Antonio Vulcano

10 new products launched in the UK last week from Meteor Asset Management, and Walker Crips. https://lnkd.in/emSc64Tg #StructuredProducts #Investment #Research #Analysis #StressTest #Valuations #Consultancy #B2B

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Detailed thread on Understanding and Trading Vanna and Charm effect for trading🧵 Vanna and charm effects are important concepts in options trading and are closely related to the Greek metrics used to measure and manage risk https://lnkd.in/eTBNPNjt

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Majority of allocators (LPs) trust their capital in Quant Investment Strategies that are based on back tested results What kind of bias does such allocators have ? Do they think that Quant Investment strategies are free from bias ? Are back tested results better than live portfolio simulation results ? The difference between back-tested results and a live portfolio simulation are : Back-test results are useful for evaluating the theoretical performance of a strategy based on historical data, but they are inherently limited by the assumptions made in the test, and they often fail to account for real-world constraints such as slippage, transaction costs, and changing market conditions. Live portfolio simulations provide a more accurate, real-time assessment of how a strategy performs in the actual market, including real-world frictions and challenges. However, like backtests, live simulations can also be imperfect and may diverge from real live performance due to unforeseen market factors.

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The paper discusses the strategy that yields excess returns (6% annually or more) based on the concept of measuring volatility in terms of smoothness and roughness for the underlying and developing a trading strategy.🧵 https://lnkd.in/gQvgyjMd 

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Quant Investing - Growth factor Another interesting piece from Damien Cleusix on #growth, a popular factor in quant investing. Enjoy!

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Check out CNR's proprietary 4Ps analysis framework (Policies, Population, Potential, Profitability), which seeks to identify the best opportunities for global equity investing over the coming decade. Our approach is that, after asset allocation, the next important decision in portfolio construction is where to invest regionally. https://lnkd.in/dswu4BBi

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Hierarchical analysis is well suited to understand Value at Risk and the impact of correlation between positions, assets and risk types returns. Here we illustrate how VaR is computed in a multi-currency portfolio of equities and FX hedges. Incremental VaR, as described in our previous post, is a tricky to compute but potent risk indicator. Here we show how iVaR, an intrinsically hierarchical calculation is built, in a Pivot like user interface, without hard-coded hierarchies, at the will of the user thoughts.

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Most cited paper "Equity Portfolio Diversification" by William N. Goetzmann and Alok Kumar in Review of Finance, Volume 12, Issue 3, 2008, Pages 433–463, https://lnkd.in/dD64A-s Published: 28 March 2008 Abstract This study shows that U.S. individual investors hold under-diversified portfolios, where the level of under-diversification is greater among younger, low-income, less-educated, and less-sophisticated investors. The level of under-diversification is also correlated with investment choices that are consistent with over-confidence, trend-following behavior, and local bias. Furthermore, investors who over-weight stocks with higher volatility and higher skewness are less diversified. In contrast, there is little evidence that portfolio size or transaction costs constrains diversification. Under-diversification is costly to most investors, but a small subset of investors under-diversify because of superior information. JEL G11 - Portfolio Choice; Investment DecisionsG12 - Asset Pricing; Trading volume; Bond Interest Rates Oxford University Press OUP Academic Yale School of Management Texas McCombs School of Business European Finance Association

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https://lnkd.in/eVBTJBzh Vanna and charm effects are important concepts in options trading, closely related to the Greek metrics used to measure and manage risk. Understanding and Trading Vanna and Charm effect 🧵

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Yesterday's budget was an attempt to break the UK's fiscal dilemma to increase investment and break a cycle of low growth and high debt. We evaluate "Reeves' Keys" to break the fiscal dilemma in this report by our economics team Caspian Conran, Nick Forrest, and Maddy Binns. #UKEconomy #BudgetReaction #BudgetAnalysis

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Quant investing - Share Buyback This is the last of a series of 7 articles on the factors utilised by Kroma in our quant strategies called Sentinel. Thanks Damien Cleusix for this effort. If you wish to know more about our strategies or receive the series of 7 articles in soft copy please contact us at [email protected] Enjoy the reading!

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Multiple Models has arrived on the INN8 Investment Platform. DFMs and advisers can now mix, match, and blend multiple model portfolios and standalone funds in one. Easily choose different assets/model portfolios for lump-sum and recurring contributions in the investment journey and see the details of the model portfolio via client statements and investment reviews. Want to be spoilt for choice? Absolutely! Learn more about what we have to offer: https://lnkd.in/d8ewqpAd #INN8InvestmentPlatform #DFMs #MultipleModels

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In August, ICE traded the first exchange-listed ESTR option. ESTR futures have been available for trading for some time with ICE, CME, and EUREX, all competing to be the leading player. Futures trading volumes in ESTR have increased since the start of 2024, with record months reported in July and August, and September appears poised to extend this trend. ESTR futures now account for approximately 14% of all short-term EUR trading*. However, despite this rise in activity, EURIBOR remains the dominant benchmark for quoting OTC EUR options. "The initiation of options trading could signify a significant step towards greater liquidity in the OTC ESTR options market." Ian Sams, Head of Product – EMEA. TraditionData offers a well-established EURIBOR-based Swaptions and Cap/Floor surface, along with an ESTR equivalent since 2021. Both products deliver comprehensive coverage of at-the-money and out-of-the-money pricing, spanning over 20,000 price points. 💻 https://lnkd.in/d3dcatVX 🌎 ESTR: https://lnkd.in/ehJDmWu4 🌎 EURIBOR: https://lnkd.in/dMmDeRZK 📧 [email protected] #ESTR #EURIBOR #InterestRates #MarketData #TraditionData #Swaptions *source Clarusft.com

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A new report from Coalition Greenwich (a division of CRISIL) finds that margin optimisation is once again a big feature of market participants’ thinking, including a refocus on how and where they trade interest rates products, as well as where they clear them. The report, 'The portfolio Margining Imperative for Interest Rate Deriatives,' authored by Coalition Greenwich senior analyst Stephen Bruel, highlights the cost benefits from margin optimisation, and observes that regulations mandating central clearing of derivatives trades have been effective in reducing systemic risk, but this has come at a cost to market participants in the form of margin requirements. The Full FX Colin Lambert https://lnkd.in/eriyutQg

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As electronification continues to develop across trading markets, investment management organisations are increasingly creating multi or cross-asset trading desks to handle combinations of fixed income, equities, FX and derivatives. If you are attending International TraderForum in Rome this week, join Gerard Walsh tomorrow as he moderates a panel exploring how some buyside firms have created successful multi-asset desks, and how they plan to address the challenges that remain. https://bit.ly/3XtVEFt   #NTBankingAndMarkets #InternationalTraderForum

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We are delighted to share that our Guardian and Fusion, trend-informed, tactically-traded portfolios have delivered outstanding results in Q1.   • Across all risk levels, all of the Fusion portfolio returns and Sharpe ratios, measuring risk-adjusted returns, were in the first quartile for Q1. • Across all risk levels, all of the Guardian portfolios had returns and Sharpe ratios in the upper 2 quartiles for Q1.   Our trend-informed portfolios are 100% invested when market conditions are favourable, but will be reduced in times of market stress.   We remain committed to reducing volatility and maximum drawdowns over whole business cycles, aiming to protect and grow capital growth. Guardian portfolios: https://lnkd.in/eTjbRZDN Fusion portfolios: https://lnkd.in/emBmr54t #DFM #MPS #IFA #WealthManagement #Investing #CrossingPoint

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