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Relative-value strategies, CSFB Equity Research, 2002-2004.
Relative Value Strategies 2002 2004
Relative Value Strategies 2002 2004
Ryan Renicker CFA
Analisi ed evidenze delle conversazioni sul web. Focus on the evidences, including social sensing.
Lo scenario online del risparmio gestito in Italia - Online & Social scenario...
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Federico Francioni
The recent financial crisis has highlighted the need to search for suitable models forecasting hedge fund performance. This paper develops and applies a framework in which to assess return predictability on a fund-by-fund basis. Using a comprehensive sample of hedge funds during the 994-2008 period, we identify the fraction of funds in each style that are truly predictable, positively or negatively, by macro variables. Out-of-sample, exploiting predictability can be di¢ cult as estimation risk and model uncertainty lead to imprecise fund forecast. Moreover, in our multi-fund setting, investors face a trade-o¤ between unconditional and predictable performance, as strongly predictable funds may exhibit low unconditional mean. Nevertheless, a strategy that combines forecasts across predictors circumvents all these challenges and delivers superior performance. We highlight the statistical and economic drivers of this performance, especially in periods when predictor values strongly depart from their long run means. Finally, we use one such period, the 2008 crisis, as a natural out-of-sample experiment to validate the robustness of our findings.
Hedge Fund Predictability Under the Magnifying Glass:The Economic Value of Fo...
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Ryan Renicker CFA
This is the presentation I gave at BWB on September 23rd 2010.
Bwb Presentation
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Rosaria Silipo
Enhanced Call Overwriting* Systematically overwriting the S&P 500 with 1-month at-the-money calls, rebalanced on a monthly basis at expiration, outperformed the S&P 500 Index during our sample period (1996 – 2005). This “base case” overwriting strategy also generated superior risk-adjusted returns versus the index. Overwriting portfolios with out-of-the-money calls tends to outperform at-the-money overwriting during market rallies, but provides less protection during market downturns. However, out-of-the money overwriting also results in relatively higher return variability and inferior risk-adjusted performance. During the sample period, overwriting the S&P 500 with short-dated options, rebalanced more frequently, outperformed overwriting with longer-dated options, rebalanced less frequently. We discuss possible explanations for these performance differences. We find that going long the market during periods of heightened short-term anxiety, inferred from the presence of relatively high S&P 500 1-month at-the-money implied volatility, has, on average, been a winning strategy. To a slightly lesser extent, having relatively less exposure to the market during periods of complacency – or relatively low implied market implied volatility – was also beneficial. We create an “enhanced” overwriting strategy – whereby investors systematically overwrite the S&P 500 or Nasdaq 100 with disproportionately fewer (more) calls against the indices when risk expectations are relatively high (low). Our enhanced overwriting portfolios handily outperformed the base case overwrite portfolios and the respective underlying indices, on an absolute and risk-adjusted basis. For example, the average annual return for the S&P 500 enhanced overwriting portfolio from 1997 – 2005 was 7.9%, versus 6.6% for the base case overwrite portfolio and 5.5% for the S&P 500 Index. Overwriting with fewer calls when implied volatility is rich, and more calls when implied volatility is cheap, could improve the absolute and risk-adjusted performance of index-oriented overwriting portfolios. This goes against the conventional tendency for investors to sell calls against their positions when implied volatility is high. *Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.
Enhanced Call Overwriting (2005)
Enhanced Call Overwriting (2005)
Ryan Renicker CFA
Source: CSFB Quantitative & Equity Derivatives Strategy, May 2002. Survey CSFB fundamental research analysts on what they believe are the factors to watch when picking stocks. Survey is segmented by sectors and industries. Provide this analysis to complement our quantitative analysis. We approach sectors and industries from both quantitative and qualitative perspectives and also list potential pitfalls to avoid. Sectors highlighted in report include: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecom and Utilities.
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Relative-value strategies, CSFB Equity Research, 2002-2004.
Relative Value Strategies 2002 2004
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Ryan Renicker CFA
Analisi ed evidenze delle conversazioni sul web. Focus on the evidences, including social sensing.
Lo scenario online del risparmio gestito in Italia - Online & Social scenario...
Lo scenario online del risparmio gestito in Italia - Online & Social scenario...
Federico Francioni
The recent financial crisis has highlighted the need to search for suitable models forecasting hedge fund performance. This paper develops and applies a framework in which to assess return predictability on a fund-by-fund basis. Using a comprehensive sample of hedge funds during the 994-2008 period, we identify the fraction of funds in each style that are truly predictable, positively or negatively, by macro variables. Out-of-sample, exploiting predictability can be di¢ cult as estimation risk and model uncertainty lead to imprecise fund forecast. Moreover, in our multi-fund setting, investors face a trade-o¤ between unconditional and predictable performance, as strongly predictable funds may exhibit low unconditional mean. Nevertheless, a strategy that combines forecasts across predictors circumvents all these challenges and delivers superior performance. We highlight the statistical and economic drivers of this performance, especially in periods when predictor values strongly depart from their long run means. Finally, we use one such period, the 2008 crisis, as a natural out-of-sample experiment to validate the robustness of our findings.
