Portfolio Optimisation

Portfolio optimisers often give results that are extreme and unstable. With so many variables involved, it can be hard to decipher why. This article presents a simplified formula for a two-asset optimisation which will bolster your intuitive understanding of how a portfolio optimiser behaves and why it may behave badly. Download the paper here.

Trading Volume Paradox

Trading volume is much higher than economists predict. Quant Tom Hyer addresses the paradox from the perspective of relative value.

Close-out Netting Provisions

The banking industry has long argued that close-out netting provisions in derivative contracts reduce systemic risk, and successfully lobbied to have 'safe harbour' provisions to protect counterparties from bankruptcy claims. This is embedded in US Generally Accepted Accounting Principles, resulting in trillions of derivatives exposures not being counted on bank balance sheets. However, the Lehman Brothers' collapse illustrates a counterpoint to this argument.

Recent Articles

[How Japan is changing, in two charts](/content/2026/03/how-japan-is-changing-in-two-charts/ "How Japan is changing, in two charts"/index.html)
Japan's financial markets are undergoing profound changes.

[Playing MSCI’s quarterly rebalances](/content/2026/03/msci-rebalancing/ "Playing MSCI’s quarterly rebalances"/index.html)
Every quarter, MSCI's index rebalancing announcements can have far-reaching impacts.

[How the S&P 500 moved into hyperspace](/content/2026/01/how-the-sp-500-moved-into-hyperspace/ "How the S&P 500 moved into hyperspace"/index.html)
Two new visualisations show how AI transformed the market dynamics.

[iBoxx top movers](/content/2025/12/iboxx-top-movers/ "iBoxx top movers"/index.html)

[Giving the EBA stress tests a stress test](/content/2016/08/giving-the-eba-stress-tests-a-stress-test/ "Giving the EBA stress tests a stress test"/index.html)

[Crime, business and benchmark rigging](/content/2016/04/crime-business-and-benchmark-rigging/ "Crime, business and benchmark rigging"/index.html)

[Moonshots, moonshine and AI's inflection point](/content/2016/04/moonshots-moonshine-and-ais-inflection-point/ "Moonshots, moonshine and AI's inflection point"/index.html)

[The black hole of central banking](/content/2016/03/the-black-hole-of-central-banking/ "The black hole of central banking"/index.html)

Notable Articles

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  • [How Covid-19 infected the corporate bond market](/content/2020/03/how-covid-19-infected-the-corporate-bond-market/ "How Covid-19 infected the corporate bond market"/index.html)
  • [Deutsche Bank and the Big Short](/content/2016/02/deutsche-bank-and-the-big-short/ "Deutsche Bank and the Big Short"/index.html)
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