Research, insights, and thought leadership from the GVS community.
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The wide range of quantitative investment strategies (“QIS”) fosters competition within volatility investing. We look at the performance of these sell-side products. Not surprisingly, they show great similarity to the buy-side, as know-how travels through the industry. We argue in favor of the QIS suite when targeting a specific risk factor exposure, but favor established funds when it comes to a strategic volatility allocation.
Why would anyone want to hold positions through a CTA trend program, when they can have the same positions through investments with more specialized managers instead?
In–depth insight to navigate complex markets.
With the EURO STOXX 50® options series (OEXP), market participants can access a range of short-dated options, providing increased flexibility to trade and hedge short-term market fluctuations...
Despite the headwinds of continued rate hikes and growing recession fears, equity markets have risen strongly in 2023 year to date. At the same time, implied volatility has compressed to levels well below long-term averages in major indices such as S&P 500 and the Euro Stoxx 50. In this article, we assess the rally, what may be coming next and how investors can position for different scenarios.
In an environment of increased regulatory scrutiny and fierce competition, Transaction Cost Analysis (TCA) is increasingly important to help firms measure how effectively portfolio orders are being executed. In the derivative space, the TCA concept is fairly new. Due to the nature of a derivative, which is tied to an underlying asset, simple equity style arrival time TCA metrics are not appropriate and often give spurious answers…