Gideon I: the FTC equity strategy
... As promised, FTC’s trend-following fund-of-funds strategy has survived the crisis months on the world markets since 2008 much better in comparison with conventional equity funds. Since February 2009, FTC has been applying an additional longshort overlay in Gideon I. Read this issue of FTC.update to ...
... As promised, FTC’s trend-following fund-of-funds strategy has survived the crisis months on the world markets since 2008 much better in comparison with conventional equity funds. Since February 2009, FTC has been applying an additional longshort overlay in Gideon I. Read this issue of FTC.update to ...
Fin30233_F2016_Hedging and VAR with DeltaGamma
... Since Delta-Gamma VaR is nonlinear function of Delta and Gamma, cannot simply add VaR, as in Delta-VaR. For portfolio of linear and/or nonlinear derivatives on a single underlying: 1) compute portfolio Delta Dp 2) compute portfolio Gamma Gp ...
... Since Delta-Gamma VaR is nonlinear function of Delta and Gamma, cannot simply add VaR, as in Delta-VaR. For portfolio of linear and/or nonlinear derivatives on a single underlying: 1) compute portfolio Delta Dp 2) compute portfolio Gamma Gp ...
STOCK - Classifications
... • Stocks of companies with profits that are increasing quickly. • Stock price will increase based on the profit increase. • Growth companies tend to spend lots of money on research and development rather than putting the profits back into the company ...
... • Stocks of companies with profits that are increasing quickly. • Stock price will increase based on the profit increase. • Growth companies tend to spend lots of money on research and development rather than putting the profits back into the company ...
Introduction to risk theory and mathematical finance
... chaos, the unexpected and undesired behavior of an observed phenomenon. It is difficult to anticipate how a chaotic model will behave, since as the name itself indicates such a model does not have predictable dynamics. But while it is hard to say how a chaotic process will behave at any specific mom ...
... chaos, the unexpected and undesired behavior of an observed phenomenon. It is difficult to anticipate how a chaotic model will behave, since as the name itself indicates such a model does not have predictable dynamics. But while it is hard to say how a chaotic process will behave at any specific mom ...
Interest Rate Risk Management using Duration Gap
... Abstract. The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns. Interest rate volatility has increased dramati ...
... Abstract. The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns. Interest rate volatility has increased dramati ...
Number 67
... sets of risk-allocation. Value-based generational accounting is used as the framework of the analysis. First, they find that a pension deal is a zero-sum game in value terms; then, by introducing a welfare analysis of pension deals, they show that a pension deal is potentially a positive-sum game in ...
... sets of risk-allocation. Value-based generational accounting is used as the framework of the analysis. First, they find that a pension deal is a zero-sum game in value terms; then, by introducing a welfare analysis of pension deals, they show that a pension deal is potentially a positive-sum game in ...
rebalance - ProFunds
... • Percentage Trigger. A larger percentage trigger implies that fewer trades may be required over time. All other factors being equal, a percentage trigger of ±10% will require less rebalancing than one of ±5%, although the size of your trades may be larger. This information is provided to illustrat ...
... • Percentage Trigger. A larger percentage trigger implies that fewer trades may be required over time. All other factors being equal, a percentage trigger of ±10% will require less rebalancing than one of ±5%, although the size of your trades may be larger. This information is provided to illustrat ...
Deriving Market Expectations for the Euro-Dollar
... on hedging strategies, traders assess relevant prevailing market indicators for measuring risk. That is, observing today’s asset price, traders predict where the price might be at a given future date based on the dynamics of an inherent stochastic process. The different values the price may take in ...
... on hedging strategies, traders assess relevant prevailing market indicators for measuring risk. That is, observing today’s asset price, traders predict where the price might be at a given future date based on the dynamics of an inherent stochastic process. The different values the price may take in ...
