Credit quants get schooled after liquidity storm upends trading

The hottest quants coming into 2020 just learned the hard way that computer-driven models are no match for a liquidity storm.

By Justina Lee / BLOOMBERG

The seizing up of debt markets sparked by the coronavirus and oil crash humbled bond investors of all stripes. For rules-based funds angling to replace their discretionary peers in particular, it’s sparked some soul searching on how their models have handled the unprecedented turmoil.

Already a subscriber?Log in here

Read the whole article

Get access for 14 days for free. No credit card is needed, and you will not be automatically signed up for a paid subscription after the free trial.

With your free trial you get:

Access all locked articles
Receive our daily newsletters
Access our app

Get full access for you and your coworkers

Start a free company trial today

Quant researcher with two centuries of return data reflects on corona-led downturn
For subscribers
Dane behind London-based quant fund with EUR 134 million AUM: "The potential is fantastic"
For subscribers

Sign up for our newsletter

Stay ahead of development by receiving our newsletter on the latest sector knowledge.

Newsletter terms

Front page now

Biodiversity is a major focus area for many pension funds. Flower fields, like the one shown here near Danish town Haslev in Denmark can create more biodiversity, wild nature and allow bees, insects and butterflies to feed. | Foto: Finn Frandsen/Ritzau Scanpix

Responsible Investing

Akademiker Pension increases focus on biodiversity

With new initiatives, AkademikerPension wants to engage in a biodiversity dialog with large Danish companies.

For subscribers

Foto: Brendan Mcdermid/Reuters/Ritzau Scanpix

Fund Management

Goldman raises USD 14bn for private equity secondaries fund

For subscribers

Photo: David Goldman/AP/Ritzau Scanpix, Jens Dresling, Lars Hansen/Ritzau Scanpix, Thomas Borberg.

AMNews

Only one Nordic fund market increased its AUM in August

For subscribers

CEO Peder Hasslev is unimpressed with Alecta's investment in Heimstaden Bostad. | Foto: PR / Alecta

Pension

Alecta’s CEO rejects controversial Heimstaden investment

For subscribers

Pension

Global equities are boosting Danish pension funds

For subscribers

Finland's LocalTapiola Asset Management, headquartered in Espoo, manages approximately EUR 2bn in private equity and private credit investments. | Photo: PR LocalTapiola.

AMNews

Operational landscape increases popularity of private credit, Finnish manager says

For subscribers

AMF appoints new manager for Swedish equities
The new manager for Swedish equities has previously worked for three Nordic banks.
For subscribers
Swedish FSA reprimands troubled pension giant
Swedish government body believes that pension firm Alecta failed to properly report its calculations of markets risks in connection with its Heimstaden investment, Svenska Dagbladet reports.
For subscribers
EM manager bets on polluting giant for his sustainable fund: "It sticks out like a sore thumb"
The Nordic responsible investors should think twice before underweighting emerging market stocks, Tim Love, investment director at Swiss asset manager GAM says in an interview with AMWatch.
For subscribers
Critics lambast Alecta for secrecy and "incompetence" in major real estate investment
The Swedish pension firm’s investment strategy in Heimstaden Bostad has been built on a risky high leverage ratio. The more money the real estate company borrowed, the higher the returns for Alecta.
For subscribers
Asset managers rebuffed as EU cracks down on use of ‘ESG’
Asset management giants criticize EU plans to restrict the use of ”ESG” and ”sustainability” in fund names, but the proposal will not be abandoned, EU watchdog says.
For subscribers
ATP on admitting billionaire investors into new venture: Our strategy remains unchanged
The Danish state pension fund does not wish to comment on the new investors, but states that its strategy is unaffected.
For subscribers

Only one Nordic fund market increased its AUM in August

While the Norwegian and Finnish investment fund markets continued to see positive net flows in August, Swedish and Danish markets saw outflows.

For subscribers

Pension

Alecta’s CEO rejects controversial Heimstaden investment

The Swedish pension giant’s new CEO understands if Alecta’s customers are angry with the much criticized investment in Heimstaden Bostad, he says in a newspaper interview.

For subscribers

Fund Management

Goldman raises USD 14bn for private equity secondaries fund

The firm has separately raised about USD 1bn for a new infrastructure secondaries fund called Vintage Infrastructure Partners.

For subscribers

Stockholm-based AMF's Swedish equity investments pulled in a return of 7.2% in H1 this year. | Foto: Pexels: Nadine Wuchenauer.

AMWatch

AMF appoints new manager for Swedish equities

The new manager for Swedish equities has previously worked for three Nordic banks.

For subscribers

Pension

Global equities are boosting Danish pension funds

The latest investment statistics from trade association Insurance & Pension Denmark show that global equities are particularly instrumental in securing returns for Danish pension funds.

For subscribers

AMNews

Operational landscape increases popularity of private credit, Finnish manager says

A thoroughly diversified alternative credit fund is benefiting from the new operating environment, says Tero Pesonen, director for private equity and private credit at LocalTapiola.

For subscribers

Jobs

See all jobs

Credit quants get schooled after liquidity storm upends trading

Read the whole article

With your free trial you get:

Get full access for you and your coworkers

Share article

Related articles:

Quant researcher with two centuries of return data reflects on corona-led downturn

Dane behind London-based quant fund with EUR 134 million AUM: "The potential is fantastic"

Sign up for our newsletter

Front page now

Akademiker Pension increases focus on biodiversity

Goldman raises USD 14bn for private equity secondaries fund

Only one Nordic fund market increased its AUM in August

Alecta’s CEO rejects controversial Heimstaden investment

Global equities are boosting Danish pension funds

Operational landscape increases popularity of private credit, Finnish manager says

AMF appoints new manager for Swedish equities

Swedish FSA reprimands troubled pension giant

EM manager bets on polluting giant for his sustainable fund: "It sticks out like a sore thumb"

Critics lambast Alecta for secrecy and "incompetence" in major real estate investment

Asset managers rebuffed as EU cracks down on use of ‘ESG’

ATP on admitting billionaire investors into new venture: Our strategy remains unchanged

Further reading

Only one Nordic fund market increased its AUM in August

Alecta’s CEO rejects controversial Heimstaden investment

Goldman raises USD 14bn for private equity secondaries fund

AMF appoints new manager for Swedish equities

Global equities are boosting Danish pension funds

Operational landscape increases popularity of private credit, Finnish manager says

Jobs