I’m calling this quote of the week so far pic.twitter.com/kYrdL4JFti— Catherine Sanz (@sanzscript) February 27, 2018

Thought for the weekend
Thought for the weekend
Thought for the weekend
Thought for the weekend
Thought for the weekend
Thought for the weekend
Thought

Betting on low volatility has been a popular trade — until today, when it stopped working.Monday’s 4-per-cent selloff in US stocks was fueled by sharp changes in positioning from traders betting that volatility would stay low and making systematic bets on market momentum, according to a postmortem from JPMorgan quant analyst Marko Kolanovic.The VIX rose above 30 for the first time since 2015 that day (it was 37.32 at pixel).Now, there could be as much as $100bn of outflows from funds that trade using those types of strategies, says Kolanovic. He thinks the outflows could affect CTAs, along with funds that bet on low volatility, target volatility levels, or follow risk parity strategies.Updating to observe that exchange-traded securities investing in volatility have gotten crushed. George

8:18 pm

AS8:18pmHello everyone. Anything happening in markets?

Hinkley
Wheeeeeeee

AS8:19pmhi Hinkley, we’ve decided to start up an emergency edition of ML

AAAA
Bonsoir !

BE8:20pmTinhat

Joseph Cotterill, FT
ARE MY DOGECOIN OK

AAAA
ça change !

8:20 pm

BE8:20pmAwfully long time we’ve had to use the tin hat in earnest.

AS8:20pmMust admit, I had been lulled into complacency by a VIX at like… 7

BE8:21pmWell, 50 Cent’s going to be happy.

8:21 pm

BE8:21pm(The Vix one, not the other one.)

BE8:22pmWhat’s the damage currently, Alex?

kim
BTC is also on a dive. Is that

Is the US Treasury racking up debt this year to cover a profligate president’s mad spending spree?!?Not really, though you might think so after reading this Wonkblog post over at the Washington Post.Right after an obligatory picture of the National Debt Clock, the problems start with its claim that the Treasury expects to borrow $955bn this year.It was another crazy news week, so it’s understandable if you missed a small but important announcement from the Treasury Department: The federal government is on track to borrow nearly $1 trillion this fiscal year — Trump’s first full year in charge of the budget.That figure isn’t a forecast from the Treasury at all, but from Wall Street. It comes from a survey of 23 banks known as primary dealers, who predicted $699bn of net marketable borrowing

Bigtech and pharma companies — Apple, Alphabet and Microsoft among them — might consider borrowing some bond-market manoeuvres from the Federal Reserve.Corporate treasurers will soon need to decide how to sell hundreds of billions of dollars’ worth of investments held “offshore” for tax reasons, assuming they choose to sell them at all.Those investments are mostly made up of government and corporate bonds — American multinationals’ favourite place to stockpile foreign profits and thereby avoid US taxation. Under previous tax law, the companies could defer paying tax on profits earned abroad as long as those profits were “reinvested” in foreign subsidiaries. In practice this meant Irish and Caribbean branches of American companies accumulated dollar-denominated assets.Tax rules have

For the discerning Alphavillain… You can find this week’s full calendar here. As well as key corporate events, it features: Pop-up art school at MoMA PS1!; Trump’s State of the Union address; Mean Girls brunch; big-tech earnings; and Americana in London.On the agenda: sanctionsThere has been plenty of discussion about the new Russian oligarch list expected from the US Treasury this week (despite the fact that “oligarch” may not have a legal definition).What’s more interesting is that a report on the implications of Russian sovereign-debt sanctions is on the docket as well, and is expected by the end of January.Notably, lawmakers have demanded “a report describing in detail the potential effects of expanding sanctions … to include sovereign debt and the full range of derivative products.”

SEC Commissioner Jay Clayton is once again warning the crypto market about regulation.Lest his interest be underestimated, he wrote an op-ed with the headline “Regulators Are Looking at Cryptocurrency” published in the WSJ late Wednesday.Oh, and he co-wrote it with J. Christopher Giancarlo of the CFTC, which helps quash the idea that any crackdown could be made difficult by infighting between America’s two crypto-market regulators.From the op-ed:The SEC does not have direct oversight of transactions in currencies or commodities. Yet some products that are labeled cryptocurrencies have characteristics that make them securities. The offer, sale and trading of such products must be carried out in compliance with securities law. The SEC will vigorously pursue those who seek to evade the

SEC Commissioner Jay Clayton spoke about ICOs on Monday at the Securities Regulation Institute (a legal conference).He did not mince words.Even so, his speech was delivered with typical lawyerly understatement, and we decided it could be helpful to provide an anger translation of his speech, which you can find here.For the avoidance of doubt, we should say we have used bold, italics and a significant amount of creative license in our translation below.My first message is simple and a bit stern. Market professionals, especially gatekeepers, need to act responsibly and hold themselves to high standards. To be blunt, from what I have seen recently, particularly in the initial coin offering (“ICO”) space, they can do better.You are all members of the American Bar Association, remember? It’s an

