Download or read book Path Dependence of Leveraged ETF Returns written by Marco Avellaneda and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that leveraged exchange-traded funds (LETFs) don't reproduce the corresponding multiple of index returns over extended (quarterly or annual) investment horizons. In 2008, most leveraged ETFs underperformed the corresponding static strategies. In this paper, we study this phenomenon in detail. We give an exact formula linking the return of a leveraged fund with the corresponding multiple of the return of the unleveraged fund and its realized variance. This formula is tested empirically over quarterly horizons for 56 leveraged funds (44 double-leveraged, 12 triple-leveraged) using daily prices since January 2008 or since inception, according to the fund considered. The results indicate excellent agreement between the formula and the empirical data. The study also shows that leveraged funds can be used to replicate the returns of the underlying index, provided we use a dynamic rebalancing strategy. Empirically, we find that rebalancing frequencies required to achieve this goal are moderate, on the order of one week between rebalancings. Nevertheless, this need for dynamic rebalancing leads to the conclusion that leveraged ETFs as currently designed may be unsuitable for buy-and-hold investors.

Download or read book Leveraged Exchange Traded Funds written by Peter Miu and published by Springer. This book was released on 2016-04-29 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraged Exchange-Traded Funds (LETFs) are publicly-traded funds that promise to provide daily returns that are in a multiple (positive or negative) of the returns on an index. To meet that promise, the funds use leverage, which is typically obtained through derivatives such as futures contracts, forward contracts, and total-return swaps. As of the end of 2012, there were over 250 LETFs in North America with total assets of approximately $32.24 billion. While the amount of assets held by these funds is still small, their popularity continues to grow as their trading volume is significantly larger and much more dynamic than traditional, non-leveraged ETFs. This comprehensive guide to LETFs provides high-level practitioners and researchers with a detailed reference tool for navigating the market and making informed investment decisions. Written from a measured analytical perspective, Miu and Charupat use clear and concise explanations of all important aspects of LETFs, focusing on such key elements as structure, pricing, performance, regulations, taxation, and trading strategies. The first two chapters set the stage for the book by identifying exactly what LETFs are and how they are regulated. The following chapters then look to bridge theory with practice to dive deep into the mechanics, portfolio rebalancing techniques, and daily compounding effects that make investing in these funds so lucrative.

Download or read book Leveraged Exchange Traded Funds written by Tim Leung and published by Springer. This book was released on 2016-02-24 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.

Download or read book The ETF Handbook written by David J. Abner and published by John Wiley & Sons. This book was released on 2016-07-27 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professional-level guidance on effectively trading ETFs in markets around the world The ETF Handbook is a comprehensive handbook for using Exchange Traded Funds, designed specifically for institutional investors and professional advisors seeking to improve ETF profitability. While ETFs trade like stocks, they are not stocks—and the differences impact every aspect of their use. This book provides full guidance toward effectively monitoring, analyzing, and executing ETFs, including the technical details you won't find anywhere else. You'll learn how they work, where they fit, and who is using them, as well as the resources that exist to provide access for investors. This new second edition includes updated coverage on how business has moved from niche to mainstream, ETF performance and issuers around the world, and changes to the users of ETFs in the US. The companion website features instructional video, as well as ready-to-use spreadsheets for calculating NAV and IIV. Most of the literature surrounding ETFs is geared toward individual investors or traders, but this book is written from the professional perspective—complete with the deeper mechanical information professionals require. Learn the analysis and execution methods specific to ETFs Discover why ETFs require a sophisticated level of skill Consider how ETFs perform in different market environments Examine the impact of managed ETF portfolio growth ETFs are incredibly flexible and valuable tools, but using them effectively demands a more sophisticated skillset, even among professional money managers and traders. Daily volumes and spreads do not tell the full story regarding availability and liquidity, and treating ETFs just like stocks can dramatically impact profits. The ETF Handbook is the professional's guide to the ETF markets worldwide with expert insight on the technical details that matter.

Download or read book Exchange Traded Funds and the New Dynamics of Investing written by Ananth N. Madhavan and published by Oxford University Press. This book was released on 2016-06-28 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Exchange-Traded Funds and the New Dynamics of Investing, Ananth Madhavan examines the quiet transformation of asset management through the rise of passive or index investing. A closely-related phenomenon is the rise of exchange-traded funds (ETFs). An ETF is an investment vehicle that trades intraday and seeks to replicate the performance of a specific index. ETFs have grown substantially in size, diversity, and market significance in recent years. These trends have generated considerable interest, especially from retail and institutional investors and increasingly from academics, regulators and the press. ETFs have the power to be a disruptive innovation to today's asset management industry because many traditional active managers and hedge funds deliver a significant fraction of their active returns via static exposures to factors like value. Indeed, for the first time ever, assets in global ETFs exceeded $3 trillion in 2015, passing the amount in hedge funds.

