Hicham EL RHAZI

🚨 FINAL REMINDER - Annual GIPS® Compliance Notification Form Deadline Is June 30, 2024 Organizations that claim compliance with the GIPS standards are required to notify CFA Institute of their claim of compliance by submitting a GIPS Compliance Notification Form. Organizations that are newly claiming compliance with the GIPS standards must submit the GIPS Compliance Notification Form before publicly claiming compliance.  Once an organization claims compliance, it must submit an updated GIPS Compliance Notification Form annually, between 1 January and 30 June of each year. Required information includes the name of the organization, contact details for a primary and secondary contact, and whether or not the organization has been verified within the past 24 months.  Answers to other questions, including types of portfolios managed and total assets managed, are optional. All information provided must be as of the most recent 31 December. Organizations submitting a GIPS Compliance Notification Form for the first time should use the Initial Form link. Organizations submitting an annual update should use the Update Form link. https://lnkd.in/gYEsxVth

2

'Common risk factors in cross-sectional FX options returns' by Xuanchen Zhang, Raymond H Y So and Tarik Driouchi is now available in Review of Finance, Volume 28, Issue 3. Abstract: We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional FX options returns. We find that three factors—long-term straddle momentum, implied volatility, and illiquidity—can generate economically and statistically significant risk premia not explained by other return predictors. Meanwhile, the predictability of the other characteristics becomes insignificant after accounting for the FX option three-factor model. The significance of the three factors is confirmed through a series of robustness tests covering different data sources, alternative options strategies, diversification effects, bootstrapping, and omitting crisis years. Read the article: https://lnkd.in/ethzW-HF #reviewoffinance #finance

27

The Paper provides a detailed examination of the Vanna-Volga method applied to Normal volatilities, particularly in the context of interest rate markets. Here are some key points and insights from the Paper: Vanna-Volga Method Overview: The Vanna-Volga method is widely used in FX markets to interpolate/extrapolate volatility smiles using three Lognormal market quotes. This method is originally designed for Lognormal volatilities but is free of distributional assumptions, making it adaptable to other models such as Normal volatilities. Application to Normal Volatilities: The paper modifies the Vanna-Volga method to apply it to Normal volatilities, which are the current standard for interest rate markets. Only minor modifications are needed to adapt the Vanna-Volga method from Lognormal to Normal volatilities. Advantages Over SABR Model: The Vanna-Volga method can easily fit both classical convex and concave (frown) volatility smiles, which are sometimes observed in interest rate markets. It is particularly useful for modeling situations with anticipated interest rate jumps and concave patterns towards the lower end of volatility smiles. Hedging Arguments and Greeks: The paper derives the necessary Greeks for the Bachelier (Normal) case, including Delta, Vega, Volga, Vanna, and Gamma. These Greeks are used to construct hedging portfolios and to understand the sensitivities of options to changes in underlying factors. Comparison with Black 76 Model: The Bachelier (Normal) model assumes a driftless Brownian motion for the forward price, leading to simpler option pricing formulae compared to the Black 76 (Lognormal) model. There are similarities between the Greeks derived for Normal and Lognormal models, but the inclusion of the forward price in Lognormal Greeks is a key difference. Practical Implications: The Normal Vanna-Volga method can achieve machine-precision level smile construction without the need for Taylor-series approximations. This makes it a robust and practical tool for interest rate market practitioners. Kickstart your Quant Interview Prep Check out Quant Insider Stack - https://lnkd.in/gcfdUEfg A Bundle of Interview Byte, Quantopia Library, and Quant Insider Project Handbook ‘Interview Byte’ contains 500+ Interview questions (https://lnkd.in/gkqcrrKf) Quantopia Library is the goldmine for building your domain knowledge (https://lnkd.in/geThBB4d) Quant Insider Project Handbook has 10 HFT/hedge fund industry-oriented projects(https://lnkd.in/gWBEn78U) Quant Insider Career Catalyst is your guide to all interview prep tips, preparation roadmap and job application strategies (https://lnkd.in/gVhA4tNG) Checkout our course Machine Learning for Finance - Designed by Industry Veterans Hariom Tatsat, CQF, FRM with years of working at Wallstreet - https://lnkd.in/gtJDWcus Use Coupon code - "EARLYBIRD20" for 20% off on the course

172

6 Comments

Let's dig into FRM T1-11. The information ratio is active (or residual) return divided by active (or residual) risk. Active risk is also called tracking error, so the "active information ratio" is given by (active return)/(tracking error). Learn more: https://bit.ly/3xELibu

