forecasts of 6.2%. The inflation reading was the first to be calculated by the Bureau Read more…
Download PDF Introduction In this article, we discuss an equity Pairs Trading strategy using the S&P 500 index components. Pairs Trading is a statistical arbitrage strategy that involves simultaneously taking long and short positions in two financial assets, expecting their spread to converge to the mean. However, the process of Read more…
Download PDF In the past few years, cryptocurrencies have made the headlines on many different occasions and many think that they are here to stay, for better or worse. Regardless of their social impact, we believe that they have introduced interesting contrasts to traditional finance in their market microstructures. In Read more…
Download PDF Introduction A yield curve depicts the returns of fixed income securities against their term, or time to maturity. In this article, we explain the role that the discount function and forward rates have in the creation of a yield curve and compare different methodologies to fit the yield Read more…
Download PDF US The week started off with a substantial drop in the DOW Jones Index during the last hour of trading on Monday amid worries around commentary by Fed officials and reports of protests spreading in China. These worries were the main drivers of Tuesday’s markets as well with Read more…
Download PDF US On Thursday, and parts of Friday, US markets were closed due to Thanksgiving. This was the driving force behind the lack of liquidity and uneventfulness of the week in both the primary and secondary markets. The Nasdaq and the Russell 3000 Growth index were the only indices Read more…
Download PDF Introduction Formally, a Commodity Trading Advisor (CTA) is defined as an individual or firm registered with the Commodity Futures Trading Commission (CFTC) which gives “advice” on futures, options, and the actual trading of managed futures. CTAs are responsible for advising managed accounts and pooled investment vehicles, such as Read more…
Download PDF Introduction Correlation is a pervasive concept in financial markets. It is studied by investors looking for the most reliable way to hedge their exposure while financial products that offer a directional correlation exposure also became substantially more liquid in recent years. Moreover, the substantial mispricing of correlation risk Read more…
Download PDF What are the Basel Agreements? Financial risks have long been observed and studied, but it was only in 1974, with the failure of West Germany’s Bankhaus Herstatt, that central bankers became aware of and decided to act on settlement risk. For these very purposes, the Bank of International Read more…
Download PDF Introduction The perfect storm of harsh macroeconomic conditions and geopolitical uncertainty has taken its toll on the markets. 2022 saw widespread selloffs across all asset classes and is considered to be one of the worst years on record for investors. Although the equity markets have fared worse through Read more…
Download PDF US On Monday, equities finished a little lower after the rally caused by the weaker-than-expected inflation reading last week. Interest rates moved lower with the 10-year U.S. Treasury yield down from 4.15% to below 3.9%. Markets overall moved sideways in expectation of more consumer data coming out during Read more…