This document summarizes a low volatility equity strategy focused on the Euro Stoxx 50 Index. It discusses how the strategy aims to enhance long-term portfolio performance while reducing equity risk. The strategy constructs an optimal portfolio that minimizes variance based only on the covariance matrix, without considering expected returns. Historically, this minimum variance approach has produced higher returns with lower volatility than the benchmark, resulting in attractive risk-adjusted returns.
QNBFS Daily Technical Trader - Qatar for November 29, 2017QNB Group
The Index has created an intra-day range and we updated our first expected resistance at 7,820. Our first support, however, remains around the 7,700 level.
QNBFS Daily Technical Trader - Qatar for November 29, 2017QNB Group
The Index has created an intra-day range and we updated our first expected resistance at 7,820. Our first support, however, remains around the 7,700 level.
Short Variance Swap Strategies on the S&P 500 Index Profitable, Yet RiskyRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
qCIO Global Macro Hedge Fund Strategy - November 2014BCV
qCIO seeks to exploit evolving economic conditions and the temporary mispricings that result among individual geographies and asset classes, opportunistically adjusting our investment views in response to the changing patterns of risk and reward in the markets.
Daily Technical Trader - KSA April 17, 2016QNB Group
As we mentioned last week, the upward
trajectory was more likely to take place
on the Index. The Index now stands at an
important level just below the 6,700
points. Sustaining a break above the
mentioned level might spark breakout
buying frenzy.
Short Variance Swap Strategies on the S&P 500 Index Profitable, Yet RiskyRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
qCIO Global Macro Hedge Fund Strategy - November 2014BCV
qCIO seeks to exploit evolving economic conditions and the temporary mispricings that result among individual geographies and asset classes, opportunistically adjusting our investment views in response to the changing patterns of risk and reward in the markets.
Daily Technical Trader - KSA April 17, 2016QNB Group
As we mentioned last week, the upward
trajectory was more likely to take place
on the Index. The Index now stands at an
important level just below the 6,700
points. Sustaining a break above the
mentioned level might spark breakout
buying frenzy.
La crise financière de 2008 l’a montré: toutes les classes d’actifs subissent violemment la réalisation des risques systémiques. Deux grands types de protection émergent.
Mit der Zinswende steigt überall die Volatilität, und daraus lässt sich Kapital schlagen.
Am meisten Gewinnpotenzial bieten im heutigen Umfeld Arbitragestrategien.
Des performances stables avec les certificats de primes de risqueBCV
L'environnement fait craindre une réévaluation massive et simultanée de l'ensemble des classes d'actifs. Concevoir des solutions aux performances stables reste pourtant possible.
Erfolg ohne Absturzrisiko - Derivate machen es möglichBCV
Investition in Risikoprämien
Selektion von für Investitionen zugänglichen Risikofaktoren mit attraktivem risikoadjustiertem Performanceprofil.
Die Finanzkrisen von 2001 und 2008 haben das Bewusstsein für die latente Instabilität der Kapitalmärkte und das Ausmass der damit verbundenen Risiken geschärft. Diese Risiken sind zwar sehr unterschiedlicher Natur, aufgrund ihrer starken Vernetzung neigen sie jedoch dazu, gleichzeitig aufzutreten, was die Schockwellen verstärkt. Als Folge kommt es in allen Anlagekategorien gleichzeitig zu heftigen Kursausschlägen, sodass die grosse Mehrheit der Anleger massive Verluste erleidet.
La crise financière de 2008 l’a montré: toutes les classes d’actifs subissent violemment la réalisation des risques systémiques. Deux grands types de protection émergent.
Le Temps - 20 Octobre 2014 - Eclairage psychologique d'un choix rationnelBCV
Eclairage psychologique d'un choix rationnel
> Comportement Les investisseurs s'intéressent toujours autant aux produits structurés dits d'optimisation de la performance, au premier
rang desquels figurent les Barrier Reverse Convertible (BRC). Une analyse rationnelle ne suffit cependant pas à expliquer cette préférence.
2014-10 Eclairage Psychologique d'Un Choix Rationnel - Sacha Duparc
Dans un contexte de taux
d'intérêt très bas et de risques de
crédit peu rémunérateurs, la
recherche de rendements attrayants
alliés à une protection
partielle du capital incite gérants
et investisseurs à s'intéresser aux
produits structurés dits d'optimisation
de la performance, au
premier rang desquels figurent
les Barrier Reverse Convertible
(BRC). Hors produits à effet de
levier, ces structurés représentent
à ce jour plus des deux tiers des
produits cotés à la SIX.
