Debanu Ghosh

Following up on my initial review of Authum Investment & Infrastructure Ltd, I completed a standalone balance-sheet–driven Financial Statement Analysis (FY16–FY25) to better understand the company’s capital allocation framework. A few early observations from the analysis: • Authum’s business model is predominantly investment-led, with investments forming a large and growing share of total assets post FY20 • The balance sheet reflects a clear inflection in capital deployment, marking a transition from a legacy investment book to a scaled allocator platform • Leverage and liquidity appear structured to support long-duration investment opportunities rather than short-term lending churn • This makes standalone financials far more relevant than consolidated numbers for assessing underlying economics The exercise reinforced an important lesson: For capital allocators and hybrid NBFCs, understanding the balance sheet tells you far more than headline P&L growth. Next, I’ll be extending this into returns analysis, risk metrics, and valuation implications to assess medium-term outcomes. #EquityResearch #InvestmentBanking #NBFCs #CapitalAllocation #Authum #FinancialAnalysis #ProofOfWork

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📉 WPP plc (WPP) has fallen 64% this year—the steepest drop in the FTSE 100—while short interest doubled to 12.8% of float. Crowded and short squeeze scores are climbing, signaling heightened volatility and potential reversal risk. Hedge funds and active managers are buying on weakness, but challenges remain. Explore S3’s analytics for actionable insights into crowding, concentration, and squeeze risk: https://lnkd.in/ejqjnkGF How do you manage crowded trade risk? Join the conversation in the comments! #S3data is essential. #ShortInterest #CrowdedTrade #MarketVolatility #FTSE100

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Bond Portfolio Optimisation with Views In our latest research report, Emlyn Flint, Florence Chikurunhe and I present an optimisation framework designed to address the unique modelling challenges of managing bond portfolios. Our framework uses an affine term structure model to accurately model yield curve dynamics, while data-driven simulations enable portfolio managers to incorporate subjective views on the future to perform forward-looking optimisations and scenario analysis. The framework offers a robust and intuitive foundation for fixed-income portfolio construction and can be used for bespoke analyses on a range of strategies. You can find the report on SSRN: https://lnkd.in/d9mJExEX

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Many of the HFT quants who earn the early promotions and career progressions (and compensation bumps) all explain their contribution and improvements in a granularity of detail which highlights their adaptability and awareness of their role and impact across the trade lifecycle. This relatively recent shift is part of the compression of role responsibility from concentrated teams becoming increasingly common amongst the best pods and teams within the HFT landscape. Showcasing how QDs and FPGA engineers can improve systems for your strategy needs is an incredibly rare but invaluable insight from junior/non-senior QRs and QTs. These are some useful examples of this which can help candidates stand out in interviews and accelerate interview timelines and follow-ups requests: - A lot of QRs say some version of "I added regime filters to improve robustness." which doesn't really help teams understand the true impact on P&L. Instead saying something like "I was responsible for implementing PTP hardware timestamping at the NIC level, eliminating the 1.2µs systematic measurement error that had been flattering our reported latency benchmarks for eight months. Once we had accurate timestamps, I discovered our actual order-to-fill round trip was 3.4µs worse than we thought — which explained exactly why two of our signals were underperforming their backtest Sharpe by a consistent margin." shows initiative and value-add. - "We upgraded our internal messaging." is not a note worthy comment. Saying "Our risk management system was communicating with the trading engine over kernel TCP, introducing 8–12µs of latency on position update messages during peak load. We replaced it with RDMA over InfiniBand, bringing that latency to under 800ns with near-zero jitter. This allowed us to tighten our position limits in real time without the previous buffer we'd been carrying to account for messaging delay — which in turn increased our capital utilisation by approximately 18% on our market-making book." shows comprehensive awareness of performance management. - "We optimised CPU configuration." is forgettable. "We identified that our market data handler and order entry threads were sharing a physical core and competing for L1 cache. Isolating them to dedicated cores on the same NUMA node, with the NIC interrupt pinned to the adjacent core, reduced our median processing latency by 28% and — more importantly — eliminated the 40µs tail spikes we were seeing during busy afternoon sessions caused us to miss fills on our most time-sensitive signals." is a much more memorable conversation to have with senior quants. There are lots of examples of these from factor orthogonalisation and capacity modelling to Gross-to-Net Sharpe decompositions for QRs. For QTs these might look closer to cross-venue execution and toxicity ranking to position limit calibration details under live latency constraints.

