Browsing: volatility

Posts Tagged ‘ volatility ’

Whether Vol is High or Low, Gamma Trading Can Exploit Opportunity

Mar 5th, 2018 | Filed under: Hedge Fund Strategies, Hedge Funds, Newly Added

By Alternatives Team at Calamos Investments In 2018, volatility kicked into high gear. So far, there have been 11 days when the S&P 500 has moved at least 1%. Investors may not like the return of volatility, but it can strengthen the tailwinds for the gamma trading we do inRead More

A Rhetorical Oracle?

Feb 26th, 2018 | Filed under: Fees, Hedge Fund Industry Trends, Newly Added, Risk Metrics and Measurement, Structure of the Hedge Funds Industry, What about beta?

By Bill Kelly, CEO, CAIA Association Warren Buffett cashed out his bet and the final numbers are in courtesy of the Oracle’s annual shareholder letter. Unfortunately, the most important investment lessons have been completely lost, as the media and the investment sage have mostly used this as an opportunity toRead More

A Cautionary Tale

Feb 20th, 2018 | Filed under: Newly Added, Other Topics in A.I., What about beta?

By Bill Kelly, CAIA Association CEO Shadow or not, the groundhog brought volatility out of its burrow on February 2nd, and it is safe to say that it will persist for a lot longer than the six weeks of additional winter in the Northeast part of the USA.  Along withRead More

S&P on Reading VIX

Feb 6th, 2018 | Filed under: Finance & Economics, Financial Economics Theory, Newly Added

S&P Dow Jones Indices has put out a paper offering market participants without patience for “academic rigor” an accessible guide to the so-called “Fear Index,” the VIX, calculated from the prices of a specific basket of S&P options. The contributors to the paper are: Tim Edwards, S&P Global senior director,Read More

Below the Black: A Review of Risk Reduction Strategies

Sep 13th, 2017 | Filed under: Commodities, Commodities, Hedge Fund Strategies, Hedge Funds, Investing in Commodities, Macro and Managed Futures Funds, Newly Added, Risk management, Risk Management & Operations, Risk Management Strategies & Processes, Risk Metrics and Measurement

Excerpted from the Alternative Investment Analyst Review, Volume 1, Issue 4 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA Membership while archived issues are available to the public in the Perspectives section atRead More

Eurekahedge Reports: Total Industry Assets Stand at $2.33 Trillion

Aug 29th, 2017 | Filed under: Industry Size & Managers, Newly Added, Other Topics in A.I., SRI and Clean Energy, Structure of the Hedge Funds Industry, The A.I. Industry

Eurekahedge’s August report says that the Eurekahedge Hedge Fund Index grew by 0.88% in July 2017, while the underlying markets represented by the MSCI World Index grew by 1.64%. For June, overall, managers reported performance based losses of $8.4 billion, so that the industry growth was due entirely to netRead More

The Low Volatility Anomaly: Gunpowder Inc.

Feb 26th, 2017 | Filed under: CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Hedge Funds, Newly Added, Structure of the Hedge Funds Industry

In a new paper David Blitz, the head of quantitative strategies for Robeco Asset Management, crunches numbers and reaches a surprising conclusion, precisely contrary to an intuitively appealing theory about the low volatility anomaly.  But … let’s begin from the beginning. Standard financial economic theory holds that investors are compensatedRead More

Convertibles as a Risk Management Tool in Emerging Markets Portfolios

May 2nd, 2016 | Filed under: Hedge Fund Strategies, Hedge Funds, Newly Added

By Nick Niziolek, CFA In a recent post titled The Convertible Bond Trifecta, my colleague Scott Henderson outlined several market factors that appear supportive of convertible bonds after the volatility that started 2016. This post addresses a different role for convertibles: their use as a risk management tool within portfoliosRead More

Advice for Pension Funds Who May Have Lost Their Way

Nov 10th, 2015 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added

One panelist said that many pension funds have "lost their way and [gone] to asset allocation instead of focusing on their underlying obligations." Read More

Blame China; Blame the US Fed, whatever … August Hedge Fund Numbers Stunk

Sep 21st, 2015 | Filed under: Structure of the Hedge Funds Industry, The Global Economy & Currencies

Eurekahedge's latest round-up of hedge fund results by strategy and region makes quantitative what you, dear reader, probably knew: August was bad. The report also includes some discussion of HK/Shanghai arbitrage. Read More

Axioma on those Low-Vol Picnic Baskets

Jul 25th, 2013 | Filed under: Alpha Strategies, CAPM / Alpha Theory, Indexes

The success of low-volatility strategies has been noted in the literature at least since the mid-1970s, with the publication of a seminal work by Haugen and Heins. And such strategies continue to prove successful today. Why do they still work? Why don't the excess profits draw in the bears, consuming all the picnic baskets, driving profit levels down to normal? Read More

Waking Up to Volatility in Your Cup

Oct 23rd, 2012 | Filed under: Commodities

Coffee is an extremely volatile market. Uncertainties affect the whole chain of production, from the planter in Colombia to the local Dunkin' Donuts. Further, accusations (or the reality of) accounting chicanery are often added to the mix. Read More

Hull Warns of HFT Cancellations & the Illusion of Liquidity

Oct 17th, 2012 | Filed under: Algorithmic and high-frequency trading

The real problem behind the 2010 flash crash, Hull says, is that again as in 1987 (in a different way of course) traders were working within a market structure that allowed “the illusion of liquidity” to displace the real thing. He cites an authority, because as he says his firm, Ketchum, likes to stay close to the academic literature.Read More

Understanding VIX Part 2: Understanding VIX Futures and Exchange Traded Products

Aug 19th, 2012 | Filed under: Alpha Strategies

Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.Read More

Vol Derivatives: Robust Benefits for European Equities Portfolios

Jul 2nd, 2012 | Filed under: Derivatives

A number of U.S. centered studies before this, such as one by Robert Daigler and Laura Rossi in 2006, had found that adding a long volatility position to an underlying equity portfolio has a significant diversification effect. But the authors of the new EDHEC paper wanted to determine whether the same benefits can be found in European data. Read More

Was Managed Futures Tackled by Turbulence? When is Volatility a Friend or Foe?

May 3rd, 2012 | Filed under: Alpha Strategies, Commodities

Kathryn Kaminski tackles the tough question of volatility and how it affects managed futures.Read More