This weekly agenda is still in the experimental phase. Hate this week’s shorter format? Love it? We’d like to hear your opinions! Send them to [email protected] or [email protected] the discerning Alphavillain: See here for this week’s full calendar. Highlights: Davos; Goodfriend’s confirmation hearing that is probably delayed by the US government shutdown; learning to be a grifter (not at Davos); BOJ/ECB rate decisions; a whiskey tasting on Burns Day.On the agenda:The US government is expected to issue more Treasuries in 2018 — could that lead to the return of the term premium?Deutsche Bank’s Torsten Slok argues that it will (somewhat indirectly, using the chart below), calling the new supply “a significant risk to markets.” The implication is that if the term premium rises and

A few breathless headlines on Wednesday gave the impression Apple was sailing ships from Ireland to the US, holds full of cash.As we’ve reported before, multinational US companies will be paying tax on the foreign profits they’ve reinvested abroad, whether the cash is “returned” to the US or not — and they have a eight-year timeframe to do so.Apple seems to want to move its offshore cash ($252bn at last check) into a US jurisdiction — at least according to Tim Cook’s comments to the WSJ after that €13b tax clawback from the European Commission. In the short term, that mostly seems to involve moving funds from a foreign account (managed in Nevada) to a domestic account (probably also managed in Nevada).The Making CapEx Great Again story doesn’t look terribly strong on closer look, either,

We’ve got another contender for the seemingly inevitable WOKE exchange-traded fund: Janus Henderson Group. (State Street and Pepsi are already on the list.)Bill Gross seems to be angling for a spot in his latest investment outlook. The note reads a bit like a monologue you’d hear from a great-uncle who considers himself progressive at a Camille Paglia book signing, and features his signature toilet leitmotif:Women have gotten the short stick or metaphorically the short rib ever since Eve, and I’m with Oprah for president and much, much more but hey, guys have got a few positive qualities that need to be mentioned. I mean when basketball players miss a free throw these days, they still get “low fives” from all their teammates. So here are a few low fives for men, men, men.Men need fewer

The “banking desert”, a financial analogue to the “food desert“, seems to be the sort of place that follows you around if you have low credit and no savings.New York Fed researchers analysed the locations of US banking deserts in a Liberty Street Economics blogpost today, and found that most of them exist “literally in deserts, where few people live”. (They define banking desert as a census tract that lacks a bank branch, or a branch within 10 miles of its center.)From the post, with our emphasis:On the policy front, physical distance from a bank seems not to be what keeps the unbanked away, and so motivating or compelling banks to open branches near the unbanked may not reduce their numbers. In fact, in the FDIC’s 2015 survey, only 2 percent of unbanked respondents cited “inconvenient

We were planning to include an events calendar with yesterday’s Alpha Agenda — but then your agenda correspondent spent seven hours in New York’s JFK Airport with a patchy mobile connection.Apologies for the delay!This week’s calendar includes: A bad consumer tech show, cheese, a David Bowie tribute, jazzfest, the archaeology of cats and dogs, Russian hackers, and “Relational Stalinism — The Musical”.

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As a reminder, this is still new, so suggestions are welcome! Please send them to alphaville[@]ft.com or alex[dot]scaggs[@]ft.com. On the agenda: Welcome to US earnings season, everyone! It’s going to be a weird one, as companies see what share of tax-bill costs global they can pull forward into 2017. From equity strategists at Bank of America Merrill Lynch: Repatriation to boost recurring EPS by 2%, but with a big one-time chargeWith an estimated $1.2tn in S&P 500 ex-Financials overseas cash and as much as $1.3tn in additional non-cash accumulated overseas profits, the one-time tax bill on deemed repatriation could result in an additional $215bn tax liability, or $25/share. The cash impact of the repatriation tax is likely to be even greater, as some of the biggest multinationals

[embedded content]Alphachat is available on Acast, iTunes and Stitcher.How do societies help people fulfill their potential? And how do they make sure the initiatives meant to help people grow — like education, and job retraining — are actually working?Nobel Prize-winning economist James Heckman has spent his career studying variations on these questions, and discusses them with Alexandra Scaggs in this week’s podcast.The University of Chicago professor argues that IQ is much less important than most people think. He has also found that quality early-childhood education can help families through generations, particularly when it’s both children and their parents doing the learning.Plus a debate about the difficulty (or lack thereof) of measuring social and emotional skills; data that show

