Download PDF Introduction In a high interest rate environment, firms have to face new challenges to their capital structure and adapt to higher financing costs. Highly leveraged firms now confront more than substantial interest expenses and difficulties in refinancing. More borrowers now turn to private credit due to its additional Read more…
Download PDF Commodity futures have become a widespread vehicle amongst investors and traders as they can be used for strategic and tactical asset allocation. The strategic appeal of commodity indices comes from the equity-like return, their key diversification role, and their inflation-hedging properties. The term structure of commodities usually refers Read more…
Download PDF USA This week’s US trading session has been relatively quiet considering the Thanksgiving holiday on Thursday and an earlier market close on Friday. Nonetheless, there were a few relevant economic indicators starting with the Fed’s minutes released on Tuesday which showed that the FED’s members unanimously believe monetary Read more…
Download PDF US Equity Performance As we approach the end of the year, the narrative on the US stock market has greatly changed since September/October and especially since the beginning of the year as major macroeconomic uncertainty has now shifted to what the cutting cycle will look like due to Read more…
Download PDF Introduction One of the main drivers of foreign exchange rates is the change in current and expected interest rates, influenced by central banks’ forward guidance and economic releases. In this article, we explore a paper by Nicolas Georges (2014) and implement a systematic FX strategy on G10 currencies, Read more…
Download PDF USA Overall US equities rallied, propelled by the softer than expected CPI print for the month of October that came out on Tuesday. All major US indices registered a third consecutive week of gains, with the S&P 500 up 2.24%, with Energy as the biggest percentage gainer among Read more…
Download PDF Introduction Commodity Swaps are a widely used instrument for hedging and speculation in the commodities markets. Like other swaps, they are an OTC instrument where two counterparties agree on exchanging some cashflows based on the trend of an underlying security (most often oil, but also other commodities like Read more…
Download PDF Introduction Structured financial products are complex and customized financial instruments that combine traditional assets with derivatives. They are designed to meet the specific needs and preferences of investors who are not satisfied with the conventional financial products available in the market. Structured financial products can offer various benefits, Read more…
Download PDF Introduction There is empirical evidence that index options, especially puts, are overpriced relative to individual stock options. Dispersion trading is a strategy aimed to capitalize from this mispricing. The aim of this article is to explore whether dispersion trading can still generate positive returns, but to generate a Read more…
Download PDF Introduction: Rebalance Timing Luck Every trading strategy has some turnover in its portfolio constituents; otherwise, it would simply be a buy-and-hold strategy. Equally, every index has some periodical rebalancing (and turnover) in its constituents. Often, the point in time at which this reshuffling of the portfolio takes place Read more…
Download PDF USA All three US equity indexes ended the week on a high note, mainly driven by semiconductor and other tech stocks. Namely, Nasdaq recorded its best day since May 26th rising 2.37% driven by the big tech stocks: Apple, Microsoft and Meta Platforms rose 2.3%, 2.5% and 2.6%. Read more…
Download PDF Introduction Headlines over the last few months have been constantly showing investors and economists discussing the various “landing” narratives for the US economy. With many arguing for a soft-landing scenario, while others remained more skeptical. At its core, this debate revolves around a critical question: “What are the Read more…
Download PDF An Introduction to Momentum Strategies In this article we aim to develop a cross-sectional option returns momentum strategy in which we trade the best performing options based on their past returns. This strategy aims to capture both movement in the underlying stock as well as different movements in Read more…
Download PDF USA All major stock indexes in the US have witnessed an impressive performance this week, with many analysts attributing this to a seasonal “Santa Rally”. The S&P 500 and the Nasdaq recorded their best week since November 2022, advancing 5.85% and 6.61%. Similarly, the Dow Jones has increased Read more…
Download PDF Introduction On Friday October 13th, Cboe (Chicago Boards of Exchanges) officially launched four new volatility credit indices. In the current high interest rate environment, investors are becoming increasingly wary of the aggregated impact of high rates on highly levered balance sheet, thus increasing the relevance of the new Read more…