RS Group develops cloud-based financial applications for options and derivatives traders. Their suite of tools allows traders to perform large-scale analysis more efficiently using cloud computing. This includes analyzing large portfolios to develop timely hedging strategies. RS Group has designed risk management and analysis software over 10 years. Their software manages risk, calculates hedges and simulations over the cloud, and allows for statistical studies and large-scale analyses. Screenshots show portfolio positions, skew analysis, correlation analysis, beta analysis, and simulation of positions under changing prices and volatility.
The Original Draft Copy of VaR and VaR DerivativesRalph 刘冶民 Liu
This document provides an overview of Value at Risk (VaR) and discusses the potential future of VaR derivatives. It describes a hypothetical conversation between a dealer and customer discussing strategies involving VaR calls, puts, and range forwards. It then discusses how VaR is used to measure market risk and defines VaR as a statistical estimate of potential portfolio losses within a given time period. Finally, it outlines several common methods for calculating VaR estimates, including historical price modeling, estimated variance/covariance, and Monte Carlo simulation.
The Black-Scholes-Merton model provides a mathematical formula for estimating the price of call and put options based on certain variables. It assumes stock prices follow a log-normal distribution and uses variables like the current stock price, strike price, risk-free interest rate, time to expiration, and implied volatility to estimate an option's price. While widely used, it relies on assumptions that are not always accurate to real market conditions, such as constant volatility and a log-normal stock price distribution.
1) The document discusses option-based portfolio management strategies that can enhance returns while reducing drawdown risks compared to traditional long-only equity strategies.
2) It analyzes several option-based indices from the CBOE that implement strategies like buy-writes, put-writes, and collars on the S&P 500.
3) Historical analysis shows these option strategies had higher returns, lower volatility, and stronger risk-adjusted returns than the S&P 500 and fixed income over the past 20+ years.
The document discusses the Arbitrage Pricing Theory (APT), which assumes an asset's return depends on various macroeconomic, market, and security-specific factors. The APT model estimates the expected return of an asset based on its sensitivity to common risk factors like inflation, interest rates, and market indices. It was developed by Stephen Ross in 1976 as an alternative to the Capital Asset Pricing Model. The APT formula predicts an asset's return based on factor risk premiums and the asset's sensitivity to each factor.
The document summarizes a study that uses the Capital Asset Pricing Model (CAPM) to analyze the risk and returns of 5 stocks from 2013-2015. It calculates daily returns, beta, alpha, and the correlation of individual stock returns with market returns. The results show most stocks had a slight negative excess return and negative Sharpe ratio, indicating average risk-adjusted performance. Betas were all statistically significant, with GE closest to the market. R-squared values ranged from 20-48%, explaining some but not all variation in returns. The analysis supports that CAPM provides useful but imperfect insights into the relationship between a stock's risk and return.
Factor models are used to analyze the risk of portfolios. The Fama-French three factor model uses three factors - excess market returns, firm size, and book-to-market value - to explain 95% of a portfolio's returns. It is an advancement on the Capital Asset Pricing Model. The Fama-French model incorporates factors that provide higher long-term returns and allows users to earn higher returns by tilting their portfolio toward small cap value stocks.
QNBFS Daily Technical Trader Qatar - June 17, 2020 التحليل الفني اليومي لبورص...QNB Group
The index is expected to continue moving upwards within an uptrend channel and reach the upper level of the channel, where the 200-day simple moving average and the upper trend line meet. Masraf Al Rayan stock price is challenging its major moving averages upwards and is expected to have a strong upward move from current levels, with an expected target price range of QR3.94 to QR4.03. Technical definitions are provided for candlestick charts, support and resistance levels, simple moving averages, and other technical indicators.
The Original Draft Copy of VaR and VaR DerivativesRalph 刘冶民 Liu
This document provides an overview of Value at Risk (VaR) and discusses the potential future of VaR derivatives. It describes a hypothetical conversation between a dealer and customer discussing strategies involving VaR calls, puts, and range forwards. It then discusses how VaR is used to measure market risk and defines VaR as a statistical estimate of potential portfolio losses within a given time period. Finally, it outlines several common methods for calculating VaR estimates, including historical price modeling, estimated variance/covariance, and Monte Carlo simulation.
The Black-Scholes-Merton model provides a mathematical formula for estimating the price of call and put options based on certain variables. It assumes stock prices follow a log-normal distribution and uses variables like the current stock price, strike price, risk-free interest rate, time to expiration, and implied volatility to estimate an option's price. While widely used, it relies on assumptions that are not always accurate to real market conditions, such as constant volatility and a log-normal stock price distribution.
1) The document discusses option-based portfolio management strategies that can enhance returns while reducing drawdown risks compared to traditional long-only equity strategies.
2) It analyzes several option-based indices from the CBOE that implement strategies like buy-writes, put-writes, and collars on the S&P 500.
3) Historical analysis shows these option strategies had higher returns, lower volatility, and stronger risk-adjusted returns than the S&P 500 and fixed income over the past 20+ years.
The document discusses the Arbitrage Pricing Theory (APT), which assumes an asset's return depends on various macroeconomic, market, and security-specific factors. The APT model estimates the expected return of an asset based on its sensitivity to common risk factors like inflation, interest rates, and market indices. It was developed by Stephen Ross in 1976 as an alternative to the Capital Asset Pricing Model. The APT formula predicts an asset's return based on factor risk premiums and the asset's sensitivity to each factor.