Au-delà du manque d'alternatives
d'investissement attractives,
la popularité de ces instruments
s'explique par des facteurs rationnels,
et d'autres qui le sont moins.
Au chapitre rationnel, les structurés
d'optimisation de la performance
sont recherchés par nombre
d'investisseurs afin
d'exploiter une des anomalies de
marché les plus persistantes, à
savoir la surévaluation historique
de la volatilité implicite par rapport
à la volatilité subséquemment
réalisée. Cette anomalie leur permet d'offrir une espérance
de rendement comparé au
risque encouru potentiellement
supérieure à un investissement
direct sur une stratégie ou un
sous-jacent donné. La préférence
pour ces structures s'inscrit donc
pleinement dans la théorie classique
de l'utilité espérée, qui est
généralement appliquée comme
modèle descriptif du comportement
économique et reconnue
comme modèle normatif du
choix rationnel.
Une analyse purement rationnelle
ne suffit cependant pas à
expliquer à elle seule cette préférence
marquée pour cette classe
de produits par rapport à l'ensemble
des solutions d'investissement
envisageables. Tenir compte
des biais psychologiques des
individus permet de compléter la
compréhension des décisions
prises dans un environnement à
la fois risqué et incertain. A ce
titre, les théories d'économie
comportementale décrivent la
façon dont les agents choisissent
entre les alternatives impliquant
des risques dont les probabilités
de résultats sont connues. En particulier, la théorie des perspectives,
issue des travaux de
recherche de Daniel Kahneman et
Amos Tvers4 à la fin des années
1970, travaux qui ont été récompensés
par un Prix Nobel d'économie,
décrit de multiples situations
de choix dans des contextes
risqués, où les préférences des
agents transgressent invariablement
les principes de la théorie
de l'utilité espérée. C'est donc à la
lumière de ces principes que nous
tentons d'expliquer les comportements
des investisseurs face aux
produits d'opt
Fundamental Analysis & Recommendations - OEX Index - The Standard & Poor's 10...BCV
Fundamental Analysis & Recommendations - OEX Index - The Standard & Poor's 100 Index is a capitalization-weighted index based on 100 highly capitalized stocks selected from the S&P 500 index for which options are listed.
Fundamental Equity Analysis - QMS Gold Miners FlexIndex - The QMS Advisors' G...BCV
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Seminar: Gender Board Diversity through Ownership NetworksGRAPE
Seminar on gender diversity spillovers through ownership networks at FAME|GRAPE. Presenting novel research. Studies in economics and management using econometrics methods.
How to get verified on Coinbase Account?_.docxBuy bitget
t's important to note that buying verified Coinbase accounts is not recommended and may violate Coinbase's terms of service. Instead of searching to "buy verified Coinbase accounts," follow the proper steps to verify your own account to ensure compliance and security.
where can I find a legit pi merchant onlineDOT TECH
Yes. This is very easy what you need is a recommendation from someone who has successfully traded pi coins before with a merchant.
Who is a pi merchant?
A pi merchant is someone who buys pi network coins and resell them to Investors looking forward to hold thousands of pi coins before the open mainnet.
I will leave the telegram contact of my personal pi merchant to trade with
@Pi_vendor_247
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
Turin Startup Ecosystem 2024 - Ricerca sulle Startup e il Sistema dell'Innov...Quotidiano Piemontese
Turin Startup Ecosystem 2024
Una ricerca de il Club degli Investitori, in collaborazione con ToTeM Torino Tech Map e con il supporto della ESCP Business School e di Growth Capital
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the telegram contact of my personal pi vendor to trade with.
@Pi_vendor_247
What website can I sell pi coins securely.DOT TECH
Currently there are no website or exchange that allow buying or selling of pi coins..
But you can still easily sell pi coins, by reselling it to exchanges/crypto whales interested in holding thousands of pi coins before the mainnet launch.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and resell to these crypto whales and holders of pi..
This is because pi network is not doing any pre-sale. The only way exchanges can get pi is by buying from miners and pi merchants stands in between the miners and the exchanges.
How can I sell my pi coins?
