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Systematically Speaking
August 2022
The Unsurprisingly Volatile Business of Bitcoin Mining
Why we think the technicalities of Bitcoin mining explain much of Bitcoin’s extraordinary volatility profile.
Systematically Speaking
June 2022
Did You Miss the Commodity Boom?
Commodity prices are up substantially this year, but we believe structural supply and demand imbalances mean we are still in the early innings of this cycle.
Systematically Speaking
May 2022
Rising Rates and Risk Premia
In a very challenging environment for long-only investors, long/short risk premia have delivered attractive returns—but not always in the way history would have led us to expect.
Systematically Speaking
March 2022
Back to Basics: Commodities and Radical Uncertainty
Why we think raw materials can help hedge against the known knowns, the known unknowns, the unknown knowns, and the unknown unknowns.
Systematically Speaking
January 2022
Bitcoin, A Cornerstone Digital Asset: Part 4
Could Bitcoin options be the “picks and shovels” of the cryptocurrency Gold Rush, a way to convert Bitcoin from a “get rich” to a “stay rich” asset?
Systematically Speaking
December 2021
Bitcoin, A Cornerstone Digital Asset: Part 3
Our Option Group believes that Bitcoin is the most likely of all the cryptocurrencies to emerge as a durable new asset—and the difficulty of pinning down exactly what kind of asset it is could be a big reason why.
Systematically Speaking
November 2021
Bitcoin, A Cornerstone Digital Asset: Part 2
Beyond price volatility, the threat of regulation is probably the next biggest source of risk for Bitcoin and other digital assets—with financial-system risk and high energy demands topping the agenda.
Systematically Speaking
October 2021
Bitcoin, A Cornerstone Digital Asset: Part 1
Several competitors have emerged to challenge Bitcoin and its blockchain over the past decade, but here’s why our options team believes the original digital asset is the only genuine digital asset.
Systematically Speaking
August 2021
All for One, One for All
Available data suggests that a balanced risk allocation to real assets may be the most robust way to mitigate the impact of upticks in inflation.
Systematically Speaking
June 2021
Commodities: Equities or Futures?
As more investors turn their focus back to commodities, it is worth remembering that commodity equities have historically generated surprisingly poor commodity exposure relative to more direct investments.
Systematically Speaking
May 2021
Building Short-Term Resilience Into Long-Term Premia
Strategies designed to deliver risk premia over time need help to survive potential potholes and hairpin corners along the way.
Systematically Speaking
March 2021
The Hedger’s Dilemma
Demand for options-based tail risk hedging is unusually high—but is that predicated on some problematic backward-looking assumptions?
Systematically Speaking
February 2021
What to Expect When You’re Expecting Inflation
Look out for abundant money supply, increasing velocity of money, higher breakeven inflation rates in bond markets, a weaker dollar, higher commodity prices and backwardated commodity futures curves.
Systematically Speaking
December 2020
Integrated Expected Returns
How blending fundamental company insights with quantitative metrics can add depth to the expected return inputs for portfolio optimizations.
Systematically Speaking
November 2020
A Sustainable Option
The launch of S&P 500 ESG Index options marks a step forward for both ESG investing and the options market.
Systematically Speaking
September 2020
Against the Grain
Clear relative-value trades appear abundant in commodity markets, so why is it so hard to make them work in the real world—and is there a solution?
Systematically Speaking
August 2020
When Tax Alpha Is Negative
It may come as a surprise to discover that tax-loss harvesting can result in negative alpha: Here’s what’s going on.
Systematically Speaking
June 2020
How VIX history rhymes—and why we believe option writing strategies are still attractive despite the huge equity market rally.
Systematically Speaking
May 2020
Past Performance Is Not a Guarantee of Future Results
When the world is changing so rapidly and profoundly, how can we trust the underlying data used in our investment models?
Systematically Speaking
April 2020
Risk Parity and the Fallacy of the Single Cause
Were risk parity strategies really the cause of the recent correlated stock and bond market sell-off, or one of its victims?
Systematically Speaking
February 2020
Disappearing Alpha & Hidden Beta—A Sleight of Hand
Comparing Option Strategy Indices and Hedge Fund Indices before and after the 2008 ꟷ 09 financial crisis reveals that what many investors thought was “alpha” was just an illusion.
Systematically Speaking
December 2019
Fixed Expense Investing
Low and even negative yields have turned some fixed income investing into “fixed expense” investing—but there are still good reasons to hold negative-yielding bonds.
Systematically Speaking
November 2019
Two Cultures, One Aim
How genuine collaboration between quantitative and fundamental analysts can enhance stock selection and portfolio construction.
Systematically Speaking
October 2019
The Alpha Left on the Table?
The 60/40 portfolio looks “efficient”—until we drop the no-leverage constraint.
Systematically Speaking
August 2019
PutWrite Goes Global
The launch of CBOE’s ex-U.S. PutWrite indices could help build momentum for these strategies.
Systematically Speaking
June 2019
The China Factor
China’s A-share market reminds us of developed markets 20 years ago, in the heyday of quant investing.
Systematically Speaking
May 2019
Harvesting Insights from Insider Activity
The intuitive link between legal insider trades and stock returns proves elusive as a quant strategy.
Systematically Speaking
March 2019
The S&P 500 Sweepstakes
Buying call options has made unusual profits recently—has the “fear index” become a “greed index”?
Systematically Speaking
February 2019
Volatility Seems Here to Stay
Our volatility models indicate that a return to the low-vol of 2017 is highly unlikely.
Systematically Speaking
January 2019
Currency Carry: One Basket or Two?
Separating emerging and developed currencies may not be the risk-mitigating strategy it is assumed to be.