The document summarizes a study that uses the Capital Asset Pricing Model (CAPM) to analyze the risk and returns of 5 stocks from 2013-2015. It calculates daily returns, beta, alpha, and the correlation of individual stock returns with market returns. The results show most stocks had a slight negative excess return and negative Sharpe ratio, indicating average risk-adjusted performance. Betas were all statistically significant, with GE closest to the market. R-squared values ranged from 20-48%, explaining some but not all variation in returns. The analysis supports that CAPM provides useful but imperfect insights into the relationship between a stock's risk and return.
Factor models are used to analyze the risk of portfolios. The Fama-French three factor model uses three factors - excess market returns, firm size, and book-to-market value - to explain 95% of a portfolio's returns. It is an advancement on the Capital Asset Pricing Model. The Fama-French model incorporates factors that provide higher long-term returns and allows users to earn higher returns by tilting their portfolio toward small cap value stocks.
QNBFS Daily Technical Trader Qatar - June 17, 2020 التحليل الفني اليومي لبورص...QNB Group
The index is expected to continue moving upwards within an uptrend channel and reach the upper level of the channel, where the 200-day simple moving average and the upper trend line meet. Masraf Al Rayan stock price is challenging its major moving averages upwards and is expected to have a strong upward move from current levels, with an expected target price range of QR3.94 to QR4.03. Technical definitions are provided for candlestick charts, support and resistance levels, simple moving averages, and other technical indicators.
This document summarizes research on the growth of the options market and strategies for using options to enhance portfolio returns. Some key points:
- Global equity derivatives trading volumes increased 11% in 2011, with equity derivatives making up 64% of total derivatives trading. Options volumes in the US rose 17% in 2011.
- Independent research finds continued growth in options usage, with 36-94% of financial advisors and 65% of institutions expecting to increase future usage.
- Options volumes have recently outpaced equity volumes, driven by more market participants and product diversity.
- Common strategies discussed include hedging, income, volatility, and pairs trades using options.
- Case studies demonstrate analyzing Greeks,
The document discusses a new approach to asset allocation that focuses on diversifying risk factors rather than asset classes. It argues that traditional approaches underestimate market dynamics and fail to hedge "fat tail" risks. The new approach takes a forward-looking, macroeconomic view and aims to diversify risks across equity, bond, currency and commodity risk factors. It also notes that one extremely bad year can erase gains from multiple good years, emphasizing the importance of hedging rare but severe loss events.
This document discusses Value at Risk (VaR) and related concepts over multiple learning outcomes (LOs). It introduces VaR and explains why it was widely adopted as a risk measure. It also defines how to calculate VaR for single and multiple assets, and how to convert between time periods. The document discusses assumptions of VaR calculations and reasons for using continuously compounded returns. It also addresses factors that affect portfolio risk and how to calculate VaR for linear and non-linear derivatives. Finally, it introduces cash flow at risk (CFaR) and how VaR and CFaR can be used to evaluate projects and allocate risk.
This document describes a proposed dual strategy equity derivatives fund. It would pursue two complementary strategies - a long-biased options strategy and a quantitative volatility strategy. The strategies are meant to generate high returns while limiting volatility and correlation to markets. Key details include the fund's structure, fee terms, hypothetical performance metrics for different strategy allocations, budget projections, bios of the fund manager and quantitative manager, and contact information. A valuation model is also outlined.
The document discusses Value at Risk (VaR), a metric used to measure and manage financial risk. It provides an introduction to VaR and outlines several key concepts, including: reasons for VaR's widespread adoption; calculating VaR for single and multiple assets; assumptions underlying VaR calculations; and approaches to estimating VaR for linear and non-linear derivatives. It also covers converting daily VaR to other time periods, factors affecting portfolio risk, and stress testing as a complement to VaR analysis.
Value at Risk (VaR) is a risk measurement technique used to estimate potential losses that could occur from market risk over a specified time period. The document discusses the need for VaR, how it is defined and calculated using historical simulation, its uses, strengths and weaknesses. It emphasizes that VaR should not be used alone and other risk measures like tail measures and stress testing are also important.
Dual Strategy Equity Derivatives Fund January 2017George Namur
This document provides an overview of the Dual Strategy Equity Derivatives Fund, which combines two complementary investment strategies - an options strategy and a quantitative volatility strategy - to generate high returns while limiting volatility. The options strategy takes long positions in equity options to benefit from upward market moves. The quantitative volatility strategy uses a proprietary Gamma Vanna Volga framework to identify relative value and carry trade opportunities in volatility markets. Together, the two strategies aim to produce smoother returns than either strategy alone due to their low correlation.
Enhanced Call Overwriting*
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.
Overwriting portfolios with out-of-the-money calls tends to outperform at-the-money overwriting during market rallies, but provides less protection during market downturns. However, out-of-the money overwriting also results in relatively higher return variability and inferior risk-adjusted performance.
During the sample period, overwriting the S&P 500 with short-dated options, rebalanced more frequently, outperformed overwriting with longer-dated options, rebalanced less frequently. We discuss possible explanations for these performance differences.
We find that going long the market during periods of heightened short-term anxiety, inferred from the presence of relatively high S&P 500 1-month at-the-money implied volatility, has, on average, been a winning strategy. To a slightly lesser extent, having relatively less exposure to the market during periods of complacency – or relatively low implied market implied volatility – was also beneficial.