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A Simple Multi-Curve Model for Pricing SOFR Futures and Other Derivatives by Fabio Mercurio In the below article a two-factor multi-curve model is proposed where Fed-fund, SOFR and LIBOR rates are modeled jointly. The model is used to price the newly quoted SOFR futures as well as Eurodollar futures including convexity adjustments. The author then derives pricing formulas for SOFR-based swaps. #markets #quant #finance #models #interestrates #usd #sofr #futures #convexity

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Over the last few months I've noticed a pattern that has become hard to ignore. While public markets remain popular and short-term sentiment driven, private capital is quietly re-asserting itself, especially here in the UK. UK private capital investment reached circa £29bn last year, with capital increasingly flowing into profitable, capital-efficient businesses rather than speculative growth. Venture funding also rebounded in 2025, led by later-stage rounds and founders who can demonstrate real unit economics and not just 'vision'. At the same time, many business owners I speak to are thinking less about “raising” and more about who they raise from. Conversations around strategic alignment, patient capital, and investors who understand long-term value creation are becoming more relevant than ever before. For investors, the conversation has noticed a shift as well. The question is no longer whether private markets deserve a place in a portfolio, but how selective you need to be in an environment where capital is available, but discipline matters. This is where structured, tax-efficient private investing (done properly) becomes genuinely interesting again. I’m spending a lot of time in conversations at this intersection: founders building real businesses, and investors looking beyond headlines toward long-term outcomes. Always interested to hear what others are seeing, particularly those allocating or building in private markets right now.

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Greater volatility, greater opportunities? The increasingly uncertain world before us will lead to greater market volatility, says Howard Marks, co-founder and co-chair of one of SJP’s specialist external fund managers, Oaktree Capital. Yet through this uncertainty, Howard remains optimistic about the value bonds have for investors. And in the long term, the noise of today will fade. 👉️Read the full article on our website: https://lnkd.in/eSk5gzh4

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A trend I’m seeing across trading desks: cross-strategy collaboration builds resilience. Many traders I’ve spoken to, coming from prop shops of varying tiers, have felt the limits of siloed teams and a lack of collaboration. Ultimately, when key talent leaves, desks that share knowledge and train traders across multiple strategies can absorb the impact. Judged critically, its clear that multi-strategy fluency keeps the desk stronger and more adaptable. If a high-impact/collaborative set up aligns with your needs, drop me a message! #InsearchofAlpha #quanttrading

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📊 Market making in derivatives: How liquidity providers actually generate returns Most coverage of prop trading firms focuses on strategies. This breaks down the P&L mechanics. Futures First operates across 20+ exchanges trading 350+ products. Here's what drives their returns: ⚡ Spread capture at scale → Example: WTI Crude futures bid/ask at $70.00/$70.02 = $20/contract → 10,000 contracts daily across 50 products with 2-tick spreads = $250K-$500K gross daily → Sub-millisecond quote updates via co-location minimize adverse selection 📈 What kills market makers (in order of severity): 1. Execution risk during hedge placement 2. Inventory risk from unhedged positions   3. Adverse selection from stale quotes 💡 Key insight: CME interest rate products surged 36% YoY to 14.9M daily contracts in Q3 2024. Market makers profit from volatility and volume regardless of direction—while directional traders face drawdown. The article includes: ✅ Actual spread economics by liquidity tier ✅ Risk architecture that prevents blow-ups ✅ Capital efficiency via derivatives leverage (3-12% margin controlling 10-30x notional) ✅ Why technology infrastructure = alpha (not forecasting models) Written for those preparing for MM interviews or reverse-engineering institutional strategies. No fluff—just mechanics, numbers, and verified CME data. Full breakdown: https://lnkd.in/g8BUDAFn #QuantitativeFinance #MarketMaking #DerivativesTrading #PropTrading #AlgoTrading #QuantitativeResearch #SystematicTrading #HighFrequencyTrading #HedgeFunds #AlgorithmicTrading #PortfolioManagement #RiskManagement #Finance #Investing

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ICYMI: Here's my story on Fidelity International's Diversified LTAF, which is set to allocate between £1.5bn and £2bn towards private markets over the next three years. “How much capital potentially we’re committing to the UK market in the foreseeable future or in the next few years will be crucial,” said portfolio manager Vivian Liu. “[We need] to understand the impact of whether the market can absorb a big amount of investment. Also, we need to understand its impact on expected returns.” https://lnkd.in/ewUEhT6u

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🤔 Is the Regulatory Pendulum Swinging in the UK’s Hedge Funds Arena? The UK's Financial Services Authority remains perched strategically, watching as regulation evolves. It's not just about waiting; it's about transforming an opportunity into a strategy amidst the fluid backdrop of regulatory uncertainty. Hedge funds, akin to the maneuverable sports cars of the finance world, thrive on speed and adaptability. In a world where rules can change at the drop of a hat, staying ahead requires both strategy and nimbleness. 🔍 Here's The Spin: Regulation as a Catalyst Think of regulation not as a brake but as a turbocharger in entrepreneurship. Just like unexpected market trends push startups to innovate, tighter regulations can drive hedge funds to think outside the traditional box. 1. Pre-emptive Action: Don’t wait for new rules. Start experimenting with compliance-focused strategies now. Much like testing a new product launch in a startup phase. This readiness can differentiate market leaders from followers. 2. Adopt a Holistic View: Imagine playing a game of chess without knowing the opponent's next move. Anticipating only moves within the immediate horizon can limit your victories. Hedge funds should anticipate regulatory shifts by analyzing global trends, not just local ones. Get into Action: - Risk Tolerance Reassessment: Regularly evaluate your risk tolerance in light of possible regulatory changes. This mirrors how startups reassess business risks. - Stakeholder Collaboration: Foster partnerships with regulatory bodies, much like startups engaging with ecosystem partners, to influence mutually beneficial outcomes. - Cultural Shift: Build a compliance-forward company culture where innovation within the boundaries is celebrated. 🚀 Planning with an Open Mind As the regulatory landscape morphs, grasping these changes with an opportunist mindset can be revolutionary. Hedge funds, much like businesses, must embrace risks as catalysts for strategic innovation rather than obstacles. Do you think regulatory changes present more opportunities than challenges? How would you tackle these changes head-on? #FinancialRegulation #HedgeFunds #InnovationInFinance #StrategicPlanning #UKFinance