Coherent Distortion Risk Measures in Portfolio Selection
... Basel II, which are recommendations on banking laws and regulations mandated by Basel Committee on Banking Supervision (see Cooke [12]). CVaR is recommended by the National Association of Insurance Commissioners (NAIC) for setting regulatory risk-based capital requirements for variable annuities and ...
... Basel II, which are recommendations on banking laws and regulations mandated by Basel Committee on Banking Supervision (see Cooke [12]). CVaR is recommended by the National Association of Insurance Commissioners (NAIC) for setting regulatory risk-based capital requirements for variable annuities and ...
Asset Management Services Capital Markets Review
... the United Arab Emirates. MSCI Local Currency: A special currency perspective that approximates the return of an index as if there were no currency valuation changes from one day to the next. MSCI EAFE U.S. Dollar: An unmanaged capitalization-weighted index of companies representing the stock market ...
... the United Arab Emirates. MSCI Local Currency: A special currency perspective that approximates the return of an index as if there were no currency valuation changes from one day to the next. MSCI EAFE U.S. Dollar: An unmanaged capitalization-weighted index of companies representing the stock market ...
intermarket technical research of the us capital markets and the
... 1999 to April 2014. Internal data are not included in the examination. The aim was to analyse how the U.S. markets as the main driver of global financial markets (Ehrmann et al., 2011) explain asset prices movements in the Czech stock market during the past fieen years, and study the linkages between ...
... 1999 to April 2014. Internal data are not included in the examination. The aim was to analyse how the U.S. markets as the main driver of global financial markets (Ehrmann et al., 2011) explain asset prices movements in the Czech stock market during the past fieen years, and study the linkages between ...
Corporate Finance
... Investment strategies Speculative: choosing higher beta o Increases expected return and risk o Used by more aggressive mutual funds Hedging (systematic risk): β = 0 o Market-neutral strategy: return does not depend on the market movement o Often used by hedge funds Arbitrage: riskless profit ( ...
... Investment strategies Speculative: choosing higher beta o Increases expected return and risk o Used by more aggressive mutual funds Hedging (systematic risk): β = 0 o Market-neutral strategy: return does not depend on the market movement o Often used by hedge funds Arbitrage: riskless profit ( ...
Capital Market Review - Allegheny Financial Group
... quarter, with five outperforming the broad market. Financial Services was the strongest at 21.1%. Energy followed at 7.3% and Industrials at 7.2%. Telecom returned 4.8% and the final sector to outperform the market was Materials, returning 4.7%. The other positive, but underperforming sectors were C ...
... quarter, with five outperforming the broad market. Financial Services was the strongest at 21.1%. Energy followed at 7.3% and Industrials at 7.2%. Telecom returned 4.8% and the final sector to outperform the market was Materials, returning 4.7%. The other positive, but underperforming sectors were C ...
Cross-Industry Product Diversification
... although the volatility of banks’ net operating income declines, the lower volatility is not due to diversification benefits but because of reduced volatility of net interest income. Second, at the micro level, increased reliance on non-interest income is accompanied by higher risk and lower risk-a ...
... although the volatility of banks’ net operating income declines, the lower volatility is not due to diversification benefits but because of reduced volatility of net interest income. Second, at the micro level, increased reliance on non-interest income is accompanied by higher risk and lower risk-a ...
FTSE Value-Stocks Index Series Extended with a New
... Teresa Yu, Associate Director, Marketing and Communications Tel: +852 2143 0320 Email: ...
... Teresa Yu, Associate Director, Marketing and Communications Tel: +852 2143 0320 Email: ...
Equilibrium asset prices with undiversifiable labor income risk
... Every consumer receives a known endowment y, > 0 of the consumption good (a fruit) in the first period of life and a random second-period endowment y’ > 0. All consumers face the same probability distribution of F, but realizations of 9 are idiosyncratic: agents therefore differ ex post, although no ...
... Every consumer receives a known endowment y, > 0 of the consumption good (a fruit) in the first period of life and a random second-period endowment y’ > 0. All consumers face the same probability distribution of F, but realizations of 9 are idiosyncratic: agents therefore differ ex post, although no ...