We create an “enhanced” overwriting strategy – whereby investors systematically overwrite the S&P 500 or Nasdaq 100 with disproportionately fewer (more) calls against the indices when risk expectations are relatively high (low).
Our enhanced overwriting portfolios handily outperformed the base case overwrite portfolios and the respective underlying indices, on an absolute and risk-adjusted basis. For example, the average annual return for the S&P 500 enhanced overwriting portfolio from 1997 – 2005 was 7.9%, versus 6.6% for the base case overwrite portfolio and 5.5% for the S&P 500 Index.
Overwriting with fewer calls when implied volatility is rich, and more calls when implied volatility is cheap, could improve the absolute and risk-adjusted performance of index-oriented overwriting portfolios.
This goes against the conventional tendency for investors to sell calls against their positions when implied volatility is high.
*Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.
This document discusses Value at Risk (VaR), a risk measurement technique used in finance. There are three main methods to calculate VaR: the historical method, variance-covariance method, and Monte Carlo simulation. The historical method looks at past losses and assumes history will repeat. The variance-covariance method assumes returns are normally distributed. Monte Carlo simulation models future returns through hypothetical trials. All methods make assumptions that may not reflect reality and have limitations around changing distributions over time. VaR is widely used but also faces criticism for relying on untested models and giving a false sense of confidence.
The document compares the Morningstar and Value Line databases and their ranking systems. Value Line uses a 1-5 ranking system where 1 is best, while Morningstar uses a star system where 5 stars is best. The document ranks stocks in Value Line portfolios by their Morningstar star ratings, and vice versa, finding the Value Line timeliness ranking may be a better short-term indicator of growth potential than Morningstar stars.
El documento habla sobre ofrecer tratamientos faciales y corporales no invasivos y servicios de nutrición innovadores a precios asequibles. Describe varios tipos especiales de tratamientos faciales como faciales hipoalergénicos, rejuvenecimiento, tratamientos para el acné, parafina y aromaterapia facial. También define el maquillaje como la práctica de decorar la piel y otras partes visibles del cuerpo.
The document describes a technical system for evaluating investment portfolios that includes a front-end user interface built with .NET WPF, a back-end C++ server running simulations and analysis in a cloud environment, and utilizes historical price data, risk bucketing, and correlation models.
Este documento apresenta a tabela geral do Campeonato Pernambucano Amador de 2015 na Série B masculina, com os resultados dos jogos realizados nas primeiras rodadas entre os times participantes em diversos estádios de Pernambuco.
El documento analiza los monopolios farmacéuticos en México. Los estudiantes explorarán el desarrollo de grandes monopolios farmacéuticos en el país, su importancia e impacto, y compararán sus modelos de negocios y niveles de calidad. El objetivo es determinar si el crecimiento de estas empresas se debe a la calidad de sus productos o a sus estrategias comerciales, y familiarizarse con temas relevantes a sus carreras.
O documento apresenta a tabela da Copa do Interior de Futebol Amador de 2015 realizada na região metropolitana de Recife em Pernambuco. A competição é dividida em grupos nas fases iniciais e ocorrem confrontos de ida e volta entre os times para definir os classificados as próximas fases.
Este documento describe lo que los hijos esperan de sus padres, incluyendo comprensión, respeto, apoyo, escucha y orientación. También enfatiza la importancia de que los padres sean un buen ejemplo a seguir para sus hijos, respetando sus decisiones y escuchándolos sin juzgarlos. Finalmente, expresa el amor y gratitud de los hijos hacia sus padres a pesar de que ninguno es perfecto.
Este documento trata sobre el control de la comprensión y la metacognición en el aula. Explica que la metacognición se refiere al conocimiento que uno tiene sobre sus propios procesos cognitivos y de aprendizaje. Luego describe algunas estrategias metacognitivas como el repaso de textos o la identificación de ideas principales. También analiza factores como la evaluación, regulación y planificación de la comprensión, y métodos para investigar la metacognición como cuestionarios o entrevistas.
El autor describe cómo a lo largo de su vida creyó haber "matado" a su madre en diferentes ocasiones al independizarse, pero siempre la reencontraba cumpliendo un rol importante. Finalmente, la madre decidió morir sin aviso, dejando la lección de que a pesar de los intentos de independencia, las madres permanecen para siempre en la vida de sus hijos y es su decisión cuánto dura esa eternidad. El autor concluye instando a amar a las madres mientras estén presentes.
O documento apresenta a tabela da Copa do Interior de Futebol Amador de 2015, com os grupos e jogos da primeira fase eliminatória, oitavas de final e jogos das primeiras rodadas. A competição reúne times do interior de Pernambuco divididos em grupos de 4 times cada para disputar a primeira fase.
O documento lista os resultados de partidas de futebol amador de uma competição em Pernambuco. Ele contém informações sobre datas, locais, times e placares de jogos realizados nas rodadas 1 a 4 e os confrontos agendados para a rodada 5. As partidas estão organizadas em seis chaves diferentes.
El documento presenta un desafío para las personas a acercarse más a Dios y compartir su mensaje con otros, a pesar de que a menudo es más fácil prestar atención a asuntos mundanos que a asuntos espirituales. Alienta a los lectores a reenviar el mensaje si aman a Dios y no sienten vergüenza de reconocer lo que ha hecho por ellos.
