If something has a Sharpe Ratio of 8.38, does that mean I should sell my grandmother down the river and buy it?

We’re now ten weeks into the FT Alphaville Fantasy Football League, so it’s time to look at the Alpha generated by our teams
Continue reading: If something has a Sharpe Ratio of 8.38, does that mean I should sell my grandmother down the river and buy it?

We're now ten weeks into the FT Alphaville Fantasy Football League, so it's time to look at the Alpha generated by our teams

Continue reading: If something has a Sharpe Ratio of 8.38, does that mean I should sell my grandmother down the river and buy it?

Week Seven: FT Alphaville Fantasy Football League

Another week, another enforcement action. “Voidarama” — sorry, you’re outta here for failing to adhere to capital requirements.

The league tables are still steady where it matters, with the top two and bottom two spots unchanged. So partly motivated by that — and partly motivated by a desire to find something moving as fast as the pound — we’ve taken a look at some of the big changers last week.

Continue reading: Week Seven: FT Alphaville Fantasy Football League

Another week, another enforcement action. “Voidarama” — sorry, you’re outta here for failing to adhere to capital requirements.

The league tables are still steady where it matters, with the top two and bottom two spots unchanged. So partly motivated by that — and partly motivated by a desire to find something moving as fast as the pound — we’ve taken a look at some of the big changers last week.

Continue reading: Week Seven: FT Alphaville Fantasy Football League

Week Six: FT Alphaville Fantasy Football League

We see little practical or political upside for the Justice Department to press Deutsche Bank for a penalty that is so large that it could destabilize the bank and provoke a new financial crisis. This is why we expect the penalty to be structured so the cash payout is less than the $14 billion that seems to alarm the market. We also believe both sides are incented to quickly reach a deal.

That’s via Jaret Seiberg of Cowen on why the Justice Department might — with a strong emphasis on *might* — try to find a way to pull its punches with Deutsche to avoid landing a knockout blow. While there is certainly some political upside to punishing big banks for their past wrongdoings, Seiberg argues there is a much bigger political downside to triggering a financial crisis (or being blamed for triggering a financial crisis). He thinks Treasury secretary Jacob Lew could be minded to “discuss the global ramifications of Deutsche Bank’s financial troubles” with the Justice Department, a scenario that if implausible is at least more likely than the Fed intervening, he writes.

Continue reading: Week Six: FT Alphaville Fantasy Football League

We see little practical or political upside for the Justice Department to press Deutsche Bank for a penalty that is so large that it could destabilize the bank and provoke a new financial crisis. This is why we expect the penalty to be structured so the cash payout is less than the $14 billion that seems to alarm the market. We also believe both sides are incented to quickly reach a deal.

That’s via Jaret Seiberg of Cowen on why the Justice Department might — with a strong emphasis on *might* — try to find a way to pull its punches with Deutsche to avoid landing a knockout blow. While there is certainly some political upside to punishing big banks for their past wrongdoings, Seiberg argues there is a much bigger political downside to triggering a financial crisis (or being blamed for triggering a financial crisis). He thinks Treasury secretary Jacob Lew could be minded to “discuss the global ramifications of Deutsche Bank’s financial troubles” with the Justice Department, a scenario that if implausible is at least more likely than the Fed intervening, he writes.

Continue reading: Week Six: FT Alphaville Fantasy Football League

Week Five: FT Alphaville Fantasy Football League

Our league hasn’t been going all that long, but it seems like some congratulations are in order. Specifically self-congratulations.

Despite some trouble at the start of the season with a small number of bad actors, we have managed to clean up the system. Everything is in order. Everyone is on net positive points. Everyone got a net positive score last weekend. Everything is ok. The market works.

Continue reading: Week Five: FT Alphaville Fantasy Football League

Our league hasn’t been going all that long, but it seems like some congratulations are in order. Specifically self-congratulations.

Despite some trouble at the start of the season with a small number of bad actors, we have managed to clean up the system. Everything is in order. Everyone is on net positive points. Everyone got a net positive score last weekend. Everything is ok. The market works.

Continue reading: Week Five: FT Alphaville Fantasy Football League

Week Four: FT Alphaville Fantasy Football League

Everyone this week has been talking about the new paper from Natasha Sarin and Larry Summers asking: “Have big banks gotten safer?”

The answer they come up with, you’ll be surprised to hear, is sort of no, not really, and it’s partly the fault of post-crisis regulation.

Continue reading: Week Four: FT Alphaville Fantasy Football League

Everyone this week has been talking about the new paper from Natasha Sarin and Larry Summers asking: “Have big banks gotten safer?”

The answer they come up with, you’ll be surprised to hear, is sort of no, not really, and it’s partly the fault of post-crisis regulation.

Continue reading: Week Four: FT Alphaville Fantasy Football League

Week Three: FT Alphaville Fantasy Football League

Compliance is a bit of a growth industry these days. The vast tomes of regulation introduced since the global financial crisis have irritated bankers, but provided hours upon hours of profitable work for lawyers.

But regulation without the threat and reality of enforcement doesn’t get you very far. Despite repeated warnings in recent weeks, it seems that certain participants in the FT Alphaville Fantasy Football League have continued their shady practices.

Continue reading: Week Three: FT Alphaville Fantasy Football League

Compliance is a bit of a growth industry these days. The vast tomes of regulation introduced since the global financial crisis have irritated bankers, but provided hours upon hours of profitable work for lawyers.

But regulation without the threat and reality of enforcement doesn’t get you very far. Despite repeated warnings in recent weeks, it seems that certain participants in the FT Alphaville Fantasy Football League have continued their shady practices.

Continue reading: Week Three: FT Alphaville Fantasy Football League

Week Two: FT Alphaville Fantasy Football League and negative rates

For most of human history, financiers believed in the sanctity of the Lower Bound, imagining that if we crossed from the world of positive interest rates into the Hades of negative numbers all manner of disasters would befall society. In the real world…

For most of human history, financiers believed in the sanctity of the Lower Bound, imagining that if we crossed from the world of positive interest rates into the Hades of negative numbers all manner of disasters would befall society.

In the real world, it took six years of fallout from a global financial crisis to push us boldly below zero; in the FT Alphaville Fantasy Football League world, it took barely a fortnight.

Continue reading: Week Two: FT Alphaville Fantasy Football League and negative rates

Week One: FT Alphaville Fantasy Football League

One of the jobs financial regulators have is to ensure the stable and proper functioning of the markets and the financial sector more generally. If there are signs of abuse or unsafe practices, they are supposed to step in and sort things out. In a per…

One of the jobs financial regulators have is to ensure the stable and proper functioning of the markets and the financial sector more generally. If there are signs of abuse or unsafe practices, they are supposed to step in and sort things out. In a perfect world, they would create rules and regulations that minimised problems in the first place.

But! Writing good regulation is hard and unintended consequences have a way of unintentionally appearing. Some people will always try to game the system, in other words.

Which is why, as the regulator of the FT Alphaville Fantasy Football League, we are quite interested in the activities of three teams who managed to score a perfect zero last weekend, a good start for anyone hoping to win our coveted gold-plated rose by coming dead last.

Continue reading: Week One: FT Alphaville Fantasy Football League