Understanding Secular Stock Market Cycles
... terms—and thus makes secular cycles mathematically-driven and not phenomena or coincidences. This principle identifies the significant effect that stock market revaluation has on realized market returns. It also highlights the need to focus on decade-long periods and not century-long average returns ...
... terms—and thus makes secular cycles mathematically-driven and not phenomena or coincidences. This principle identifies the significant effect that stock market revaluation has on realized market returns. It also highlights the need to focus on decade-long periods and not century-long average returns ...
Paper-14: Advanced Financial Management
... to India Infrastructure Finance Company Limited (IIFCL) Project is to increase the availability of long-term financing for infrastructure PPP projects. There are two components the project, the first component being long-term finance to infrastructure projects. This component will provide long-term ...
... to India Infrastructure Finance Company Limited (IIFCL) Project is to increase the availability of long-term financing for infrastructure PPP projects. There are two components the project, the first component being long-term finance to infrastructure projects. This component will provide long-term ...
Batelco`s Cost of Capital
... Thus, for the purposes of this determination, the TRA has determined the country risk premium for the cost of debt at 1.5%. 2.2.3 Company debt premium During the consultation, the TRA had proposed a company debt premium in the range of 0.8% - 1.0% based on an AA credit rating for Batelco (Standard & ...
... Thus, for the purposes of this determination, the TRA has determined the country risk premium for the cost of debt at 1.5%. 2.2.3 Company debt premium During the consultation, the TRA had proposed a company debt premium in the range of 0.8% - 1.0% based on an AA credit rating for Batelco (Standard & ...
http://www-935.ibm.com/services/us/imc/pdf/ge510-6270-trader.pdf
... (more volatile pools, such as certain types of hedge funds and private equity) and passive investing (index funds, exchange-traded funds and certain types of derivatives). Firms that understand how to best match assets to liabilities – and, over time, can execute on that understanding – will attract ...
... (more volatile pools, such as certain types of hedge funds and private equity) and passive investing (index funds, exchange-traded funds and certain types of derivatives). Firms that understand how to best match assets to liabilities – and, over time, can execute on that understanding – will attract ...
Income as the Source of Long-Term Returns
... reasons. First, individuals and institutions may be investing for retirement purposes or with liability needs that have a horizon of 20 years or more. Second, the characteristics of investment returns may change significantly if long term is redefined from five years to 20 years or more. While our d ...
... reasons. First, individuals and institutions may be investing for retirement purposes or with liability needs that have a horizon of 20 years or more. Second, the characteristics of investment returns may change significantly if long term is redefined from five years to 20 years or more. While our d ...
Challenges of Investing in Emerging Capital Markets: Integration vs. Segmentation
... Paper presented by Global Investment House in the ...
... Paper presented by Global Investment House in the ...
File - The Institute of International Finance
... Equity Swaps provide yield enhancement and market access (where direct market access to investors is not feasible), and thus serve an important role in equity markets. Under the Revised NSFR, equity positions held as hedges against equity swaps would attract RSF factors of 50 or 85 percent, with no ...
... Equity Swaps provide yield enhancement and market access (where direct market access to investors is not feasible), and thus serve an important role in equity markets. Under the Revised NSFR, equity positions held as hedges against equity swaps would attract RSF factors of 50 or 85 percent, with no ...
The Variability of IPO Initial Returns
... What might drive the positive correlation between mean and volatility? • IPOs characterized by greater information asymmetry tend to be underpriced more – Beatty and Ritter’s (1986) extension of Rock (1986) – Sherman and Titman (2002) – effects of costly information ...
... What might drive the positive correlation between mean and volatility? • IPOs characterized by greater information asymmetry tend to be underpriced more – Beatty and Ritter’s (1986) extension of Rock (1986) – Sherman and Titman (2002) – effects of costly information ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.