This document summarizes research on the growth of the options market and strategies for using options to enhance portfolio returns. Some key points:
- Global equity derivatives trading volumes increased 11% in 2011, with equity derivatives making up 64% of total derivatives trading. Options volumes in the US rose 17% in 2011.
- Independent research finds continued growth in options usage, with 36-94% of financial advisors and 65% of institutions expecting to increase future usage.
- Options volumes have recently outpaced equity volumes, driven by more market participants and product diversity.
- Common strategies discussed include hedging, income, volatility, and pairs trades using options.
- Case studies demonstrate analyzing Greeks,
The document discusses a new approach to asset allocation that focuses on diversifying risk factors rather than asset classes. It argues that traditional approaches underestimate market dynamics and fail to hedge "fat tail" risks. The new approach takes a forward-looking, macroeconomic view and aims to diversify risks across equity, bond, currency and commodity risk factors. It also notes that one extremely bad year can erase gains from multiple good years, emphasizing the importance of hedging rare but severe loss events.
This document discusses Value at Risk (VaR) and related concepts over multiple learning outcomes (LOs). It introduces VaR and explains why it was widely adopted as a risk measure. It also defines how to calculate VaR for single and multiple assets, and how to convert between time periods. The document discusses assumptions of VaR calculations and reasons for using continuously compounded returns. It also addresses factors that affect portfolio risk and how to calculate VaR for linear and non-linear derivatives. Finally, it introduces cash flow at risk (CFaR) and how VaR and CFaR can be used to evaluate projects and allocate risk.
This document describes a proposed dual strategy equity derivatives fund. It would pursue two complementary strategies - a long-biased options strategy and a quantitative volatility strategy. The strategies are meant to generate high returns while limiting volatility and correlation to markets. Key details include the fund's structure, fee terms, hypothetical performance metrics for different strategy allocations, budget projections, bios of the fund manager and quantitative manager, and contact information. A valuation model is also outlined.
The document discusses Value at Risk (VaR), a metric used to measure and manage financial risk. It provides an introduction to VaR and outlines several key concepts, including: reasons for VaR's widespread adoption; calculating VaR for single and multiple assets; assumptions underlying VaR calculations; and approaches to estimating VaR for linear and non-linear derivatives. It also covers converting daily VaR to other time periods, factors affecting portfolio risk, and stress testing as a complement to VaR analysis.
Value at Risk (VaR) is a risk measurement technique used to estimate potential losses that could occur from market risk over a specified time period. The document discusses the need for VaR, how it is defined and calculated using historical simulation, its uses, strengths and weaknesses. It emphasizes that VaR should not be used alone and other risk measures like tail measures and stress testing are also important.
Dual Strategy Equity Derivatives Fund January 2017George Namur
This document provides an overview of the Dual Strategy Equity Derivatives Fund, which combines two complementary investment strategies - an options strategy and a quantitative volatility strategy - to generate high returns while limiting volatility. The options strategy takes long positions in equity options to benefit from upward market moves. The quantitative volatility strategy uses a proprietary Gamma Vanna Volga framework to identify relative value and carry trade opportunities in volatility markets. Together, the two strategies aim to produce smoother returns than either strategy alone due to their low correlation.
Enhanced Call Overwriting*
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.
Overwriting portfolios with out-of-the-money calls tends to outperform at-the-money overwriting during market rallies, but provides less protection during market downturns. However, out-of-the money overwriting also results in relatively higher return variability and inferior risk-adjusted performance.
During the sample period, overwriting the S&P 500 with short-dated options, rebalanced more frequently, outperformed overwriting with longer-dated options, rebalanced less frequently. We discuss possible explanations for these performance differences.
We find that going long the market during periods of heightened short-term anxiety, inferred from the presence of relatively high S&P 500 1-month at-the-money implied volatility, has, on average, been a winning strategy. To a slightly lesser extent, having relatively less exposure to the market during periods of complacency – or relatively low implied market implied volatility – was also beneficial.
We create an “enhanced” overwriting strategy – whereby investors systematically overwrite the S&P 500 or Nasdaq 100 with disproportionately fewer (more) calls against the indices when risk expectations are relatively high (low).
Our enhanced overwriting portfolios handily outperformed the base case overwrite portfolios and the respective underlying indices, on an absolute and risk-adjusted basis. For example, the average annual return for the S&P 500 enhanced overwriting portfolio from 1997 – 2005 was 7.9%, versus 6.6% for the base case overwrite portfolio and 5.5% for the S&P 500 Index.
Overwriting with fewer calls when implied volatility is rich, and more calls when implied volatility is cheap, could improve the absolute and risk-adjusted performance of index-oriented overwriting portfolios.
This goes against the conventional tendency for investors to sell calls against their positions when implied volatility is high.
*Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.
This document discusses Value at Risk (VaR), a risk measurement technique used in finance. There are three main methods to calculate VaR: the historical method, variance-covariance method, and Monte Carlo simulation. The historical method looks at past losses and assumes history will repeat. The variance-covariance method assumes returns are normally distributed. Monte Carlo simulation models future returns through hypothetical trials. All methods make assumptions that may not reflect reality and have limitations around changing distributions over time. VaR is widely used but also faces criticism for relying on untested models and giving a false sense of confidence.
The document compares the Morningstar and Value Line databases and their ranking systems. Value Line uses a 1-5 ranking system where 1 is best, while Morningstar uses a star system where 5 stars is best. The document ranks stocks in Value Line portfolios by their Morningstar star ratings, and vice versa, finding the Value Line timeliness ranking may be a better short-term indicator of growth potential than Morningstar stars.
