Category: Markets

Market Recap 28/10/2018

US Even though the end-of-October rate increase to 2.25%, it did not catch the market by surprise, the markets experienced some turmoil in the following weeks. Since our last recap on 07/10/2018, there has been a significant correction in the major global indices, most prominently in the US, as you can see on chart below. […]

Russian Bear is Back

In this article, we will suggest some reasons to consider an investment in the Russian economy, by first introducing the international economic environment, then the specific Russian economy and finally provide an investment strategy. Why to Invest in Russia? The purpose of the article is to show why an investment in Russia could be very […]

When Cyclicality Becomes Attractive

In this article we analyze the so called “sector rotation”, which can be seen in the US stock market since the second half of 2018 and we try to exploit this phenomenon by identifying some interesting investment opportunities in the undervalued sectors. More specifically, in the first part of the article we give some basic […]

The Black-Scholes Model in VBA

The aim of this article is to walk the reader through the implementation of the Black-Scholes model for option pricing in VBA. Firstly, we’ll recap the theoretical framework. Secondly, we’ll provide the code to put the theory into practice and show some basic (but hopefully relevant) applications. The Theory – Pricing The classical Black-Scholes model […]

Market Recap 07/10/2018

US On Monday 1st October, the auction of three- and six-months treasury bills took place. The former have been issued with an average yield of 2.175% against 2.18% of the previous sitting while six-months have been issued averagely at 2.335% compared to 2.32%. Wednesday the EIA published data about WTI stock, which increased by 7.975M […]

Brazil’s “Real” Struggle: what’s next?

In this article we are going to analyse Brazil’s next General elections, scheduled to be held on October 7 (i.e. today). The first section will present some basic information about Brazil and a brief background on the current political situation. The second part will present key factors on the Brazilian economy and about the functioning […]

Market Recap 30/09/2018

UK Brexit talks continued and the Prime Minister Theresa May has been under increasing pressure during the week, amid Conservatives Annual Conference where her speech will be under scrutiny. Mr Johnson, the former foreign secretary, affirmed itself against the Chequers plan for Britain’s relations with the UK after it leaves the EU in a regular […]

Level Up! Polish Example

  This article analyses the economic landscape in Poland. It presents the figures that led FTSE Russell to review the outlook on this no-longer-emerging market. When discussing The FTSE Quality of Market criteria, the author focuses on parameters improvement, which resulted in the upgraded outlook of the Polish economy. The next paragraphs focus on more […]

What is the Real Value of Greek Banks?

Greek Banking Sector The Greek banking system is built around four large systemic banks, whose summary statistics you can see in the table below. All four banks have undergone a significant restructuring process, whereby both the asset value and the market capitalization went down a lot. In addition, a number of reverse stock splits that […]

Volatility Play on the Hidden Gold-Yuan Peg

Reserve Currencies A reserve currency is defined as a currency held by government for international payment purposes. The most important usages are: Repay back international debt (generally issued in reserve currencies) Defend the domestic currency against depreciation Improve the government credit rating Reserve currencies are many. The IMF chooses the most important ones to peg […]

A Primer on FX Carry Trading

Carry Trades and the Interest Parity Condition The uncovered interest rate parity (UIP) condition states that, under risk neutrality, the gain from borrowing a low interest rate currency and investing in a higher interest rate one will, in equilibrium, be matched by an equally large expected loss by a depreciation of the high interest rate […]

Market Recap 23/09/2018

US On Friday, the biggest revision (since 1999) in Global Industry Classification Standard took place. The new communications sector now include AT&T, Verizon, Century Link, Comcast, 21st Century Fox, Netflix, Walt Disney and, recent entrants, Alphabet and Facebook. Consequently, the Telecom sector which represented 2% of the S&P 500, will now represent 10%. According to […]

Market Recap 06/05/18

US Over the course of this week several key US data were released. On Tuesday, the Institute for Supply Management’s Manufacturing PMI was released: it fell to 57.3 from the previous month’s 59.3 and missing market expectations of 58.3. On Wednesday, the Federal Open Market Committee (FOMC) left its target range for Fed Funds Rate […]

Liquidity Shocks: Fear in the Interbank Lending Market and its Effects

Introduction In this paper, we will try to explain what are the Euro Interbank Offered Rate (Euribor) and Euro OverNight Index Average (Eonia) rates, what drives the spread between them and specifically why this was the case during the 2008 financial crisis. Euro Interbank Offered Rate (Euribor) rates are the basis for the prices of […]

Increasing Correlation and Alternative Hedging

Correlation of 10y US Treasuries with Stock Market On April 25th, the yield on the 10-year US Treasury note broke above the psychologically important 3% threshold for the first time since 2014. The yield’s high for the day was 3.033%, meaning it was just short of 3.05%, which would have put it at the highest […]

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