Insights

The London Metal Exchange (LME) Cancels Trades On 7th March, the 3-month LME nickel futures contract jumped above $30,000 per ton as investors speculated on the impact of supplies due to the Russian-Ukraine war. Russia was the third ...

In two previous posts (Identifying Alternative Risk Premium Factors and Alternative Risk Premium Factors), we outlined how Quantitative Investment Strategy indices (QIS) can be used to construct common alternative risk factors that contain ...

Rho risk measures a derivative’s sensitivity to interest rate changes. This Greek risk was relatively dampened in the recent low rate environment but can never be ignored. Similar to Vega, interest rate changes impact longer-term ...

In a previous post (Identifying Alternative Risk Premium Factors), we outlined how bank risk prima can be used to construct common alternative risk factors that contain largely orthogonal information. These risk factors are based on ...

A Criminal Investigation Into Potentially Illegal Short-Selling Practices In December 2021, news broke that US criminal authorities have been gathering information on the symbiotic relationships between dozens of short selling hedge funds ...

Equity options straddles can be used to estimate the underlying move for events captured by the respective expiration. The classic Black-Scholes model requires five input variables: the strike price of an option, the current stock price, ...

Why Do We Need (New) Risk Factors? In determining a fund’s ability to generate alpha, or in evaluating a fund’s market risk, the sensitivity of the fund to risk factors is usually considered. In 2004, Fung and Hsieh proposed to measure a ...

Over the past year and a half, we’ve observed that a growing number of prominent hedge funds have been amending their liquidity terms to steer investors towards longer lockup share classes and/or vehicles. While this may not a new ...

How Unique Is My Investment? When making an investment decision, it is important to assess the attractiveness of a potential investment not only on its own, but also in relation to the existing portfolio. The ideal investment offers an ...