El documento habla sobre ofrecer tratamientos faciales y corporales no invasivos y servicios de nutrición innovadores a precios asequibles. Describe varios tipos especiales de tratamientos faciales como faciales hipoalergénicos, rejuvenecimiento, tratamientos para el acné, parafina y aromaterapia facial. También define el maquillaje como la práctica de decorar la piel y otras partes visibles del cuerpo.
The document describes a technical system for evaluating investment portfolios that includes a front-end user interface built with .NET WPF, a back-end C++ server running simulations and analysis in a cloud environment, and utilizes historical price data, risk bucketing, and correlation models.
Este documento apresenta a tabela geral do Campeonato Pernambucano Amador de 2015 na Série B masculina, com os resultados dos jogos realizados nas primeiras rodadas entre os times participantes em diversos estádios de Pernambuco.
El documento analiza los monopolios farmacéuticos en México. Los estudiantes explorarán el desarrollo de grandes monopolios farmacéuticos en el país, su importancia e impacto, y compararán sus modelos de negocios y niveles de calidad. El objetivo es determinar si el crecimiento de estas empresas se debe a la calidad de sus productos o a sus estrategias comerciales, y familiarizarse con temas relevantes a sus carreras.
O documento apresenta a tabela da Copa do Interior de Futebol Amador de 2015 realizada na região metropolitana de Recife em Pernambuco. A competição é dividida em grupos nas fases iniciais e ocorrem confrontos de ida e volta entre os times para definir os classificados as próximas fases.
Este documento describe lo que los hijos esperan de sus padres, incluyendo comprensión, respeto, apoyo, escucha y orientación. También enfatiza la importancia de que los padres sean un buen ejemplo a seguir para sus hijos, respetando sus decisiones y escuchándolos sin juzgarlos. Finalmente, expresa el amor y gratitud de los hijos hacia sus padres a pesar de que ninguno es perfecto.
Este documento trata sobre el control de la comprensión y la metacognición en el aula. Explica que la metacognición se refiere al conocimiento que uno tiene sobre sus propios procesos cognitivos y de aprendizaje. Luego describe algunas estrategias metacognitivas como el repaso de textos o la identificación de ideas principales. También analiza factores como la evaluación, regulación y planificación de la comprensión, y métodos para investigar la metacognición como cuestionarios o entrevistas.
El autor describe cómo a lo largo de su vida creyó haber "matado" a su madre en diferentes ocasiones al independizarse, pero siempre la reencontraba cumpliendo un rol importante. Finalmente, la madre decidió morir sin aviso, dejando la lección de que a pesar de los intentos de independencia, las madres permanecen para siempre en la vida de sus hijos y es su decisión cuánto dura esa eternidad. El autor concluye instando a amar a las madres mientras estén presentes.
O documento apresenta a tabela da Copa do Interior de Futebol Amador de 2015, com os grupos e jogos da primeira fase eliminatória, oitavas de final e jogos das primeiras rodadas. A competição reúne times do interior de Pernambuco divididos em grupos de 4 times cada para disputar a primeira fase.
O documento lista os resultados de partidas de futebol amador de uma competição em Pernambuco. Ele contém informações sobre datas, locais, times e placares de jogos realizados nas rodadas 1 a 4 e os confrontos agendados para a rodada 5. As partidas estão organizadas em seis chaves diferentes.
El documento presenta un desafío para las personas a acercarse más a Dios y compartir su mensaje con otros, a pesar de que a menudo es más fácil prestar atención a asuntos mundanos que a asuntos espirituales. Alienta a los lectores a reenviar el mensaje si aman a Dios y no sienten vergüenza de reconocer lo que ha hecho por ellos.
El documento cuenta la historia de Julio, un niño que expresa su amor por su familia pero es rechazado. Una noche Julio muere misteriosamente. Su familia encuentra una nota donde Julio les dice que Dios le advirtió sobre su muerte y les pide que aprovechen el tiempo para amarse. La historia enfatiza la importancia de expresar amor a los seres queridos.
Rizwan Nasir provides an informal resume highlighting his work experience as an Area Sales Manager at Nestle Ltd where he has built sales channels, implemented distribution systems, and won several awards. He also lists his educational background which includes a bachelor's degree from Royal Holloway University of London and an MBA in international management. Rizwan invites the reader to connect with him further through his provided contact information.
Dans quelle mesure un bad buzz affecte-t-il l'image et les intentions d'achat...Gautier Zimmermann
Dans le cadre de mon mémoire de fin d’études à Neoma Business School - campus de Reims, je me suis intéressé à un phénomène encore largement inexpliqué : les bad buzz. Le but était de comprendre les impacts réels d’un bad buzz, notamment sur l’image de marque et les intentions d’achat, mais également sur l’attachement à la marque et la confiance qu’on lui porte.
Comme peu de recherches ont été menées sur le sujet, il a d’abord fallu comprendre comment fonctionnent les réseaux sociaux fonctionnent et comment les marques les utilisent. Ensuite, il a fallu comprendre le fonctionnement du bouche-à-oreille traditionnel et du bouche-à-oreille en ligne (eWOM). Enfin, l’analyse s’est portée sur la viralité et les impacts d’une crise.
