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  • Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
    According to Marketwatch, Goldman Sachs strategists just issued a warning regarding the volatility index, VIX,Goldman analysts Rocky Fishman and John Marshall said that the VIX, which uses options bets on the S&P 500 to reflect expected volatility over the coming 30 days, has been hovering at or below 13, marking its lowest level since around January (though it is tipping up in Monday trade). Its current level takes the gauge of implied volatility, which tends to rise when stocks fall and vi [...]
  • Overnight Index Swap Discounting
    The overnight index swap (OIS) has come into the spotlight recently, due to the widening of the Libor-OIS spread. For example, the Economist recently reported:WATCHING financial markets can be like watching a horror film. A character walks into the darkness alone. A floorboard creaks. The latest spooky sign is the spread between the three-month dollar London interbank offered rate (LIBOR) and the overnight index swap (OIS) rate. It usually hovers at around 0.1%, but has recently climbed to 0.6% [...]
  • Can a Horse Racing System be Applied to the Stock Markets?
    Bill Benter is one of the most profitable professional gamblers in the world. According to WikipediaWilliam Benter was born and raised in Pittsburgh, Pennsylvania.[2] As he grew up, he wanted to use his mathematical talents to make a profit so immediately after finishing a university physics degree in 1977,[3] he went to the blackjack tables in Las Vegas and used his skills to count cards. He came across the book, Beat the Dealer, by Edward O. Thorp, which helped him improve his methods.[4] Seve [...]
  • Largest banks clear U.S. Fed's toughest annual stress tests
    WASHINGTON (Reuters) - The 35 largest U.S. banks are poised to put more money toward dividends, share buybacks and business investments, after clearing the first stage of an annual regulatory stress...
  • Companies need older workers: here is why
    CHICAGO (Reuters) - The demographic trend is no secret: the populations of the United States and other major industrial countries are getting older, and fast. That means workforces are aging too, but...
  • How a powerful inquiry upended one of Australia's grandest companies
    SYDNEY (Reuters) - One of Australia's oldest financial institutions, AMP Ltd , spent years building the country's largest network of financial advisers to recommend its products, and well over a...
  • Hedge fund Voce's nominees elected to Natus board
    (Reuters) - Natus Medical Inc said on Friday its stockholders had elected hedge fund Voce Capital Management's nominees to the company's board, ending a months long proxy fight.
  • U.S.-based money market funds post $51 billion net outflows for week: Lipper
    NEW YORK (Reuters) - U.S.-based money market funds posted $51 billion of net outflows for the week ended Wednesday, the largest cash withdrawal since 2011 and the seventh largest ever, according to...
  • Credit Suisse prevails in lawsuit seeking $300 million for brokers: U.S. judge
    (Reuters) - A federal judge on Thursday dismissed a lawsuit accusing Credit Suisse Group AG of withholding up to $300 million of compensation from U.S.-based brokers when it closed their private...
  • The Ballmers are upping the game of giving away money
    NEW YORK (Reuters) - (The writer is a Reuters contributor. The opinions expressed are his own.)
  • Abraaj, a private-equity firm, files for provisional liquidation
    UNTIL recently the Abraaj Group, a private-equity firm based in Dubai, was riding high. It was one of just a few such firms focused on emerging markets, and a darling of “impact investors”, who seek social or environmental returns, not just financial ones. Assets under management of $13.6bn made it the largest private-equity firm in the Middle East, and the 42nd-largest globally in 2017. Its Pakistani founder and boss, Arif Naqvi, a regular at Davos and a patron of the arts, had won awards for philanthropy. It is all the more surprising, then, that basic corporate-governance missteps led his firm to file for provisional liquidation on June 14th.The problems began in late 2017 when four investors in its $1bn health-care fund, including the Bill & Melinda Gates Foundation and the private-sector arm of the World Bank, grew worried. Nearly $280m of $545m they had been asked for was not promptly spent on acquisitions, as is standard in the industry. Abraaj blamed delays in the...Continue reading
  • Most stockmarket returns come from a tiny fraction of shares
    IN his book about the use of language, “The King’s English”, Kingsley Amis describes a tug-of-war. On one side are “berks”, careless and coarse, who would destroy the language by polluting it. On the other side are priggish “wankers”, who would destroy it by sterilisation.The battle lines look similar in investment. The divide is not on points of grammar but on attitudes towards a handful of modish companies, known as FAANG. These stocks (Facebook, Amazon, Apple, Netflix and Google) have been the motor of the S&P 500 (see chart). All but Apple hit record highs on June 20th. Fill your boots is the attitude of coarse stockmarket berks. FAANG makes more sense than stocks in dying industries. For the prigs, the mania for FAANG stocks is as abhorrent as a split infinitive. The high-minded investor stands apart from the herd.In matters of grammar, the unsure often follow the sticklers. They at least have rules. But they are often too rigid. Stockmarket sticklers can similarly lead others astray. For most investors, it is often a...Continue reading
