Two Ways to Get a Diversified QIS Book Wrong

Most multi-strategy QIS portfolios are less diversified than they look. The strategies are there — sometimes more than sixty of them. What's missing is the right weights for the regime the market is actually in. A static allocation doesn't ...
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4 min read

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The ECB Is Asking the Right Question About UCITS Leverage. But Looking in the Wrong Place.

The ECB's November 2025 Financial Stability Review proposes new leverage limits on UCITS hedge funds. The analytical framework it uses to justify them conflates fundamentally different types of risk. With the European Commission's UCITS ...
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16 min read

May 2026 QIS Update: Carry Paid. Convexity Didn't.

May's QIS tape had a simple message, but it took three weeks to deliver it. Markets moved through a clean sequence: an AI-led equity rally early in the month, a sharp mid-month repricing in rates and inflation expectations, then a late ...
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2 min read

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Get the research behind strategies most professional allocators trust, but almost no one explains.

The Momentum Signal Works. The Momentum Trade Is Crowded.

Momentum has not stopped working. What has changed is what happens when it starts to unwind. The strategy’s tail risk is now endogenous to the size of the systematic complex that runs it — and most portfolios are still priced on a ...
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6 min read

Most conversations about prepayment risk start too late

Someone says "mortgages," someone else says "negative convexity," and the room moves on as if the strategy has been defined. It has not. A prepayment-risk strategy is not simply a rates trade with mortgage jargon around it. It is a trade ...
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10 min read

What the Hedge Leaves Behind

Quant equity market-neutral is the strategy everyone is adding to right now. Before you size up, there is one trade-off the track record won't show you. Market-neutral is not a binary property. It is a direction of travel — and one that ...
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8 min read

QIS in April: Carry Leads, Hedges Pay Their Premium, FX Stays Fragile

The defining dynamic in April's QIS tape was not the market rally — it was what the rally revealed about return premia structure. Carry came back broadly. Convex hedges gave back, as they should in a genuine risk-on month. And FX once ...
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3 min read

Four Banks, Eight Times Leverage: What the S&P Warning Means for Hedge Fund Counterparty Risk

The hedge fund industry's financing is now concentrated in four prime brokers at leverage multiples not seen since the pre-GFC era. That is the unavoidable conclusion from S&P Global's latest report, published this week: BNP Paribas, ...
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7 min read

The Private Credit Liquidity Reckoning

Semi-liquid private credit vehicles promised investors the yield of private lending with the flexibility of periodic redemptions — and the first quarter of 2026 demonstrated, with uncomfortable clarity, that this promise has structural ...
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8 min read

After the Correlation Shock: How March 2026 Broke — and Reshaped — a Popular Vol Trade

March 2026 delivered one of the worst monthly returns for equity dispersion strategies in over a decade — with a JPMorgan index tracking the trade down 4.9%, driven by a geopolitical shock that pushed implied correlation sharply higher. ...
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8 min read
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