Ce mémoire conclut qu’un bad buzz a un impact négatif sur l’image de marque, l’attachement à la marque et la confiance envers la marque, mais qu’il n’a aucun impact sur les intentions d’achat. De plus, les impacts négatifs sont plus importants lorsqu’ils concernent les consommateurs attachés à la marque. Enfin, l’étude conclut qu’il vaut mieux que la marque soit à l’origine de son bad buzz, plutôt qu’elle ne le subisse à cause d’un consommateur ou d’une organisation extérieure (association, ONG, etc.).
D.Gokulkumar has over 5.5 years of experience in sales and marketing roles in the FMCG industry. He has a MBA in Marketing and is currently working as an Area Sales Manager for CP India Pvt Ltd, managing modern trade, general trade, and HoReCa accounts. Previously he held sales management roles at West Coast Fine Foods and Venkys India, where he exceeded sales targets and expanded business.
The document describes Amagos Boutique Hotel, a 4-star hotel located in Danang with 88 rooms across 11 floors. It has amenities like a lobby, garden, basement, restaurant, and rooftop swimming pool. The project occupies 440 square meters with a density of 100% utilizing voids and a sky garden for natural ventilation and daylight in all areas. It is located on Vo Nguyen Giap and An Thuong 1 streets with views of the city and ocean from some rooms.
El documento describe la historia y situación actual de la Biblioteca Basadre y el Archivo Regional de Tacna en Perú. Resalta las contribuciones del Dr. Jorge Basadre G. a la reconstrucción de bibliotecas nacionales y desarrollo de políticas bibliotecarias. También destaca los retos pendientes como falta de recursos, personal e instalaciones adecuadas para preservar y digitalizar los valiosos acervos históricos y culturales de la región.
RSdeltabook is software that manages risk for portfolios containing equities, equity indexes, and options in real time. It allows users to simulate option positions under different price, volatility, and time scenarios to understand changes in profit and loss. The software prices options using various models and can generate trade ideas based on volatility studies. It aggregates portfolio positions and reports daily P&L and theoretical fair P&L. Users can analyze individual volatilities, simulate portfolios under different price and volatility correlations, and view detailed impacts of changes.
This document discusses Value at Risk (VaR) and how it can be used by client advisors, sales/brokerage teams, and senior management to assess portfolio risks. VaR measures the maximum potential loss of a portfolio over a time period, given a probability. It allows risks across different asset types to be measured together. The document outlines how VaR is calculated using historical volatility and correlation data to project a range of possible future portfolio values. It also discusses how options are incorporated into VaR using measures like delta, gamma, and theta to account for non-normal return distributions. The overall aim is to inform readers about risk measurement and how VaR can help mitigate risks for clients.
comparative analysis of mutual fund pptnitesh tandon
This document provides information on mutual funds, including:
- Types of mutual fund schemes according to maturity period (open-ended, close-ended) and investment objective (growth, income, balanced).
- Instruments of investment like equity, convertible debentures, and fixed income securities.
- Facilities provided to investors like SIP, SWP, STP, and auto debit.
- Objectives of the study, which are to evaluate scheme performance based on risk and return metrics like Beta, Alpha, and standard deviation.
- Analysis of various mutual fund schemes based on these metrics, finding for example that ICICI Prudential Growth fund has an aggressive stock-picking style with risk control, while
A Quantitative Risk Optimization Of Markowitz ModelAmir Kheirollah
This thesis investigates assumptions of the Markowitz model and evaluates alternative measures for risk-adjusted return. It analyzes Swedish large cap stock returns and finds evidence against the normal distribution assumption. The Sharpe ratio is found to be unreliable due to extreme events. Modified Sharpe ratios that incorporate higher moments like skewness and kurtosis provide more stable measures of portfolio performance over time. Monthly returns best replicate future portfolio performance when considering risk and return, as they experience less variation than daily or weekly returns. Incorporating skewness into the model slightly improves performance estimation for future periods relative to the traditional Markowitz approach.
Originally published in 2005. Abstract: Over the years many commodity trading advisors, proprietary traders, and global macro hedge funds have successfully applied various trend following methods to profitably trade in global futures markets. Very little research, however, has been published regarding trend following strategies applied to stocks. Is it reasonable to assume that trend following works on futures but not stocks? We decided to put a long only trend following strategy to the test by running it against a comprehensive database of U.S. stocks that have been adjusted for corporate actions. Delisted companies were included to account for survivorship bias. Realistic transaction cost estimates (slippage & commission) were applied. Liquidity filters were used to limit hypothetical trading to only stocks that would have been liquid enough to trade, at the time of the trade. Coverage included 24,000+ securities spanning 22 years. The empirical results strongly suggest that trend following on stocks does offer a positive mathematical expectancy, an essential building block of an effective investing or trading system.
Modern Portfolio Theory (Mpt) - AAII Milwaukeebergsa
This document provides an overview of Modern Portfolio Theory (MPT) including its key concepts and measurements. MPT proposes that rational investors will use diversification to optimize their portfolios based on measures of expected return and risk. It defines risk as the standard deviation of returns and outlines how diversifying uncorrelated assets reduces non-systematic risk. The document then explains common MPT metrics like beta, alpha, the Sharpe Ratio, and R-squared and provides examples of how they are calculated and applied to funds.
This document discusses incorporating news analysis into investment processes. It describes how news flows can be used to improve short-term risk assessments and condition risk estimates. Various data vendors that provide news analytics are also mentioned, as well as strategies for exploiting news signals, such as responding differently to "good" and "bad" news. Challenges with news-based strategies include defining events, assessing informational content, and managing holding periods.
