< The 2015 All-Europe Research Team
Davide Silvestrini & team
J.P. Morgan Cazenove
First-place appearances: 0
Total appearances: 5
Team debut: 2011
For a third year running, Davide Silvestrini’s London-based J.P. Morgan Cazenove group lands in second place. Noting that the compression of risk premiums has worsened the risk-reward profile of equity derivatives carry trades, the five-strong crew foresees in 2015 “a widening of the equity derivatives risk premiums, which will eventually lead to an increased attractiveness for these types of strategies,” Silvestrini reports. Also gaining popularity, the researcher says, are hybrid and light exotic options, such as a Euro Stoxx 50 call option contingent on a decline in the euro-dollar exchange rate. “These derivatives are typically cheaper than vanilla options and can be structured to capture very specific views involving more than one asset class,” he explains. For the year ahead, Silvestrini and his cohorts are advising clients to position for quantitative easing–driven euro zone equities upside via options, especially in banks and in the periphery. They also are expecting higher average volatility levels this year and believe that European volatilities will outperform U.S. volatility early this year. However, the team leader concludes, “we expect that their relative outperformance to U.S. volatility will subside in the second half of 2015 as the markets get more comfort from European Central Bank balance-sheet expansion.”