Basis Trade 2.0: the Re-engineered Cash-vs.-Futures Arbitrage Reshaping the U.S. Treasury Market

In March 2020 the “dash-for-cash” blew up what had been a sleepy arbitrage: hedge funds who were long Treasury bonds, short the matching futures and levered 50-to-1 within the strategy via cheap repo suddenly faced margin calls and ...
6 min read

Convertible Arbitrage: The 2023–2025 Comeback

Convertible-bond arbitrage—once a star strategy in the early 2000s—is suddenly everywhere again. Over the past few months my inbox has filled with meeting requests from convert-arb specialists, and their desks are once more the busiest ...
12 min read

Monthly QIS Review - June 2025

Executive Summary June 2025 delivered another quietly positive month for the QIS universe. The average composite advanced ≈ +0.16 % month-to-date, extending Q2’s rebound. Cross-sectional dispersion widened modestly to ~6 percentage points ...
3 min read

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Same-Day Options, Same-Day Alpha? Institutional Lessons from 0DTE’s Boom

From weekly curiosities to the default playground Until quite recently, the idea of an option that expired within the same trading day was considered an exotic corner of the derivatives world. But that has changed dramatically. ...
9 min read

Does Hedge Fund Manager Pedigree Really Matter?

In our previous post—Hedge Fund Crystal Ball: Can We Really Predict Future Performance?—we looked at the usual suspects investors reach for when trying to forecast hedge fund returns. One term that kept popping up—and that deserves a ...
5 min read

The Rising Relevance of Risk-Adjusted Returns in Portfolio Construction

In an industry where noise often masquerades as insight, one of the most persistent illusions has been that all positive returns are created equal. For too long, portfolios have been judged on nominal performance, as if riding the tide of ...
10 min read

Beyond the Backtest: Critical Operational Questions for QIS Allocators

Bank-sponsored Quantitative Investment Strategies (QIS) are increasingly prominent in institutional portfolios. Whether designed to capture style premia, replicate hedge fund strategies within UCITS structures, or offer tailored overlays, ...
4 min read

Volatility Premia – There are many Ways to Skin a Cat

Every option price contains an insurance component: the seller demanding payment for the possibility that tomorrow departs radically from today. On average, the cost of that insurance – the implied volatility – trades above whatever ...
9 min read

Hedge Fund Investing: Does Size -Really- Matter?

In our previous post on predictability of hedge fund performance, we explored whether hedge fund performance can be predicted—and which factors actually matter. This follow-up dives into one such driver: fund size. Investors often face a ...
7 min read

Carbon Alpha: Capturing Uncorrelated Returns in Global Emissions Markets

When institutional investors think about absolute return, they often look to equity-neutral hedge funds, discretionary macro, or systematic CTAs. Yet in the background, a new liquid and differentiated market has quietly become viable: ...
5 min read
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