Relative Value Volatility & Dynamic Hedging
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An overview on the use of proprietary volatility strategies and their use for Alpha generation and portfolio hedging.
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A = (12%-4%)/20 = 0.4
B = (12%-4%)/18 = 0.44
C = (8%-4%)/22 = 0.18
D = (9%-4%)/24 = 0.17
Treynor Ratio:
A = (12%-4%)/0.97 = 0.8
B = (12%-4%)/1.17 = 0.8
C = (8%-4%)/1.22 = 0.4
D = (
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Portfolio construction
1) Portfolio construction involves blending different asset classes like stocks, bonds, and cash to obtain returns while minimizing risk through diversification.
2) There are two main approaches - the traditional approach selects securities to meet an investor's needs, while the Markowitz efficient frontier approach constructs portfolios that maximize expected return for a given level of risk.
3) The Markowitz model helps investors reduce risk by choosing securities whose returns do not move together, identifying the efficient frontier of portfolio options, and allowing investors to select the portfolio with the highest return for a given risk level.
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The document discusses several concepts related to futures and options trading:
1) It provides the formula for determining future prices based on the spot price, risk-free rate, time to expiration, and dividends.
2) It describes different positions that can be taken in futures markets, including cash and carry arbitrage, calendar spreads, and naked spreads.
3) It lists criteria for selecting stocks that are eligible for futures and options trading, such as market capitalization, average daily trading value, and order size.
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This document discusses modern portfolio theory and diversification strategies. It begins by summarizing Harry Markowitz's seminal work on portfolio selection and modern portfolio theory. It then explains how correlation and diversifying assets with low correlations can reduce risk in a portfolio. Lastly, it defines different types of risk like systematic, unsystematic, call, capital, company, concentration, counterparty, credit, currency, and deflation risk that investors should understand.
1. introduction to portfolio management
This document discusses traditional and modern approaches to portfolio construction. The traditional approach involves determining objectives, analyzing investor constraints like income needs and liquidity, determining the objective such as current income or capital appreciation, and selecting securities and their weights to minimize risk and maximize return. It involves four to six steps including analyzing constraints, determining objectives, selecting the portfolio, and considering factors like asset mix, growth, capital appreciation, safety, and diversification. The modern approach exemplified by Markowitz focuses more on risk and return analysis to minimize risk and maximize profit without considering individual needs.
Portfolio const & evaluation
Here are the performance evaluations of funds A, B, C and D using Sharpe, Treynor and Jensen techniques:
Sharpe Ratio:
A = (12%-4%)/20 = 0.4
B = (12%-4%)/18 = 0.44
C = (8%-4%)/22 = 0.18
D = (9%-4%)/24 = 0.17
Treynor Ratio:
A = (12%-4%)/0.97 = 0.8
B = (12%-4%)/1.17 = 0.8
C = (8%-4%)/1.22 = 0.4
D = (
Rm 8
The document discusses various techniques for managing market risk, including hedging and diversification. It describes hedging strategies using various tools like short selling, options, futures/forwards, and swaps to offset potential losses from market movements. Diversification is discussed as a way to reduce risk by investing across a variety of assets with low correlations. The Value at Risk (VaR) method is presented as a standard way to measure and estimate potential market losses over a given time period and confidence level based on historical volatility and correlations.
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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.
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*Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.
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Vicinity Jobs’ data includes more than three million 2023 OJPs and thousands of skills. Most skills appear in less than 0.02% of job postings, so most postings rely on a small subset of commonly used terms, like teamwork.
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Bridging the gap: Online job postings, survey data and the assessment of job ...Labour Market Information Council | Conseil de l’information sur le marché du travail
OJP data from firms like Vicinity Jobs have emerged as a complement to traditional sources of labour demand data, such as the Job Vacancy and Wages Survey (JVWS). Ibrahim Abuallail, PhD Candidate, University of Ottawa, presented research relating to bias in OJPs and a proposed approach to effectively adjust OJP data to complement existing official data (such as from the JVWS) and improve the measurement of labour demand.Solution Manual For Financial Accounting, 8th Canadian Edition 2024, by Libby...
