Category: Markets

European Junk Yields Lining Up With Treasuries

Would you buy risky corporate bonds whose return is slightly higher than one of the safest securities in the world, US T-Bills? Probably not. Nonetheless, the market seems to accept this. The question is: how long will it last? We believe this situation will not persist in the long run and for this reason we […]

Market Recap 19-11-17

  United States This week, similarly to the past month, the main focus of the US market was the tax reform which would strongly impact US small-caps equities and the US dollar. In particular, on Thursday, the US House of Representatives voted to pass its version of the bill. Although this is a step forward […]

Dynamics of the Leveraged Loan Boom

Investors are demanding an increasing amount of leveraged loans, with a lower capital cushions and little covenant protections. Furthermore, they are demanding a lower spread over the floating reference rate. In this article, we will give an overview of the situation, the fundamental reasons behind this trend and the potential risks. Leveraged loans Leveraged loans […]

Trading the Dispersion: chapter II

Quick recap In the last newsletter we published an article providing the theoretical foundations of Dispersion Trading (in case you missed it: As promised to our readers, here is a follow up with some real market applications. However, you still need to wait for the chapter III in the next newsletter to see the […]

Introduction to Market Microstructure

The market microstructure of electronic markets is a topic that is usually left outside the “standard” set of courses within an academic degree, both at the B.Sc. and at the M.Sc. level. However, some knowledge of market microstructure can be particularly handy for any students willing to build a career in almost any field of […]

Trading the Dispersion: chapter I

Since the development of the Black-Scholes formula for determination of the price of options, the “implied volatility” has been an ordinary tern in markets participants’ vocabulary. Given the non-linear payoff of options, they can be used to implement trading strategies which are not directional (that is, they are not based on a bet on a […]

1 2 3 46