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Arbitrage in the Age of Machine-Made Volatility

Event-driven opportunities powered by rise of machines



Investors are entering a brave new world. The machine-made crash we saw in the early part of the year was illustrative – one market misstep can create a vortex of selling. As herding in ‘smart beta’ ETFs drives increasing correlations, we could witness another snap back in a market showing signs of diminishing support. After a decade of directionality, allocators are now looking to strategies with uncorrelated sources of return – of which, some will find their diversification claims tested in potentially ultra-bearish conditions.

Against this backdrop, the scene is set for the return of relative value arbitrage strategies. The rise of the machines, combined with the decline of investment banking trading, has led to an unprecedented level of event-driven opportunities. From mispricing around new capital raises to regulatory change, shareholder buy backs, security issuance and capital restructuring, there has never been more fertile ground to unearth sources of uncorrelated alpha.

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