Systematic Value

FX forward-implied carry is a valid basis for trading strategies because it is related to divergences in monetary and financial conditions. However, nominal carry...

Equity convexity means that a stock outperforms in times of large upward or downward movements of the broad market: its elasticity to the market...

Predicting realized volatility is critical for trading signals and position calibration. Econometric models, such as GARCH and HAR, forecast future volatility based on past...

Credit spread curves are essential for analyzing lower-grade bond markets and for the construction of trading strategies that are based on carry and relative...

The rise of data science and statistical programming has made statistical learning a key force in macro trading. Beyond standard price-based trading algorithms, statistical...

The basic idea behind factor models is that a large range of assets’ returns can be explained by exposure to a small range of...

The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility...

Market regimes are clusters of persistent market conditions. They affect the relevance of investment factors and the success of trading strategies. The practical challenge...

The risk reversal premium manifests as an overpricing of out-of-the-money put options relative to out-of-the-money call options with equal expiration dates. The premium apparently...

Value opportunities arise when market prices deviate from contracts’ present values of all associated entitlements or obligations. However, this theoretical concept is difficult and...