The seven biggest money market funds

The seven biggest money market funds used the Fed’s overnight repo facility to help boost their assets by 50% in just 18 months, while bank deposits have plunged. Now, with quantitative tightening, their strategy is changing.

Interest Rates and Confidence

While the Federal Reserve anticipates 2-3% interest rates will be enough to combat inflation, the choice of cash holdings for financial institutions provides a clue to their confidence in the Fed’s strategy. The evidence shows that they expect a bumpy ride.

Deleveraging Mechanisms

Using Credit Suisse’s Archegos report, we explore how without any fundamental change in corporate earnings or economic sentiment, deleveraging mechanisms can produce an ‘instant bear market’.

Portfolio Optimisation

Portfolio optimisation has transformed investing in recent decades. But according to a new paper, the naive application of such modelling can lead to extreme or unstable trading strategies.

SEC Crackdown

The SEC is cracking down on hedge funds that fail to provide Form PF disclosures. Risky Finance has turned the published statistics into a visualisation tool and asks whether a new LTCM could be lurking in the data.

Active Bond Funds

In a time of rising bond yields, active bond funds can use derivatives to manage duration risk. But as the experience of Pimco shows, attempts to generate alpha this way do not justify the risks or management costs.

Credit Default Swaps

Pimco’s star manager uses credit default swaps to boost returns and increase inflows to his fund. How transparent are the risks?

Risk Modelling Analysis

When I wrote the Devil's Derivatives, I looked at the risk modelling behind the ratings of CDOs, bank trading, and credit portfolios. Through a combination of bad incentives and leverage, these models performed very badly and contributed to the financial meltdown of 2007-8. Lurking in the background of my analysis was traditional portfolio modelling as…

How Japan is changing, in two charts
Japan's financial markets are undergoing profound changes.

Playing MSCI’s quarterly rebalances
Every quarter, MSCI's index rebalancing announcements can influence market behaviors.

How the S&P 500 moved into hyperspace
Two new visualisations show how AI transformed the dynamics of the S&P 500.

iBoxx top movers
Examination of significant changes in iBoxx indices.

Giving the EBA stress tests a stress test
EU bank corporate loan exposure by country.

Crime, business and benchmark rigging
Interest rate benchmark rigging fines & prosecutions.

Moonshots, moonshine and AI's inflection point
Quarterly R&D expense for companies with AI activity.

The black hole of central banking
Central bank bond holdings as a percentage of outstanding debt.