Selling pi coins is really easy, but first you need to migrate to mainnet wallet before you can do that. I will leave the telegram contact of my personal pi merchant to trade with.
Tele-gram.
@Pi_vendor_247
1. Equity Strategist
Minimum Volatility
Equity Solutions – Euro Stoxx 50 Index
October 2012
Q M S Advisors
. .
This material does not constitute investment advice and should not be viewed as tel: 078 922 08 77
a current or past recommendation or a solicitation of an offer to buy or sell any e-mail: info@qmsadv.com
securities or to adopt any investment strategy. website: www.qmsadv.com
2. Low Volatility Strategy
Risk Efficiency in Passive Investing
Enhancing Long-Term Portfolio Performance while
GOAL
Diminishing Equity Risks
Ø Delivering the best risk/return trade-of:
Ø Since the 1960s, the capital asset pricing model (CAPM) brought an elegant solution
to the optimization problem, arguing that the most efficient portfolio is necessarily a
broad market portfolio weighted by market capitalization of stocks.
Ø This corresponds to performing mean-variance optimization with market implied
forecasts of risk and returns.
Ø Market-capitalization weighted portfolio
Ø The only portfolio that is truly "passive" in its objective on the mean-variance
frontier is the Minimum Variance Portfolio (MVP).
Ø MVP is an optimal portfolio that is constructed by minimizing portfolio variance. The
minimum variance construction does not use stocks' expected returns as inputs, and
relies only on the covariance matrix.
Ø Risk-efficient passive equity allocation:
Ø There is a growing body of evidence of outsized ex-post risk-adjusted performance
of minimum variance portfolios.
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 1
3. Low Volatility Strategy
Risk Efficiency in Passive Investing
Based on Historical Weekly Data from December 29th Eurostoxx 50 Low Volatility
2006 to the October 12th 2012 TR (*) Strategy (*)
Historical Returns -8.792% 2.550%
Historical Volatility 27.08% 20.39%
Historical Returns/Risk Ratio -0.3247 0.1250
Maximum Drawdown -62.75% -46.73%
Historical Skewness -1.16 -1.50
Historical Kurtosis 3.79 6.67
Jarque-Bera 248 674
Jarque-Bera: Chi-Test 0.99 0.00
Attractive historical statistical features
Ø The low volatility strategy offers attractive statistical features whether considered on a
standalone or total portfolio basis, and this despite the extreme market environment
considered in our analysis.
Source: Bloomberg, QMS Advisors
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 2
4. Low Volatility Strategy
Performance
Based on Historical Data from Dec 29th 2006 to Oct 12st 2012
140
120
115.75
Historical Performance - Base 100 on December 26th 2006
100
80
60 58.60
40
20
0
29.12.06 29.06.07 29.12.07 29.06.08 29.12.08 29.06.09 29.12.09 29.06.10 29.12.10 29.06.11 29.12.11 29.06.12
-20
Performance Differential: Low Volatility Strategy (*) Performance: Eurostoxx 50 TR (*)
Performance: Low Volatility Strategy (*)
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 3
9. Low Volatility Strategy
Relative Weekly Distribution of Returns
Based on Historical Data from Dec 29th 2006 to Oct 12st 2012 15%
y = 0.725x + 0.002
R2 = 0.928
10%
5%
Low Volatility Strategy (*)
0%
-30% -25% -20% -15% -10% -5% 0% 5% 10% 15%
-5%
-10%
-15%
-20%
-25%
-30%
Eurostoxx 50 TR (*)
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 8
10. Low Volatility Strategy
A Simple Approach to Higher Portfolio Efficiency
Ø Low Volatility Strategies offer a simple, transparent and highly
customizable way to tap one of the most recognized and documented
source of alpha:
Ø This passive strategy utilizes a systematic approach that does not rely on
forecasts of stock returns and uses as input only the covariance matrix.
Ø The portfolio resulting from minimum variance optimization has the smallest
ex-ante volatility, and exhibits a significant reduction in ex-post risk as well,
with respect to the selected benchmark
Ø Historically the strategy has produced significantly higher returns with
lower realized volatility when compared to its benchmark; resulting in
attractive Sharpe ratios.
Ø Empirical evidence shows that the design of the optimization problem plays a
much greater role when assuming homogeneous return estimates. This in
turn results in allocations that maintain their promise: exhibiting lower risk in
the future while giving full exposure to the equity market
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 9