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Most quant firms recruit from the same 6 schools. But when you pull the performance data on who actually generates alpha, something unexpected shows up. The correlation between pedigree and P&L is weaker than you'd think. Top programs get you the interview. What happens after that is different. The traders who survive aren't always the ones with the best degrees. They're the ones who can recognize when their model is breaking and adjust before the drawdown accelerates. They handle being wrong without freezing up A MIT PhD might understand stochastic calculus better than anyone in the room... but if they can't adapt when market regime shifts, that edge disappears fast. Meanwhile, there are traders from less "prestigious" backgrounds consistently printing because they developed intuition through different paths. Some came up through prop shops. Others grinded through smaller funds where you either learned fast or you were out. Here's where credentials still matter: Getting through initial screens at traditional pods. But once you're trading real capital? The feedback loop is immediate and brutal. Markets don't grade on a curve. The firms that win long-term know this, that's why performance reviews are blind. That's why cognitive flexibility tests matter more than where you did your undergrad. Does school brand still carry too much weight in quant hiring, or is the market already pricing it correctly?

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Barclays is assessing a potential acquisition of UK wealth manager Evelyn Partners and is expected to submit a bid next week. The sale process, launched earlier this year, could value Evelyn at more than £2.5bn ($3.3bn). Evelyn’s private equity owners, Permira and Warburg Pincus LLC, have asked interested parties to file non-binding offers on December 10. The outcome will determine whether Barclays proceeds with a formal proposal. https://lnkd.in/dFSW-kmf #MergersAcquisitionsDivestitures #FinancialServices #PrivateEquity

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Derivatives Market Insights: Navigating Post-Holiday Volatility Coming off the holiday weekend, markets pulled back amid a flurry of headlines surrounding tariffs. Volatility saw increased demand, with the options skew tilting higher as investors scrambled to position themselves for a July packed with tariff negotiations and corporate earnings reports. Below, we break down the key dynamics observed and highlight opportunities in this evolving market environment. Key Market Dynamics in Options Trading Surging Volatility and Bullish Skew: Tariff-related uncertainty has driven investors to seek protection and exposure to sharp market moves. This has fueled demand for options, particularly on the bullish side, pushing the skew (the relative pricing of out-of-the-money calls versus puts) higher. Implied volatility, a critical gauge of options pricing, has risen, signaling expectations of larger market swings. Activity in Short-Dated Options: We’ve observed significant interest in short-term options, especially bullish positions on the S&P 500 (SPX). Investors are buying calls to capitalize on potential upside, while some are selling puts to take advantage of the elevated skew and collect higher premiums. This mix of bullish buying and bearish selling reflects a market balancing risk and opportunity. Appeal of Short-Term Bullish Positions: Despite the uncertainty, short-term bullish positions on the SPX remain attractive. Seasonal factors, including July’s historical strength as one of the best-performing months for equities, support this view. Additionally, systematic demand (from funds and algorithms) and sustained retail participation suggest that bullish momentum could persist. Case Study: SPX Call Options SPX call options with a July 30 expiration and a 6500 strike are trading at an implied volatility of 11.5%. This level reflects a market anticipating meaningful moves but also indicates that these options’ premiums remain reasonable in the current context. Investors seeking bullish exposure may find these contracts compelling, particularly in a historically favorable month. Weekly Straddle and Macro Calendar: For this week, the straddle (a strategy combining a call and a put with the same strike and expiration) traded around 1.22%, suggesting expectations of moderate short-term moves. This aligns with a relatively quiet macroeconomic calendar, which may shift market focus to tariff headlines and early earnings season preparations. Strategic Outlook The current environment offers opportunities for investors who can navigate volatility with precision. Short-term bullish positions on the SPX, supported by seasonal tailwinds and sustained demand, present an attractive setup for those with a tactical horizon. However, tariff-related uncertainty calls for careful risk management, particularly in a market with rising skew and implied volatility. #Finance #Derivatives #OptionsTrading #SPX #MarketInsights #Hedgefunds #UnitedStates #BBVA #Jpmorgan

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