Hedge Fund Predictability Under the Magnifying Glass:The Economic Value of Fo...
Hedge Fund Predictability Under the Magnifying Glass:The Economic Value of Fo...
Ryan Renicker CFA
This is the presentation I gave at BWB on September 23rd 2010.
Bwb Presentation
Bwb Presentation
Rosaria Silipo
Enhanced Call Overwriting* Systematically overwriting the S&P 500 with 1-month at-the-money calls, rebalanced on a monthly basis at expiration, outperformed the S&P 500 Index during our sample period (1996 – 2005). This “base case” overwriting strategy also generated superior risk-adjusted returns versus the index. Overwriting portfolios with out-of-the-money calls tends to outperform at-the-money overwriting during market rallies, but provides less protection during market downturns. However, out-of-the money overwriting also results in relatively higher return variability and inferior risk-adjusted performance. During the sample period, overwriting the S&P 500 with short-dated options, rebalanced more frequently, outperformed overwriting with longer-dated options, rebalanced less frequently. We discuss possible explanations for these performance differences. We find that going long the market during periods of heightened short-term anxiety, inferred from the presence of relatively high S&P 500 1-month at-the-money implied volatility, has, on average, been a winning strategy. To a slightly lesser extent, having relatively less exposure to the market during periods of complacency – or relatively low implied market implied volatility – was also beneficial. We create an “enhanced” overwriting strategy – whereby investors systematically overwrite the S&P 500 or Nasdaq 100 with disproportionately fewer (more) calls against the indices when risk expectations are relatively high (low). Our enhanced overwriting portfolios handily outperformed the base case overwrite portfolios and the respective underlying indices, on an absolute and risk-adjusted basis. For example, the average annual return for the S&P 500 enhanced overwriting portfolio from 1997 – 2005 was 7.9%, versus 6.6% for the base case overwrite portfolio and 5.5% for the S&P 500 Index. Overwriting with fewer calls when implied volatility is rich, and more calls when implied volatility is cheap, could improve the absolute and risk-adjusted performance of index-oriented overwriting portfolios. This goes against the conventional tendency for investors to sell calls against their positions when implied volatility is high. *Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.
Enhanced Call Overwriting (2005)
Enhanced Call Overwriting (2005)
Ryan Renicker CFA
Source: CSFB Quantitative & Equity Derivatives Strategy, May 2002. Survey CSFB fundamental research analysts on what they believe are the factors to watch when picking stocks. Survey is segmented by sectors and industries. Provide this analysis to complement our quantitative analysis. We approach sectors and industries from both quantitative and qualitative perspectives and also list potential pitfalls to avoid. Sectors highlighted in report include: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecom and Utilities.
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“Long volatility” is thought to be an effective hedge against a long equity portfolio, especially during periods of extreme market volatility. This study examines using volatility futures and variance futures as extreme downside hedges, and compares their effectiveness against traditional “long volatility” hedging instruments such as out-of-the-money put options. Our results show that CBOE VIX and variance futures are more effective extreme downside hedges than out-of-the-money put options on the S&P 500 index, especially when reasonable actual and/or estimated costs of rolling contracts have taken into account. In particular, using 1-month rolling as well as 3-month rolling VIX futures presents a cost-effective choice as hedging instruments for extreme downside risk protection as well as for upside preservation.
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Big Data as easy as 1, 2, 3, ... 4 ... with KNIME
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"The Financial Crimes Enforcement Network (FinCEN) is issuing this advisory to help financial institutions guard against a growing number of e-mail fraud schemes, in which criminals misappropriate funds by deceiving financial institutions and their customers into conducting wire transfers. This advisory also provides red flags—developed in consultation with the Federal Bureau of Investigation (FBI) and the U.S. Secret Service (USSS)—that financial institutions may use to identify and prevent such e-mail fraud schemes." Source: FinCEN Advisory FIN-2016-A003, September 6, 2016
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Some insights into the value of successfully completing (and retaining) the CFA Charter. Source: CFA Societies Canada - 11 August 2015 https://www.cfasociety.org/saskatchewan/JobLine1/CFA%20Charterholder%20Compensation%20Survey%20-%20Summary%20-%20FINAL%20v2.pdf
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“Long volatility” is thought to be an effective hedge against a long equity portfolio, especially during periods of extreme market volatility. This study examines using volatility futures and variance futures as extreme downside hedges, and compares their effectiveness against traditional “long volatility” hedging instruments such as out-of-the-money put options. Our results show that CBOE VIX and variance futures are more effective extreme downside hedges than out-of-the-money put options on the S&P 500 index, especially when reasonable actual and/or estimated costs of rolling contracts have taken into account. In particular, using 1-month rolling as well as 3-month rolling VIX futures presents a cost-effective choice as hedging instruments for extreme downside risk protection as well as for upside preservation.
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In una nuvola
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In una
nuvola
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pensare…
3.
C’è anche
un po’ di fiato del bimbo
4.
del fiore
5.
e del
prato.
6.
Dal mare
blu
7.
e dalle
foglie appassite
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