Download or read book The Seasonal Patterns in ETFs Performance Volatility and Trading Activity written by Gerasimos Georgiou Rompotis and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the seasonal characteristics of ETFs return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. The paper also demonstrates the inexistence of any persistent and univocal January effect in ETFs performance. Considering the volatility and the tracking error of ETFs, the paper demonstrates that a semi-strong seasonality in risk of ETFs exists during November and that ETFs achieve their best replication performance in November too. The combination of high average performance and low average risk and tracking error signals an opportunity for investors to gain sufficient returns by exposing themselves in modest or low volatility and tracking failure. Also, a straightforward relationship among risk and tracking error is demonstrated by the paper. Finally, the study indicates that there is no a specific and stead monthly effect in ETFs trading activity but there is some evidence for the direct conjuncture among risk and volume. This positive connection is basically interpreted in selling of ETF shares when investors perceive that their investments are over risky.
Download or read book Evaluating the Seasonality and Persistence of ETFs Performance and Volatility written by Gerasimos Georgiou Rompotis and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: By breaking down ETFs in broad, sector and international market categories as well as in large, medium and small cap classes of capitalization we demonstrate that a substantially positive November effect influences the performance of all ETF market categories and classes of capitalization. We also reveal the existence of a strong reverse December effect along with a modest reverse effect that affect the ETFs' volatility. The modest November effect in risk is accompanied by a strong reverse November effect in tracking error related to all ETF categories and classes. Moreover, we provide slight evidence for persistence in ETFs' November performance and strong evidence for persistence in ETFs' November risk and tracking error. Further research indicates that the investing strategies which respect the November patterns in ETFs' performance can beat the buy and hold strategies on an average and accumulated level during a five-year period and that investors can gain significant returns if they allow themselves to be exposed in greater level of volatility.
Download or read book Seasonal Effects on Stock Markets and How We Can Benefit from It in Our Investing and Trading Activity written by Pimarn Charn and published by Booktango. This book was released on 2016-03-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: To increase our possibility to win and profit in investing and trading we got to know seasonal effects on stock markets. This is about understanding existing market patterns and cycles. We explain all these patterns in plain and simple terms that investors or traders can grasp in a short reading period so they could increase an odd on their favor to win or profit in the stock markets. Some investors and traders will be interested in the market patterns and cycles in some points. Some may already have gone on searching this information. Many of them are disappointed as they didn’t find it. They will acquire the information here and don’t have to read all kind of theories and references that many other books of this kind present. As investors and traders, we just want to know what they are and how good we could and should believe in it. Also, what is the simple logic behind this belief or information? Are they making sense to us? What are their applications? Should we be more comfortable to apply it in our situation? Do they really work? How could we benefit from it and make profit in our investing and trading activities. One of the significant phenomena is the best trading period of the year. It often occurs time after time. Also, we will learn all kinds of seasonal effects which include calendar effects, month of the year effects, government related effects, day and hour of the week and day, and the supply and demand of goods and services. On the month of year effects, we will learn about January barometer, September effect, May principle or Halloween indicator, Mark Twain effect, The Santa Claus rally or December effect, and January effect. On the government related effect, we will be learning about the presidential election effect and the congressional effect. On the demand and supply of goods and services, we will explain on how market supply and demand affect the stock price.
Download or read book ETF written by 黃惠琳 and published by 黃惠琳. This book was released on 2022-03-24 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate goal of this thesis is to construct an optimal global portfolio with ETFs. We choose the iShares MSCI country index ETFs as our assets. We start with the calculation of correlation between these countries. We find out that there is potential
Download or read book ETFs and Systemic Risks written by Ayan Bhattacharya and published by CFA Institute Research Foundation. This book was released on 2020-01-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.
Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Download or read book The Outlook written by Standard and Poor's Corporation and published by . This book was released on 2009 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Alternative Investments A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Download or read book Trading VIX Derivatives written by Russell Rhoads and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Download or read book Volatility Trading website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.
Download or read book A Comprehensive Guide to Exchange Traded Funds ETFs written by Joanne M. Hill and published by CFA Institute Research Foundation. This book was released on 2015-05 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) have become in their 25-year history one of the fastest growing segments of the investment management business. These funds provide liquid access to virtually every financial market and allow large and small investors to build institutional-caliber portfolios. Yet, their management fees are significantly lower than those typical of mutual funds. High levels of transparency in ETFs for holdings and investment strategy help investors evaluate an ETF’s potential returns and risks. This book covers the evolution of ETFs as products and in their uses in investment strategies. It details how ETFs work, their unique investment and trading features, their regulatory structure, how they are used in tactical and strategic portfolio management in a broad range of asset classes, and how to evaluate them individually.
Download or read book Exchange Traded Funds in Europe written by Adam Marszk and published by Academic Press. This book was released on 2019-04-01 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-Traded Funds in Europe provides a single point of reference on a diverse set of regional ETF markets, illuminating the roles ETFs can play in risk mitigation and speculation. Combining empirical data with models and case studies, the authors use diffusion models and panel/country-specific regressions-as well as graphical and descriptive analyses- to show how ETFs are more than conventional, passive investments. With new insights on how ETFs can improve market efficiency and how investors can benefit when using them as investment tools, this book reveals the complexity of the world's second largest ETF market and the ways that ETFs are transforming it. Identifies benefits and threats that ETFs bring to European financial markets Combines empirical data with a full, in-depth analysis of the topic and the special characteristics of Europe Examines the diffusion patterns of innovative financial products, the role of ICT, and the consequent effects of ETFs on the underlying European stock markets
Download or read book Commodities written by H. Kent Baker and published by Oxford University Press. This book was released on 2018-03-06 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities: Markets, Performance, and Strategies provides a comprehensive view of commodity markets by describing and analyzing historical commodity performance, vehicles for investing in commodities, portfolio strategies, and current topics. It begins with the basics of commodity markets and various investment vehicles. The book then highlights the unique risk and return profiles of commodity investments, along with the dangers from mismanaged risk practices. The book also provides important insights into recent developments, including high frequency trading, financialization, and the emergence of virtual currencies as commodities. Readers of Commodities: Markets, Performance, and Strategies can gain an in-depth understanding about the multiple dimensions of commodity investing from experts from around the world. Commodity markets can be accessed with products that create unique risk and return dynamics for investors worldwide. The authors provide insights in a range of areas, from the economics of supply and demand for individual physical commodities through the financial products used to gain exposure to commodities. The book balances useful practical advice on commodity exposure while exposing the reader to various pitfalls inherent in these markets. Readers interested in a basic understanding will benefit as will those looking for more in-depth presentations of specific areas within commodity markets. Overall, Commodities: Markets, Performance, and Strategies provides a fresh look at the myriad dimensions of investing in these globally important markets.
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
