Anna Manoulik Sean McGreal Reid Hosford

Slides:

Advertisements

Similar presentations

But all of them seek one thing above all else: Clarity. In this lesson, I will try to provide clarity on the India Volatility Index or India Vix in short.

Advertisements

Contrarian & Momentum Strategies in Japan Amitabh Agrawal Karim Fahim Bernard Muller Shawn Ramsey Jason Takata Global Investment Management.

1 Quantitative Portfolio Management Dr. B. Swaminathan, PhD Partner & Director, Research LSV Asset Management Professor of Finance Cornell University.

Long-Term Return Reversal: Overreaction or Taxes? Thomas J. George University of Houston and Chuan-Yang Hwang Hong Kong University of Science and Technology.

11- 1 McGraw Hill/Irwin Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved Fundamentals of Corporate Finance Sixth Edition Richard.

Buy and Sell Timing Decisions by Mutual Fund Managers Rajiv D. Banker Janice Chen Fox School of Business Temple University √

Investing in a Volatile Market AFN Agenda Today’s market environment Is this time different? Learning from the past Gauging volatility Investing.

Why use single index model? (Instead of projecting full matrix of covariances) 1.Less information requirements 2.It fits better!

Currencies and international stock returns

Price and Earnings Momentum: An Explanation Using Return Decomposition Qinghao Mao K.C. John Wei Hong Kong University of Science and Technology NTUICF.

Estimating High Dimensional Covariance Matrix and Volatility Index by making Use of Factor Models Celine Sun R/Finance 2013.

FIN352 Vicentiu Covrig 1 Common Stocks: Analysis and Strategy (chapter 11)

 Introduction to Risk, Return, and the Opportunity Cost of Capital Principles of Corporate Finance Brealey and Myers Sixth Edition Slides by Matthew Will.

Website: Phone Number: Cardea International S.A. 75, Parc d’activités,

Proshares Ultra VIX Short-term Futures ETF (NYSE: UVXY) Andrew Jiao, James Day.

Capital Markets 1 Risk and Return: Historical Perspective Historical Returns Market Efficiency.

Class 8 The Capital Asset Pricing Model. Efficient Portfolios with Multiple Assets E[r]  0 Asset 1 Asset 2 Portfolios of Asset 1 and Asset 2 Portfolios.

Kirt C. Butler, Multinational Finance, South-Western College Publishing, 3e 21-1 Chapter 21 International Asset Pricing 21.1The Traditional CAPM 21.2The.

Equity income: a niche asset class Neil Margolis, Portfolio Manager May 2007.

1 FIN 2802, Spring 10 - Tang Chapter 7: Optimal Investment Portfolio Fin 2802: Investments Spring, 2010 Dragon Tang Lecture 18 Optimal Investment Portfolio.

Introduction to risk, return, and the opportunity

Diversification Selecting Investments. List your top 10 foods!

11-1 Lecture 11 Introduction to Risk, Return, and the Opportunity Cost of Capital.

New Trends in Portfolio Allocation Antoine Giannetti, PhD.

Chapter 11 Fundamentals of Corporate Finance sixth Edition Slides by Matthew Will McGraw-Hill/Irwin Copyright © 2007 by The McGraw-Hill Companies, Inc.

Return and Risk: The Asset-Pricing Model: CAPM and APT.

Investing in Equities, Futures and Options:.  The Efficient Market Hypothesis states that it is not possible to “beat the market” regularly.  investors.

High Momentum and Traditional Momentum Strategies: Evidence from China Traditional Momentum (Jegadeesh and Titman, 1993)  A self-financing strategy that.

DIVERSIFIED STOCK MARKET GAME. DIVERSIFIED Difficult to determine how an investment will perform Strategy is key  “Don’t put all your eggs in one basket”

Kirt C. Butler, Multinational Finance, South-Western College Publishing, 2e 23-1 Chapter 23 International Asset Pricing 23.1The Traditional Capital Asset.

Lecture 7 Introduction to Risk, Return, and the Opportunity Cost of Capital Managerial Finance FINA 6335 Ronald F. Singer.

Index Investing versus Active Investing Average market return at minimal cost versus the out- performance of market return, but at cost (transactional,

Copyright © 2002 Pearson Education, Inc. Slide 10-1.

Behavioral Finance Economics 437.

RISK MANAGEMENT WITH PROTECTIVE PUT AND. Stock-Put Insurance Suppose you want to protect a diversified portfolio such as below as an anticipated market.

Chapter 11 Section 3 Investing in Equities and Options.

FIN 351: lecture 5 Introduction to Risk and Return Where does the discount rate come from?

What is risk?. Risk Risk implies the extend to which any chosen action or an inaction that may lead to a loss or some unwanted outcome.

ETFs have soared in popularity over the last few years as a popular investment option for novice and experienced investors alike. Short for Exchange Traded.

EQUITY-PORTFOLIO MANAGEMENT

UNIT 3 OPTIONS.

Kian Guan LIM and Christopher TING Singapore Management University

A Primer on WARF’s Hedge Fund Portfolio:

Personal Finance Asset Allocation

Hasib Ahmed Phuvadon Wuthisatian Atsuyuki Naka

Chapter 11 Learning Objectives

Chapter 22 Managing an International Investment Portfolio

Investing in Equities and Options

Graph – Part IV Half page - Analysis

Chapter 8 The Gain From Portfolio Diversification

Introduction to Risk, Return, and the Opportunity Cost of Capital

Discussion by Elisabetta Basilico

Portfolio Structure: A Multi-Year Snapshot

Common Stocks: Analysis and Strategy (chapter 11)

Download the thinkorswim client

Dynamic Options Trading Strategies

Behavioral Finance Economics 437.

Behavioral Finance Economics 437.

But all of them seek one thing above all else: Clarity.

FIN 440: International Finance

VXX made Easy: What is the VXX?

How Efficient Is the Market?

COMPARATIVE ANALYSIS OF MUTUAL FUNDS

Common Stock Valuation Chapter 9

Investing Fundamentals

Account Types, Investment Strategy & Fee Minimization

Introduction to Portfolio Management

Presentation transcript:

Anna Manoulik Sean McGreal Reid Hosford Strategy rotation based on market volatility Anna Manoulik Sean McGreal Reid Hosford February 4th, 2010

The Volatility Index (VIX) Often referred to as the “investor fear gauge”, the VIX is a measure of the volatility of S&P 500 index options (SPX). This option activity implies future volatility on the S&P 500. Since its introduction in 1993, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility. Information obtained from “Understanding VIX” by: Robert E. Whaley founder of the VIX measure

Motivation The Effect of Market Regimes on Style Allocation, by: Manuel Ammann and Michael Verhofen High-Variance Regime,  value stocks deliver a good performance, Low-Variance Regime  market portfolio and momentum stocks promise high returns. Market Volatility and Momentum, by: Kevin Q. Wang, Jianguo Xu High volatility  poor momentum strategy performance,

Description Momentum: 12 month evaluation period and 3 month holding period (based on “Returns to buying winners and selling losers: Implications for stock market efficiency” by: Jegadeesh and Titman) Value stocks: Chosen based on an industry diversified basket containing top 5% of companies in terms of Book/Market