Solution Manual For Financial Accounting, 8th Canadian Edition 2024, by Libby, Hodge, Verified Chapters 1 - 13, Complete Newest Version Solution Manual For Financial Accounting, 8th Canadian Edition by Libby, Hodge, Verified Chapters 1 - 13, Complete Newest Version Solution Manual For Financial Accounting 8th Canadian Edition Pdf Chapters Download Stuvia Solution Manual For Financial Accounting 8th Canadian Edition Ebook Download Stuvia Solution Manual For Financial Accounting 8th Canadian Edition Pdf Solution Manual For Financial Accounting 8th Canadian Edition Pdf Download Stuvia Financial Accounting 8th Canadian Edition Pdf Chapters Download Stuvia Financial Accounting 8th Canadian Edition Ebook Download Stuvia Financial Accounting 8th Canadian Edition Pdf Financial Accounting 8th Canadian Edition Pdf Download Stuvia
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Relative Value Volatility & Dynamic Hedging
- 1. Equity Volatility Trading: Diversified Proprietary Strategies for Alpha Generation & Portfolio Hedging Contact: David Hamilton t: 212.217.1556 m: 917.499.7331 davidehamil@gmail.com
- 2. Strategy Defined Volatility Arbitrage is designed to produce absolute, market-neutral returns. • Strategy continually looks to exploit pricing inefficiencies in various options classes to generate consistent profits. • Trade duration might vary from a few weeks to a few months. • Strategy uses only exchange-listed options on US stocks. • Strict execution and oversight guidelines ensures: – Reduced transaction costs and market impact (Proprietary trading technology utilizes all available liquidity to ensure positions are initiated and closed in the most efficient manner possible). – Increased speed and effectiveness of Risk Management (Proprietary tools also designed to identify and rapidly reduce risk across both strategies). 2
- 3. Relative Value Arbitrage (1 Month Maturity) 10-Year Backtested Returns, Jan 2002-Jan 2012 Average (vols x 100) Sharpe Stdev 2002-2011 2010-2011 0.0300 0.0151 2.2601 1.3197 0.0459 0.0395 Bin Frequency -0.06 5 -0.04 5 -0.02 15 0 30 0.02 50 0.04 40 0.06 42 0.08 25 > 0.08 28 3
- 4. Relative Value Arbitrage (3 Month Maturity) 10-Year Backtested Returns, Jan 2002-Jan 2012 2002-2011 2010-2011 Average (vols x 100) 0.0283 0.0286 Sharpe 1.8259 1.9300 Stdev 0.0537 0.0513 Bin Frequency -0.06 6 -0.04 13 -0.02 21 0 28 0.02 39 0.04 38 0.06 30 0.08 25 > 0.08 31 4
- 5. Strategy Defined Portfolio Insurance is a vitally important, yet often overlooked, element of traditional and quantitative Long/Short equity strategies employed by hedge funds. When used properly, it should serve as a key component of the risk management process, seeking to preserve investor capital by locking in gains and preventing/minimizing any potential drawdowns. Design and use of Portfolio Insurance can be outlined in the following steps: • Identify Hedging Needs • Hedge Valuation/Optimization • Hedge Implementation 5
- 6. Hedge Identification Determine key underlying risk(s): • Entire/partial portfolio • Net Beta exposure • Volatility/Correlation risk • Binary Event risk • Tail risk Underlying Strategy Time Horizon: • Short Term (1-2 days) • Medium Term (3 days – 1 week) • Long Term (1 week+ ) Additional Consideration Factors: • Momentum/Mean-Reversion Indicators • Directional Indicators Identifying all contributing factors in systematic fashion allows for efficient pricing, construction and optimization of strategy hedges. 6
- 7. Hedge Valuation/Optimization • Determine prevailing levels of implied volatility in the marketplace. Valuation • Can use simple comparisons to historical means or multi-factor valuation model, using both technical and fundamental inputs. • Develop Optimal Hedge given market levels, strategy timeframe, available liquidity (stock-by-stock, group of underlyings or Portfoliowide) and additional indicators. • Simple Hedges (Fixed-Strike Index Collar, Put Spread Collar). Optimization • Complex Hedges (Dynamic Index/Sector ETF Collar, Index Variance, Futures and Options on Volatility (VIX), Synthetic Correlation Plays, Customized OTC Instruments). 7
- 8. Hedge Implementation Example – Ratio Collar on SPX BUY: 1 6mo 98% Put SELL: 1.5 1mo 101% Calls BACKTEST PERIOD Jan 1999 – Jan 2010 SPX Level at Start: 1,234.40 SPX Level at Finish: 1,150.23 PERFORMANCE Avg. Return (monthly): 0.30% Standard Dev. (monthly): 1.28% Avg. Return (annualized): 3.60% Sharpe: 0.81 TOP GRAPH: Absolute returns, SPX + Collar v. SPX(in SPX points) MIDDLE GRAPH: Annualized volatility (SPX + Collar, SPX, Collar/SPX) BOTTOM GRAPH: Monthly returns, SPX + Collar v. SPX(in SPX points) 8