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Latest on Investing
Index delays leave passive bond funds in purgatory
Moves to postpone index rebalancings could backfire as rating agencies press ahead with downgrades
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Investors abandoned junk bond ETFs in March
Forced sale of ‘fallen angels’ could exacerbate outflows at end-April
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Quotes
Make no mistake: this crisis, in my opinion, has a far bigger set of consequences than the financial crisis of 2007 and 2008
Andrew Lo, MIT
The predictive power of historical redemption data is quite limited... Redemptions can be just simple asset allocation within another firm and you’re not going to be able to predict that
David Regan, Janus Henderson Investors
One of the key functions of an algo is executing a trade over time, but with lots of volatility it becomes harder to make that strategy work
Forex head at a liquidity provider
Editor's Choice
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Big Figure
Viral index
Credit default index (CDX) traders swamped the market in high-yield (HY) and investment-grade contracts as the coronavirus crisis deepened, as weekly traded volumes quadruple multi-year averages. Weekly notional traded volumes in CDX HY contracts were $99.9 billion, $79.1 billion and $87.9 billion for the weeks ending March 1, 8 and 15, respectively, according to Depository Trust & Clearing Corporation data.
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RBS, dividend curves and system failures
The week on Risk.net, March 28-April 3, 2020
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