FX as a source of return: Is now the time to look again?

  The global trend towards lower interest rates, exacerbated by the COVID-19 crisis, has led to an environment of suppressed yields and asymmetric risk such that traditional investments no longer offer the most efficient avenue to express macro views. Currency markets can act as the last great equilibrator when it comes to levelling-up asset valuations, …read more

Why is FX volatility low? An econometric model

2018 has been an eventful year, with an ongoing trade war, tightening monetary policy from the Federal Reserve, increasing pressure in the Brexit negotiations, and a new Italian government which has resurrected fears about the stability of the Eurozone Despite this, G10 FX volatility has remained remarkably subdued In this blog post, we construct an econometric model to …read more

Market Volatility: the Brexit Premium

The uncertainty associated with the outcome of the referendum on Britain’s EU membership is already affecting financial markets and the wider economy. By examining the pricing of derivatives, we can identify the price the market is putting on this uncertainty, and what movements in currency are expected between now and the referendum itself.