Market Recap 30/10/2022

Download PDF US Major US indices performed well this week despite intra-week turmoil, particularly in the Nasdaq 100 and Nasdaq Composite. Russell 2000 showed the largest increase, topping last week’s close by 6.0%, with the Russell 3000 Value performing better (+5.1% WoW change) than the Russell 2000 Growth (3.2% WoW Read more…

Market Recap 09/10/2022

Download PDF USA On Monday, the ISM Manufacturing PMI for September came in below expectations at a level of 50.9 against the consensus estimate of 52.2. This also marked the lowest level since May 2020. This reading supported stocks and bonds at the beginning of the week as markets interpreted Read more…

Market Recap 02/10/2022

Download PDF USA The S&P 500 touched the lowest levels since December 2020 this week, reaching an 8% loss MoM. The 10-year Treasury yield reached a 12-year-high, approaching 4%. On Thursday, the S&P 500 closed at -2.1%, due to the fear of additional rate hikes, driven by higher-than-expected employment data. Read more…

The Emerging Markets Dark Tunnel

Download PDF Introduction Emerging Markets Debt is making a comeback in Google search bars. The term refers to sovereign bonds issued by less-developed countries. In fact, the words “debt” and “emerging” are closely linked: debt permits a country to raise fresh capital and with that to grow towards standards reflected Read more…

Systematically Trading Volatility Spreads

Download PDF Introduction The following article is heavily inspired by the paper “Investment Strategies with VIX and VSTOXX” (Stanescu, Tunaru, 2012) which analyzed different volatility trading strategies. The strategies are either based on a simple signal or the forecasting of spreads through GARCH models. After analyzing a more recent dataset Read more…

Market Recap 25/09/2022

Download PDF USA The start of the week can be described as the calm before the storm in major US stock indices, as investors digested last week’s higher-than-expected inflation print and were waiting on the Federal Reserve to announce their policy decision on Wednesday. Accordingly, no index posted significant gains Read more…

Our view on EURUSD

Download PDF A persisting trend DISCLAIMER: The EURUSD pair is an exception to general FX notation. We comply with the quoting convention adopted in the industry: when the Dollar strengthens against the Euro, EURUSD moves lower, and vice versa. For charting purposes, however, we use the USDEUR time series. The Read more…

Market Recap 18/09/2022

Download PDF Sentiment in global financial markets was once again largely affected by rising inflation fears. USA The week started with a continuation of the relief rally in risky assets, as sellers momentarily reduced their pressure. The scenario was quickly reversed as soon as traders’ expectations for Tuesday’s inflation reading Read more…