The variance swap market has grown exponentially over the past decade and is among the most liquid equity derivatives contracts. Variance swaps provide exposure to volatility through the difference between the implied and realized variance of an underlying asset. Historically, the implied volatility of indices has been higher than realized volatility, allowing those taking short volatility positions to profit. Standard and Poor's has developed indices to benchmark volatility arbitrage strategies, such as the S&P 500 Volatility Arbitrage Index which measures the performance of a variance swap on the S&P 500.
A predictive system called "INSIGHT" was built using structured and unstructured data from various sources to identify potential buyers and sellers for large block trades. The system analyzed data like daily block trades, shareholder patterns, holdings, and market news to predict fund behavior. Additionally, the author learned quantitative research including technical analysis, building pair trading strategies, and value-at-risk models to analyze stock predictions and portfolio risk. The internship provided valuable experience in institutional equities trading and quantitative analysis techniques.
Superior performance by combining Rsik Parity with Momentum?Wilhelm Fritsche
This document examines different strategies for global asset allocation between equities, bonds, commodities and real estate. It finds that applying trend following rules substantially improves risk-adjusted performance compared to traditional buy-and-hold portfolios. It also finds trend following to be superior to risk parity approaches. Combining momentum strategies with trend following further improves returns while reducing volatility and drawdowns. A flexible approach that allocates capital based on volatility-weighted momentum rankings of 95 markets produces attractive, consistent risk-adjusted returns.
Stochastics, Volume Rate of Change, Relative Strength to Index, Bid/Ask Volume ratio, Floor Trader Pivots and Institutional buying/selling are 6 of our most useful indicators for running the ITRS algorithms to identify risk and growth factors related to index trend reversals. We use a total of 33 indicators that each generate a critical factor.
- WST Capital Management is a division of Wilbanks, Smith & Thomas Asset Management that was formed to manage quantitative investment strategies developed through proprietary research.
- They partnered with S&P Dow Jones Indices to design custom indices to validate and benchmark their strategies, which helped grow their business.
- Their "investment science" uses quantitative models to identify "Persistent Market Effects" to inform tactical sector rotations combined with risk management, seeking to deliver growth while protecting against downside.
Parametric provides strategies for exploiting increased market volatility, including rebalancing portfolios and using options strategies. Rebalancing reduces concentration risks and volatility over time by selling assets that have increased in value and buying those that have decreased, capturing returns from volatility. Options strategies can also provide downside protection for portfolios while retaining upside potential. Parametric implemented an options overlay for a client in 2008 that protected against a 5-20% market decline while retaining upside to 30%, balancing protection and participation in gains.
The document provides guidance on investment analysis and project selection. It discusses measuring risk and return, using hurdle rates that account for risk, and choosing projects that provide returns above the hurdle rate. The capital asset pricing model is introduced as a method to estimate expected returns based on beta and the risk premium. Diversification and the market portfolio concept are also covered.
ORS creates a framework for decision making that allows portfolio managers to express stakeholders' constraints and targets consistently and calculates an Optimal Portfolio. SFT has developed ORS, a product that optimizes risk sizing to improve decision making processes in asset management. ORS considers practical limits imposed by trading costs and market liquidity to create a Practical Optimal Portfolio that meets portfolio goals while respecting constraints. ORS pricing is based on portfolio size, with typical returns improving enough to pay for the service within 6 weeks, and it requires only spreadsheet access for portfolio managers to use.
This research paper discusses enhancing value investment strategies by incorporating expected profitability.
For small cap value strategies, the paper proposes excluding stocks in each country with the lowest direct profitability, with the percentage excluded depending on the stock's price-to-book ratio.
For large cap value strategies, the paper suggests selecting stocks based on both low price-to-book ratios and high direct profitability. It also proposes overweighting stocks that have higher profitability, lower market capitalization, and lower relative price.
The goal is to structure portfolios to better capture the dimensions of expected returns related to company size, relative price, and expected profitability, while maintaining appropriate diversification and managing costs.
All that Glitters Is Not Gold_Comparing Backtest and Out-of-Sample Performanc...justinlent
This study analyzed the performance of 888 algorithmic trading strategies to evaluate the relationship between backtest (in-sample or IS) performance and out-of-sample (OOS) performance. The researchers found:
1) Commonly used metrics like Sharpe ratio showed weak correlation between IS and OOS performance, indicating backtests are poor predictors of future returns.
2) Higher moments like tail ratio and risk metrics like volatility and maximum drawdown did correlate between IS and OOS periods, showing these may be better predictive factors.
3) Machine learning models trained on a variety of backtest features could predict OOS Sharpe ratio more accurately than individual metrics, with an R^2 of 0.
SIGMA28 collects and analyzes implied volatility data for equity options to empower clients. They have built a historical database of over 1,700 underlying assets dating back to 1999. Their database provides implied volatility data with high quality and integrity through frequent snapshots. Clients can access this data through SIGMA28's front-end application or API to conduct proprietary analysis and screening. This helps traders, risk managers, and other professionals better understand volatility and identify opportunities.