3

Have you explored the 2024 CQF Careers Guide to Quantitative Finance yet? Download your copy to discover the skills needed and typical salaries across six quant finance career paths: https://ow.ly/qmzF50Sk6BO #CQF #quant #finance #quantfinance #quantitativefinance #financialengineering #career #datascience #machinelearning #riskmanagement #portfoliomanagement #trading #quantstrategies #technology

12

Societe Generale is acquiring a 75% stake in Reed Management SAS Reed Management SAS are an alternative Asset Management company specialising in sustainable infrastructure. Reed Management SAS was founded by Julien Touati, an investment expert with nearly 20 years of experience, including 12 years at Meridiam, where he launched and managed the Meridiam Transition Fund. As part of the deal, Societe Generale is committing EUR 250 million to Reed's inaugural fund, launching before year-end, to support emerging leaders in the energy transition. This investment is part of Societe Generale's broader EUR 1 billion commitment to the energy transition, focusing on hybrid infrastructure projects in energy, water, and waste. The company will be rebranded as “REED - Societe Generale Group,” with Touati as CEO, aiming to become a leading global investor in the energy transition. Reed’s investment mandate includes direct equity participation in firms driving the low-carbon transition, emphasising innovative approaches to de-risking and scaling projects. #energytransition #investment #infrastructure https://lnkd.in/dSxH_wQz

37

Issuance remains elevated in high yield markets – but does this matter? In his latest Azhar’s Crunching Credit blog, Azhar Hussain, Head of Global Credit, rewinds the clock on several credit stories he pinpointed recently and looks at how they are unfolding. Read now: https://ow.ly/apCY50SUElT #GlobalCredit #HighYield #FixedIncome

17

The current environment of low margins, persistent inflation, and unpredictable interest rates may have encouraged investor appetite for hybrids, despite these securities having some of the lowest margins since the implementation of the Basel III framework. Following this successful capital note issuance, NAB disclosed its half-year results, showcasing a robust financial health with a Common Equity Tier 1 ratio of 12.21%. The recent NAB Capital Note 8 issuance demonstrated significant market enthusiasm, achieving an oversubscribed order size with demands exceeding $2.8 billion, far surpassing the initial target of $750 million. This strong demand led to an increased issuance to $1.0 billion, a testament to strong appetite despite the narrow margin environment. The final price was set at 3mBBSW + 260 bps. Reach out to us if you are interested in further research and or technical analysis on these notes. #fixedincome #capitalnotes #hybrids #banks #investing

17

🎥 [#Replay] | If you missed our latest #ETF Bond Briefing, featuring Olivier Genin and Valentine Ainouz, you can catch the replay now. Despite signs of slowing growth, the consensus forecast remains a soft landing. Investors are generally more confident that inflation will return to target in 2025, and are expecting interest rates cuts. This environment presents a favorable backdrop for credit markets, supported by robust fundamentals, strong demand, attractive yields and carry support. Bond Briefing replay⤵ https://ow.ly/P16Z50Tm5El

45

Cross-Asset Technical Outlook 📊 Our 'week ahead' report is out for distribution. Talking points : 👉🏽ES, NQ targets for next week 👉🏽EM futures (MES1) targets for next week 👉🏽Where next for our Nikkei longs (NK1) 👉🏽BBDXY outlook 👉🏽USD options skew and implications for underlying 👉🏽USD agg. speculative positioning 👉🏽Breakout in G-10 FX carry index 👉🏽G-10 momentum leaders and laggards 👉🏽AUD/USD long-term pattern breakout 👉🏽AUD/CNH and AUD/SGD 👉🏽USD/NOK July 2023 deja-vu 👉🏽USD/PLN and USD/HUF 👉🏽BRL/ZAR tactical play 👉🏽Asia/$ outlook after holding key support for 2nd week 👉🏽UST 2-yr yield and Citi US Eco Surprise 👉🏽TU1 game plan 👉🏽UST 5y nominal and real yield outlook - big level breaks on reals 👉🏽 SOFR opportunities next week 👉🏽 ERM5-SFRM5 outlook after big level gives way 👉🏽 UST curve outlook - 2s10s and 5s10s... steepening checkmate! 👉🏽 Gold, Silver, Oil, Copper - bias and targets If you are an institutional participant, contact me for a copy of this report. IB me on Bbg of email at [email protected]

3