Download or read book Regime switching Advantage in Statistical Arbitrage Strategies Conditioned on Time Series Momentum and Volatility in Leveraged Exchange Traded Funds written by Nisheeth Saini and published by . This book was released on 2019 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: The phenomena of volatility decay (also known as time decay) and path dependence in leveraged exchange traded funds (ETF) markets have been documented in the literature. This dissertation examined whether it is possible to exploit these market conditions for leveraged ETF (LETF) trading using statistical arbitrage (StatArb) strategies. The study proposed a regime switching model tailored for LETF markets to predict volatility and time-series momentum in the behavior of the underlying indexes of the LETFs. The study then used this model to test short pair trading strategies on a varied set of commodity LETFs to see if theoretical intuitions informed by these analyses were empirically supported by data. The study also introduced the concept of lag relative expected volatility (LREV) based on inductive learning in a binary classification framework to model upward shocks in expected volatility on any given trading day. The results of this study showed that an active short pair trading strategy in commodity LETFs, conditioned on momentum and volatility, outperforms an unconditioned and passive sell-and-hold StatArb trading strategy on a risk-adjusted basis. This outperformance was, however, found to be present in Sortino ratios only. The study did not find any evidence of outperformance for the active trading strategy in either Sharpe ratios or absolute returns. The results also provided further evidence that LETFs tracking equity indexes are poor candidates for active StatArb trading strategies due to low volatility. Further, the results also indicated that any incremental deterioration in the efficiency of LETF products in rapidly fluctuating markets appears to be mostly attributable to systemic jumps in the implied volatility and less due to any incremental inefficiency in their daily rebalancing process. This finding may be of interest to the regulators. Lastly, the study also provided evidence from the LETF markets for an inverse relationship between volatility and momentum, as established in some recent studies.

Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.

Download or read book The Exchange Traded Funds Manual written by Gary L. Gastineau and published by John Wiley & Sons. This book was released on 2010-05-20 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Full coverage of ETF investments from an expert in the field The initial edition of Gary Gastineau's The Exchange-Traded Fund Manual was one of the first books to describe and analyze ETFs. It made the case for the superiority of the structure of investor-friendly ETFs over mutual funds and helped investors select better funds among the ETFs available. With this new edition, Gastineau provides comprehensive information on the latest developments in ETF structures, new portfolio variety, and new trading methods. With a realistic evaluation of today's indexes, Gastineau offers insights on actively managed ETFs, improved index funds, and fund and advisor selection. Discusses how to incorporate ETFs into an investment plan Offers updated coverage of new ETFs, including full-function actively managed ETFs, and a valuable chapter on trading ETFs Written by the leading authority on exchange traded funds Exchange-traded funds offer you diversification and participation in markets and investment strategies that have not been available to most investors. If you want to understand how to use ETFs effectively, the Second Edition of The Exchanged-Traded Fund Manual can show you how.

Download or read book Interdisciplinary Research in Technology and Management written by Satyajit Chakrabarti and published by CRC Press. This book was released on 2021-09-14 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: The conference on ‘Interdisciplinary Research in Technology and Management” was a bold experiment in deviating from the traditional approach of conferences which focus on a specific topic or theme. By attempting to bring diverse inter-related topics on a common platform, the conference has sought to answer a long felt need and give a fillip to interdisciplinary research not only within the technology domain but across domains in the management field as well. The spectrum of topics covered in the research papers is too wide to be singled out for specific mention but it is noteworthy that these papers addressed many important and relevant concerns of the day.

Download or read book Commodities Energy and Environmental Finance written by René Aïd and published by Springer. This book was released on 2015-06-30 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject. The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.

Download or read book Indices Index Funds And ETFs written by Michael I. C. Nwogugu and published by Springer. This book was released on 2019-03-09 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.

