#### SPECIAL: Commodities

### Forecasting energy markets with macro data

Recent academic papers illustrate how macroeconomic data support predictions of energy market flows and prices. Valid macro indicators include shipping costs, industrial production measures,...

### Commodity carry

Across assets, carry is defined as return for unchanged prices and is calculated based on the difference between spot and futures prices (view post...

### Seasonal effects in commodity futures curves

Seasonal fluctuations are evident for many commodity prices. However, their exact size can be quite uncertain. Hence, seasons affect commodity futures curves in two...

### Commodity pricing

A new paper combines two key aspects of commodity pricing: a rational pricing model based on the present value of future convenience yields...

"Consistent with theories of differences of opinion, a positive demand shift in the shorting market...[indicated by] costs of shorting and the short interest...predicts higher future stock volatility." https://t.co/IRRYJs2sNc https://t.co/tFwoaQLfai

"pyfinance is a Python package for investment management and analysis of security returns...a complement to existing packages geared towards quantitative finance, such as pyfolio, pandas-datareader, and fecon235." https://t.co/dRI3WXpfu9 https://t.co/vQ4fdowQrz

Paper proposes: "a general approach for stress testing correlations of financial assets...Meaningful stress testing requires linking correlations to risk factors, such as economic variables or financial market indicators." https://t.co/AzFHwZdyyg https://t.co/k7uzJZtwbK

## TAGS

asset management Asset Purchase Program banks bond returns bond yields bubbles capital regulation China collateral commodities credit returns default ECB economic data EM equity returns euro area crisis Fed financial crisis FX FX interventions FX returns government debt government deficits herding inflation information leverage liquidity market turmoil price factors regulation risk management shadow banking statistical methods term structure trend following variance risk premium volatility ZLB

#### SYSTEMIC RISK

### Market dynamics: belief, risk, and ambiguity effects

To understand financial market dynamics, it is helpful to distinguish beliefs, attitudes towards risk, and...

### Building a real-time market distress index

A new Fed paper explains how to construct a real-time distress index, using the case...

### The financial stability interest rate

The financial stability interest rate is a threshold above which the real interest rate in...

### Contagion and self-fulfilling dynamics

Contagion and self-fulfilling feedback loops are propagation mechanisms at the heart of systemic financial crises....

### Macro uncertainty as predictor of market volatility

Market volatility measures the size of variations of asset returns. Macroeconomic uncertainty measures the size...

#### SYSTEMATIC VALUE

### Diversified reward-risk parity

Risk parity is a portfolio construction technique that seeks to equalize risk contributions from the...

### A market-to-book formula for equity strategies

A new proxy formula for equity market-to-book ratios suggests that (the logarithm of) such a...

### Markets’ neglect of macro news

Empirical evidence suggests that investors pay less attention to macroeconomic news when market sentiment is...

### Factor momentum: a brief introduction

Standard equity factors are autocorrelated. Hence, it is not surprising that factor strategies have also...

### The macro forces behind equity-bond price correlation

Since the late 1990s, the negative price correlation of equity and high-grade bonds has reduced...

#### POPULAR POSTS

### The dangerous disregard for fat tails in quantitative finance

The statistical term ‘fat tails’ refers to probability distributions with relatively high probability of extreme outcomes. Fat tails also imply strong influence of extreme...

### Understanding dollar cross-currency basis

Covered interest parity is an arbitrage condition that equalizes costs of direct USD funding and of synthetic USD funding through FX swaps. Deviations are...

### VIX term structure as a trading signal

The VIX futures curve reflects expectations of future implied volatility of S&P500 index options. The slope of the curve is indicative of expected volatility...

### Understanding the correlation of equity and bond returns

The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates....

### The importance of volatility of volatility

Options-implied volatility of U.S. equity prices is measured by the volatility index, VIX. Options-implied volatility of volatility is measured by the volatility-of-volatility index, VVIX....

### Leverage in asset management

Asset managers can use leverage to enhance returns. Outside hedge funds, such leverage is modest as share of assets under management. However, considering the huge...