Nasdaq 100 Rises >20% 4 Years; Citi Overweights Gold
Today's Picks
Nasdaq 100 Rises >20% for Fourth Consecutive Year
The Nasdaq 100 index has gained over 20% for three consecutive years from 2023 to 2025, and has risen approximately 22% so far in 2026. This marks the third time in history such a streak has occurred, with previous instances happening from 1995 to 1999 and 2019 to 2021, both followed by declines exceeding 30%.
Unlike the 1999 bubble, where the P/E ratio exceeded 100 and many companies reported losses, the current index P/E is around 34, with earnings growth exceeding 80%, providing a more solid foundation. However, high valuations may still correct due to rising interest rates or slowing growth, making a 2022-style decline possible.1
Quant Research
Application of Quasi-Monte Carlo and Global Sensitivity Analysis in Option Pricing and Greeks Calculation
How to handle the slowness and cost of high-dimensional option pricing and Greeks calculation?
The study compares Quasi-Monte Carlo (QMC) using Sobol low-discrepancy sequences against standard Monte Carlo (MC) and various sampling strategies. It finds that QMC converges faster and more stably in most cases, even in the highest-dimensional simulations. When calculating only a few Greeks, finite differences combined with QMC achieve precision comparable to the adjoint method, while saving significant implementation effort. Global sensitivity analysis attributes this to reduced effective dimensionality.
Since this research by Scoleri, Bianchetti, and Kucherenko was submitted in February this year, it has already received 3 citations.2
Modeling Financial Return Scale Dynamics via Quantile Regression to Predict VaR and ES
How to calculate VaR and Expected Shortfall (ES) robustly against fat tails and leverage effects?
The study proposes a semi-parametric approach: modeling the conditional scale of returns (the difference between two specified quantiles) using constrained quantile regression. VaR is taken as the left-tail quantile of rescaled returns, and ES is the average of quantiles below the VaR level, without distributional assumptions. Simulations and empirical results show it outperforms GARCH and joint VaR-ES quantile methods, effectively capturing daily returns of major international stock indices, including the COVID period.
This work by Liu and Luger has been published in the International Journal of Forecasting. Since its publication in March this year, it has received 3 citations.3
Industry Dynamics
Citi Wealth Maintains Risk Appetite: Underweight Duration, Overweight Gold
Citi Wealth released its quarterly long-term and short-term macro investment views, noting that 52% of PCE categories have risen over 3% in the past 12 months. The Federal Reserve raised rates by 25 basis points in September, while the ECB and BOJ also adjusted policies. Strong Q3 consumer spending supports earnings resilience. The firm recommends allocating to diversified natural resources and physical AI sectors such as industrial automation and autonomous robots, while increasing exposure to cybersecurity to manage year-end volatility.5
Quant Career
Worried About Being Labeled a "Nerd"? How Finance Interns Can Fit In Without Pretending to Understand Everything
A college student about to intern at a financial institution is concerned that colleagues often discuss sports and fitness, while they enjoy reality TV, reading, and drawing comics, and have a chronic illness. They fear being categorized as a "nerd" and excluded.
Most commenters believe that many finance professionals enjoy reading and reality TV, and sports are just one common topic. The advice is not to pretend, but to ask more questions, listen actively, occasionally participate in office activities, and be cautious about disclosing health conditions. If targeted persistently, one should document the incidents and seek help from trusted colleagues or mentors.
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