Mitch Steves, an RBC analyst covering chipmaker stocks, can’t write in detail about specific digital coins. Crypto falls in a regulatory grey area, so most sell-side analysts steer clear.This is ostensibly just another regulation sucking all the fun out of life for sell-side analysts. Their work is being forcibly commoditised by new EU rules, and the frothiest market in the world is off limits!And yet.Our guy at RBC published “The $10tril Bull Case” — not just a bullish piece, mind you, the bullish piece — for “the Crypto-Currency space.”Steves also included a photo of a home-built digital currency “mining rig” in his 3 Jan note, metaphorically shaking his fist into the mighty gale of Mifid II the day it made landfall:He was able to write such a note because crypto creation requires

As a reminder, this is very new, so suggestions are welcome! Please send them to alphaville[@]ft.com or alex[dot]scaggs[@]ft.com. This will be the last edition of Alpha Agenda until the 8th of January. Happy holidays!For the discerning Alphavillain… Our second-ever Alpha Agenda includes: EU consumer confidence, a possible divining-rod discussion, earnings from FedEx, and a lecture about gin, which as we’re sure you know gets its distinctive piney/evergreen taste from juniper berries. The full calendar should be publicly accessible now, though we’re still sorting out ways to embed links. Happy holidays, everyone. On the agenda:Here’s a supposedly one-time expensing we’ll probably see again: Hurricane costs for cruise operators like dual-listed Carnival, which reports earnings Tuesday. The

A woman has been indicted on charges she tried to funnel money to ISIS using Bitcoin and other cryptocurrencies.The Department of Justice has unsealed a grand-jury indictment against Zoobia Shahnaz, a 27-year-old from Long Island. Prosecutors claim she fraudulently obtained money from four banks to purchase crypto and then attempted to send that money to ISIS.From the press release:As alleged in the indictment and court filings, the defendant defrauded numerous financial institutions and obtained over $85,000 in illicit proceeds, which she converted to Bitcoin and other cryptocurrencies. She then laundered and transferred the funds out of the country to support the Islamic State of Iraq and al-Sham (“ISIS”), which has been designated by the U.S. Secretary of State as a foreign terrorist

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FT Alphaville will be liveblogging the Federal Reserve’s statement and press conference later today.This presents a journalistic challenge, because we’re not sure how much truly surprising news there will be. OIS markets are pricing a 100 per cent chance of a rate increase at this meeting. One. Hundred. Per. Cent.So we decided to liven things up a bit with a game. For the London finance types staring at their smartphones at the pub, it’s an after-work drinking game. For the Americans…think of it as a way to spice up your afternoon.Alphaville encourages readers to drink in moderation, even if we don’t, because it would not be cool if we got in trouble for this.The rules:– Bitcoin mention: 1 drink. This will almost certainly happen.– Inflation described as a “mystery”: 1 drink–

Maya Kosoff has quite the idea:i would like to see these people put their (facebook-made) money where their mouths are – more powerful than a verbal condemnation would be giving up facebook shares or the $$$ they’ve made from facebook https://t.co/FspOtMe80P pic.twitter.com/xcAwjfocq9— maya kosoff (@mekosoff) December 11, 2017The idea of giving up Facebook shares is especially interesting, because it involves giving away the attendant voting rights as well. (Of course, it’s not clear what kind of voting rights Palihapitiya currently holds. And the shares’ eventual owner/s could have even less qualms about using the platform in harmful ways.)But all that aside, selling or giving away voting shares probably won’t be an effective way to force change at Facebook.You see, even if every

This is the first experimental instalment in what will hopefully become a weekly FT Alphaville offering. Consider it FT Alphaville’s take on what’s important in the coming week, from corporate reporting events and economic news to cultural and media events plus titbits about events that might otherwise go under the radar. Basically, if it might be of interest to the finance professional, we want to flag it. We’re still structuring this, so if you have any feedback on what works or doesn’t work content or structure wise — or simply want to send us some diary events for inclusion in next week’s edition — do get in touch on [email protected] Alpha Agenda is being written/overseen by Alexandra Scaggs. For the discerning Alphavillain…Our first Alpha agenda includes: Four central-bank rate

Is there a chance the tax bill isn’t great for multinational companies?Microsoft and other large-cap tech firms took a hit on Monday. Now, confidently claiming a cause for any daily market move is basically asking for mockery. But it certainly would be helpful to get software firms to clarify the exact effect the Senate’s new rules for intangible assets will have on their tax bill — not to mention the hundreds of billions of dollars’ worth of foreign profits invested offshore.In recent decades, the share of US businesses’ assets that are intangible has grown, which raises some thorny questions. If you’re a government, how do you credibly claim jurisdiction over an asset that doesn’t have a physical location or form? And if the company doesn’t report it to you, how would you even know it’s