Download or read book The Institutional ETF Toolbox written by Eric Balchunas and published by John Wiley & Sons. This book was released on 2016-03-07 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get up to speed on the booming innovation surrounding institutional ETF usage. The Institutional ETF Toolbox is the institutional investor's guide to utilizing exchange-traded funds and taking full advantage of the innovative new products in their expanding repertoire. The ETF toolbox is expanding rapidly with nearly one new ETF launching every day this decade so far. As with any financial innovation, this phenomenon brings both opportunity and concerns, as well as a dire need for clarity and strong due diligence skills. This book is both reference and resource, providing data-driven explanations backed by real-world market examples—alongside valuable insight from leading practitioners. Coverage includes an examination of the advantages and growth of ETFs as well as current and future uses of ETFs, emerging markets, and the strategic and tactical perspectives you need to effectively use ETFs to optimal effect. The major concerns surrounding ETFs are addressed in full to give you the background you need to formulate a better ETF strategy. ETF allocations are expected to keep growing rapidly across all institutional types, and new and emerging products are becoming more and more liquid allowing easier expression of investment opinion. This book shows you how any investors can utilize these tools to strengthen your portfolio and safely expand into particularly appealing areas. Understand how the ETF ticks and the how to take advantage of all the myriad of advantages Learn how to perform effective due diligence using exposure, cost, liquidity, risk and structure Utilize ETFs for cash equitization, portfolio rebalancing, liquidity management, and more Learn how ETFs are expanding into equities, fixed income, emerging markets, and alternatives Learn how to avoid unwanted costs, liquidity issues and hidden complexities ETF usage is climbing with assets growing by about 25 percent per year, and those who use them expect to expand their usage quickly. The Institutional ETF Toolbox provides the actionable information institutions need to identify and adopt the most suitable approach.

Download or read book The Missing Billionaires written by Victor Haghani and published by John Wiley & Sons. This book was released on 2023-09-06 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Economist Best Book of the Year "Making Money and Keeping It" – The Wall Street Journal Over the past century, if the wealthiest families had spent a reasonable fraction of their wealth, paid taxes, invested in the stock market, and passed their wealth down to the next generation, there would be tens of thousands of billionaire heirs to generations-old fortunes today. The puzzle of The Missing Billionaires is why you cannot find one such billionaire on any current rich list. There are a number of explanations, but this book is focused on one mistake which is of profound importance to all investors: poor risk decisions, both in investing and spending. Many of these families didn’t choose bad investments– they sized them incorrectly– and allowed their spending decisions to amplify this mistake. The Missing Billionaires book offers a simple yet powerful framework for making important lifetime financial decisions in a systematic and rational way. It's for readers with a baseline level of financial literacy, but doesn’t require a PhD. It fills the gap between personal finance books and the academic literature, bringing the valuable insights of academic finance to non-specialists. Part One builds the theory of optimal investment sizing from first principles, starting with betting on biased coins. Part Two covers lifetime financial decision-making, with emphasis on the integration of investment, saving and spending decisions. Part Three covers practical implementation details, including how to calibrate your personal level of risk-aversion, and how to estimate the expected return and risk on a broad spectrum of investments. The book is packed with case studies and anecdotes, including one about Victor’s investment with LTCM as a partner, and a bonus chapter on Liar’s Poker. The authors draw extensively on their own experiences as principals of Elm Wealth, a multi-billion-dollar wealth management practice, and prior to that on their years as arbitrage traders– Victor at Salomon Brothers and LTCM, and James at Nationsbank/CRT and Citadel. Whether you are young and building wealth, an entrepreneur invested heavily in your own business, or at a stage where your primary focus is investing and spending, The Missing Billionaires: A Guide to Better Financial Decisions is your must-have resource for thoughtful financial decision-making.

Download or read book Advances in Financial Economics written by Kose John and published by Emerald Group Publishing. This book was released on 2013-12-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Financial Economics Vol. 16 contains a set of empirical papers by a set of global scholars who examine corporate governance and market regulation from a variety of perspectives.

Download or read book A Primer for Financial Engineering written by Ali N. Akansu and published by Academic Press. This book was released on 2015-03-25 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/ Provides engineering perspective to financial problems In depth coverage of market microstructure Detailed explanation of High Frequency Trading and 2010 Flash Crash Explores risk analysis and management Covers high performance DSP & financial computing

Download or read book Quantitative Finance with Python written by Chris Kelliher and published by CRC Press. This book was released on 2022-05-19 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.

Download or read book Mutual Funds and Exchange traded Funds written by Harold Kent Baker and published by Oxford University Press, USA. This book was released on 2016 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.