The passive investment boom and its consequences
Passive investment vehicles have been expanding rapidly over the past 10 years, with assets reaching about USD8 trillion or 20% of aggregate investment funds...
Passive investment vehicles and price distortions
The share of passive investment vehicles in financial markets has soared over the past 20 years. In the U.S. equity market it has risen...
Trend following and the headwinds of rising yields
The decline in bond yields over the past decades has supported profitability and diversification value of trend followers. Returns have been boosted by a...
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Energy futures markets allow transferring risk from producers or consumers to financial investors. According to the hedging pressure hypothesis, net shorts of industrial producers...
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Nowcasting in financial markets is mainly about forecasting forthcoming data reports, particularly GDP releases. However, nowcasting models are more versatile and can be used...
Macro trends for trading models
Unlike market price trends, macroeconomic trends are hard to track in real-time. Conventional econometric models are immutable and not backtestable for algorithmic trading. That...