Browsing: volatility

Posts Tagged ‘ volatility ’

Interest Rate Derivatives, Announcements and HFT: It’s All About Timing

May 23rd, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Credit Derivatives, Structured Credit Products, Structured Products

Three scholars associated with the University of Wollogong, Australia, recently published a paper on the contribution of high-frequency traders to the absorption of new information by the markets, especially in relation to the prices of interest rate derivatives. The study is the work of Alex Frino, Michael Garcia, and IvyRead More

Commodities are Beginning to Resemble Equities

Apr 7th, 2019 | Filed under: Newly Added, Commodities, The A.I. Industry, Investing in Commodities, oil, Commodities, Energy, Gold

Observers have long noticed that the relationship between return shocks and equity price volatility is asymmetric. That is, positive shocks do not have a marked effect on volatility; negative shocks do. Fischer Black wrote on the subject more than 40 years ago. Recently there has been a good deal ofRead More

A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Commodities, Structured Products

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More

Modeling the Volatility of Crypto Exchange Rates

Jan 31st, 2019 | Filed under: Newly Added, The A.I. Industry, Regulatory Environment, Emerging Alternative Investments, Digital currencies, Risk Metrics and Measurement, Risk Management & Operations, Other Topics in A.I.

GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models are very useful for estimating the volatility for a lot of more traditional assets (stocks and bonds) and their indices, which is why they’ve been around since the 1980s. But when they’re used for Bitcoin, Ethereum, Ripple, and Litecoin they yield incorrect predictions forRead More

Financialization and the Volatility of Commodity Prices

Dec 20th, 2018 | Filed under: Newly Added, Commodities, The A.I. Industry, Industry Size & Managers, Investing in Commodities, oil, Commodities, Energy, Risk Management Strategies & Processes, Risk Management & Operations

A recent article in the Journal of Risk and Financial Management  takes a fresh look at a familiar issue:  whether the development of exchange-traded funds (ETFs) and related instruments tracking the commodities industry (or, in short, the financialization of commodities) has had an impact on the volatility of the pricesRead More

Volatility & Creative Destruction: Some Pieces of the Larger Puzzle

Nov 4th, 2018 | Filed under: Newly Added, Private Equity, The A.I. Industry, Hedge Funds, Private Investments

The President’s Letter at the start of the latest Investment Quarterly from Neuberger Berman, the investment management spin-off from the late Lehman Brothers, looks at US stock market volatility through October, and fits it into the broader business-cycle picture. President (and CIO) Joseph Amato observes that optimists will look atRead More

Volatility Arbitrage and Cross-Border Options

Jul 29th, 2018 | Filed under: Newly Added, Hedge Fund Strategies, Investing in Commodities, Alpha Strategies, Risk management, Hedge Funds, Commodities, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Risk Management & Operations

A new paper, by Adriano Tosi, of the University of Zurich, Switzerland, looks at the mispricing of a cross-section of international option returns, which suggests that there is money to be made (in more decorous language a “positive risk premium” may be “commanded,”) by selling exchange-traded products and buying theRead More

AQR Makes the Case for a VRP Strategy

Jun 5th, 2018 | Filed under: Newly Added, Financial Economics Theory, Behavioral finance, Finance & Economics

AQR Capital Management, the Greenwich, CT-based global investment firm, has posted a new discussion of the volatility risk premium and of the advantages of strategies based thereon. In principle the premium would disappear if markets efficiently estimated the probability of significant losses. But it remains, because investors are risk averseRead More

It’s the Volatility (of Volatility), Stupid! 

Jun 4th, 2018 | Filed under: Newly Added, What about beta?

By Bill Kelly, CEO, CAIA Association Just about 25 years ago a political strategist named James Carville brought this phrase into the common lexicon when he used the “Economy” as the initial punchline. The resonation of that simple phrase is arguably what got Bill Clinton into the White House. At just about that same time and a short 1,000 miles away from Hope, Ark., Professor RobertRead More

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

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

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: Newly Added, What about beta?, Hedge Fund Industry Trends, Risk Metrics and Measurement, Fees, Structure of the Hedge Funds Industry

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, What about beta?, Other Topics in A.I.

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: Newly Added, Financial Economics Theory, Finance & Economics

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: Newly Added, Commodities, Hedge Fund Strategies, Investing in Commodities, Risk management, Hedge Funds, Commodities, Risk Metrics and Measurement, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Risk Management & Operations

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: Newly Added, The A.I. Industry, Industry Size & Managers, SRI and Clean Energy, Structure of the Hedge Funds Industry, Other Topics in A.I.

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: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Hedge Funds, Structure of the Hedge Funds Industry, Finance & Economics

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: Newly Added, Hedge Fund Strategies, Hedge Funds

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: Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

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: The Global Economy & Currencies, Structure of the Hedge Funds Industry

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: CAPM / Alpha Theory, Alpha Strategies, 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: Commodities, Alpha Strategies

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