  • China considers its response to Donald Trump’s proposed tariffs
    The serried ranksFOR now, at least, when speaking of the trade dispute with America, China’s government is taking a more-in-sorrow-than-in-anger tone. That helps explain the Chinese public’s surprisingly measured views of Donald Trump, and gives the Chinese government some breathing room to consider its options.The state media have so far taken the high ground. True, the Global Times, a chest-thumping tabloid, accused the American president of “gambling” that China will be cowed by his “capricious and obstinate attitude”. No country can isolate itself from globalisation, said the Xinhua news agency: “The wise man builds bridges, the fool builds walls.” A new Xinhua web page popped up on June 20th, tracking multilateral deals that Mr Trump has quit, including on trade, climate change and Iranian nuclear arms.But China has yet to debate, publicly, how to handle an American president who is an avowed populist...Continue reading
  • Sino-American interdependence has been a force for geopolitical stability
    IN THE 1990s America and Europe had a trade dispute over bananas. No one worried that tanks might soon roll as a result. But trade is about more than economics. The European Union, the world’s most ambitious free-trade area, was founded on the idea that trade integration would make war between members “not merely unthinkable, but materially impossible”. As the risk of a serious Sino-American trade war grows, attention is mostly focused on the prospect of dearer iPhones and unhappy soyabean farmers. But the stakes are much higher.China’s economic miracle could not help but provoke geopolitical stress, given its size and illiberality. Relations between America and China are built on mutual suspicion. Geopolitical rivalry has been moderated, however, by economic interdependence: a mutual entanglement some economics wags have dubbed “Chimerica”.As China opened up, American consumers hoovered up cheap Chinese goods. American firms built China into their supply chains, enjoying low labour costs and gaining a presence in a...Continue reading
  • Hedge funds worry about the legal risks of using “alternative” data
    “QUANT” (quantitative) hedge funds, which craft elaborate algorithms to make trading decisions, rely on access to information. That used to mean market data, such as prices and trading volume. But some now seek an edge in novel sources. An industry has sprung up to serve them with, and help them analyse, “alternative” data, such as those gleaned from satellite images or by scraping websites. Many of these data firms have been founded by entrepreneurs, but some quant funds themselves are getting involved. Winton, a large London-based fund, is spinning off Hivemind, a data-analysis unit. A full-time management team was announced on June 18th.For funds making macroeconomic bets by trading in, say, currencies or government bonds, real-time measures of inflation (scraped from e-commerce sites) or trade flows (from shipping data) can be better and more timely than the output of national statistics agencies. Funds trading in individual firms’ shares can infer information on sales from satellite...Continue reading
  • Giddy property prices are a test for Swedish policymakers
    ULF DANIELSSON is thinking of buying a holiday home—or even a new house, so that he, his wife and two children can have a garden and more space than in their flat in Uppsala. He can afford either, he says, and as a professor of astrophysics is surely able to work that out. But he is hesitating, lest the giddy rise in Swedish property prices end in an ugly crash. “You risk having a big loan that’s worth more than the house,” he says.The property market has fallen a little closer to Earth: prices dropped by 9% between September and January, largely because of a surfeit of pricey new flats. They then steadied, and are around 5% below the peak—and 50% higher than at the start of 2013, calculates Valueguard, a data provider. As Swedes have borrowed to buy, their debts have risen. Finansinspektionen (FI), the financial-stability supervisor, estimates that borrowers’ debts rose by 36% between 2012 and 2017, while disposable incomes went up by 13%. Almost a fifth of households with new mortgages owe more than six times net income.
  • France and Germany finally have a common position on euro-zone reform
    Roofers’ conventionTHE president of the European Commission, Jean-Claude Juncker, likes to compare the euro zone to a house in need of repair. Fix the roof, he counsels, while the economic weather is favourable. Leaders from across the European Union will have the opportunity to take that advice when the European Council meets in Brussels on June 28th-29th.In preparation Emmanuel Macron, France’s president, and Angela Merkel, Germany’s chancellor, laid out joint proposals for reforms on June 19th. The result of weeks of ministerial negotiation, they reconciled long-standing differences on the future of the currency bloc and set the scene for discussion at the wider summit. In a victory for Mr Macron, the Germans have consented to a euro-zone budget. In other areas, notably banking reform, progress is likely to be halting.The reforms aspire to mend the institutional weaknesses revealed during the years following the financial crisis. Lacking control...Continue reading
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