The SEC’s cyber crime unit just filed its first charges:This is an emergency action to stop [Dominic] Lacroix, a recidivist securities law violator in Canada, and his partner [Sabrina] Paradis-Royer, from further misappropriating investor funds illegally raised through the fraudulent and unregistered offer and sale of securities called “PlexCoin” or”PlexCoin Tokens” in a putported “Initial Coin Offering.”From August 2017 through the present, Defendants have obtained investor funds— purportedly $15 million from thousands of investors, including those throughout the United States and in this District—through materially false and misleading statements made by Lacroix individually and through entities Lacroix controls, including by promising investors returns of 1,354% in under 29 days.Lacroix

From the Justice Department today:Specifically, the following substitute assets owned by Shkreli have, to date, been identified and now that Shkreli has been convicted, the Court should direct that they be forfeited to the United States in partial satisfaction of his forfeiture money judgment: (a) $5 million in cash that is currently held in an E*Trade brokerage account ending in the digits “0258” as security for Shkreli’s bond, pursuant to orders of the Court dated January 7, 2016, August 24, 2016 and October 19, 2017; (b) Shkreli’s interest in and the monetary value of any and all shares held in an entity called Turing Pharmaceuticals; (c) the album “Once Upon a Time in Shaolin” by the Wu Tang Clan, as well as any proceeds derived from the sale of such album; (d) the album “The Carter V”

Daenerys Targaryen: Lannister, Targaryen, Baratheon, Stark, Tyrell — they’re all just spokes on a wheel. This one’s on top, then that one’s on top, and on and on it spins, crushing those on the ground.Tyrion Lannister: It’s a beautiful dream, stopping the wheel. You’re not the first person who’s ever dreamt it.Daenerys Targaryen: I’m not going to stop the wheel, I’m going to break the wheel.– Game of ThronesI’ll concede this: AT&T’s DirecTV business is probably not a “golden goose”, as the Justice Department claims.Is it trying to buy earnings growth? Probably. Is it trying to steamroll its nascent online-streaming competition? Maybe! It could be hoping for both, for all we know.But the question of pay-TV’s profitability isn’t central to the issue at hand. AT&T doesn’t need high pay-TV

Call it dietary diversification: PepsiCo could be the next target for Kraft-Heinz after its failed takeover of Unilever, says CreditSights.Half of Kraft-Heinz is owned by Warren Buffet and private equity firm 3G. Buffett says he drinks five Coca-Colas every day. (Not the diet kind, improbably.)Now, some reports have speculated that AB-Inbev — the megabrewer created by 3G — could buy Coca-Cola, in which Buffett has a roughly 9 per cent stake. But as far as large targets go, though, Coca-Cola is pretty pricey. From the CreditSights note:The numbers look much more doable at PEP… PEP has a lower multiple and operating margin than KO. The margin difference is due in part to the fact that KO operates as a pure-play beverage company, while PEP generates over 50% of its revenue from snacks.A large

In Bogotá last month, two Colombian teenagers taught a classroom of educators (and one journalist) about a massacre in El Salado, a small rural town where paramilitary troops murdered at least 60 people in February 2000.It was mildly unnerving to watch teenagers calmly discuss mass murder, rape and soccer games played with severed heads. Especially because the 16-year-olds — who were both named Andrés, and said they were cousins — were not alive at the time of the violence, and gave the presentation in their second language.“How do you say ‘guerrillas’?” asked Andrés #1, a self-assured speaker who wore an earring. (The answer was, of course, “guerrillas”.) They later found out that “paramilitary” is an English cognate as well, which speaks to a bleak fact: Latin America has become so

Morgan Stanley has a note out today arguing that Airbnb is less of a threat to the lodging and travel industries than they thought just a year ago.Unfortunately for hoteliers, this news only amounts to an average 1-per-cent increase in their 2019 EBITDA estimates, and no change in current-year estimates. But, after a lengthy argument that the Airbnb Threat™ is receding and some finessing of timeframes, the analysts raise price targets for asset-light franchise hotels like Hilton and Marriott.They base their view on an online survey of 4,000 consumers from the US, UK, France and Germany, which found that 25 per cent of respondents used the service in the past 12 months. While use of Airbnb rose 3.3 percentage points from the previous year, that was a slowdown from the 7.9 percentage-point

Snapchat wants to get into the “augmented reality” business — a trend that cropped up after the Pokemon Go craze, when companies realised they could sell things by putting a layer of digital smartphone marketing onto real-world locations and products.That seems reasonable enough, since it doesn’t look like hardware has worked out very well for them.Snap’s shares have dropped more than 15 per cent since it reported earnings, which included a $39.9m writeoff for excess inventory and cancelled purchase commitments for Spectacles. The report also included 1) lower-than-expected quarterly user growth (which calls to mind the competitive threat from Instagram Stories, owned by social-media juggernaut Facebook) and 2) news of an app redesign, meant to make the service easier to use. It also