This document introduces the Adaptix® trading framework. It is a proprietary quantitative trading system that uses multiple switching processes and Fourier analysis to identify trends, predict price ranges, and generate trading signals in various financial instruments. The system aims to capture trending markets while minimizing risk through strict money management and exit rules. It provides real-time signals, levels, and analytics to both manual traders and for automated trading. Backtests show the strategy achieved positive returns with low drawdowns and volatility across various timeframes.
This document provides an overview of the RSGroup LLC RSDeltabook application. It describes how to load option positions from CSV files, the clipboard, or a position input grid. It explains the horizontal and vertical menu bar structures and gives descriptions of the main windows and functions for simulating positions, analyzing risk, volatility analysis, and hedging capabilities.
TradeMind is a complete algorithmic trading solution that provides strategies, market data integration, and order routing functionality. It offers various trading strategies like target volume participation (TVOL), volume weighted average price (VWAP), and time weighted average price (TWAP). These strategies can be customized based on parameters like target participation rate, order schedule, and order size. TradeMind also supports order types like iceberg/hidden orders and integrates with multiple market venues and protocols. This allows users to automate and optimize their trading strategies through a single integrated system.
Axcellerator Spreadsheet is a product from Marvelsoft. To learn more about Axcellerator Spreadsheet, contact Marvelsoft's sales team via email at sales@marvelsoft.net or by telephone at +41 (0)44 585 3994.
The ETF Alpha Model provides strategies for identifying entry and exit points in liquid ETFs and stocks to generate returns with less volatility than holding the underlying assets. Models have been developed over years of research using probability and statistics. Strategies focus on intermediate-term trades of several days to months based on confirming technical and statistical indicators. Backtested data since 2005 shows the strategies outperform a long position in the ETFs with lower volatility. Sample ETFs traded include SPY, QQQ, EEM and various sector ETFs. Results for the EEM and EWJ models from 2002 to 2013 demonstrate higher total returns with lower volatility than simply holding the ETFs.
The document summarizes a multiple ETF dynamic rebalanced strategy presented by Brian J Crone from 2006-2012. The strategy aims to outperform major market indices while controlling risk and volatility by dynamically rebalancing a portfolio of the most liquid ETFs. Backtested results show annual returns outperforming the S&P 500 with lower volatility and drawdowns, demonstrated strong performance even during the market downturn of 2008.
The document summarizes a multiple ETF dynamic rebalanced strategy presented by Brian J Crone from 2006-2012. The strategy aims to outperform major market indices while controlling risk and volatility by dynamically rebalancing a portfolio of the most liquid ETFs. Backtested results show annual returns outperforming the S&P 500 with lower volatility and drawdowns, demonstrated strong performance even during the market downturn of 2008.
The document summarizes the results of a multiple ETF dynamic rebalanced strategy from 2006 to 2012. It achieved annual returns ranging from -0.2% to 47.5% and had an average annual Sharpe ratio of 2.54. The strategy combines technical analysis with statistical distribution theory to identify trends and reversals in ETFs to outperform markets with less volatility. It uses monthly rebalancing and focuses on controlling risk, volatility, and drawdowns.
The document presents full year results from 2006 to 2011 for a multiple ETF dynamic rebalanced strategy. The investment objective is to outperform major market indices while controlling risk and volatility. The strategy combines technical analysis with statistical distribution theory to identify trends and reversals in markets, weighting and rebalancing ETFs monthly according to a scoring mechanism. Over the period shown, the strategy achieved annual returns of 7.3% to 47.5% and outperformed during the market downturn of 2008.
2. Mission StatementMission Statement
RS Group, LLC is a limited liability corporation whose mission is toRS Group, LLC is a limited liability corporation whose mission is to
develop cloud based financial applications for options and derivativesdevelop cloud based financial applications for options and derivatives
traders.traders.
Our suite of tools allows trades to perform large scale analysis in aOur suite of tools allows trades to perform large scale analysis in a
more efficient and cost effective manner using cloud based computing.more efficient and cost effective manner using cloud based computing.
This allows for the analysis of extremely large portfolios leading toThis allows for the analysis of extremely large portfolios leading to
much more timely hedging strategies and the development of moremuch more timely hedging strategies and the development of more
efficient tracking baskets.efficient tracking baskets.
RS Group LLC has designed software for risk management andRS Group LLC has designed software for risk management and
analysis of equity options, Statistical Arbitrage and Statistical Meananalysis of equity options, Statistical Arbitrage and Statistical Mean
Reversion Strategies. Our technology has been developed over a tenReversion Strategies. Our technology has been developed over a ten
year period at considerable cost.year period at considerable cost.
3. Benefits of Cloud Based AnalyticsBenefits of Cloud Based Analytics
Manage the risk of large derivative books and multi-asset portfolios.Manage the risk of large derivative books and multi-asset portfolios.
Instantaneously calculate hedges and conduct simulations over theInstantaneously calculate hedges and conduct simulations over the
cloud varying multiple factors.cloud varying multiple factors.
Calculate large scale co-variance matrices and beta analysisCalculate large scale co-variance matrices and beta analysis
across assets. Ideal for pairs/ statistical arbitrage desks.across assets. Ideal for pairs/ statistical arbitrage desks.
Statistical studies and monte carlo simulations are more tractableStatistical studies and monte carlo simulations are more tractable
over the cloud allowing for more rigorous analysis of complexover the cloud allowing for more rigorous analysis of complex
scenarios.scenarios.
Large scale basket arbitrage vs ETFs becomes more scalable.Large scale basket arbitrage vs ETFs becomes more scalable.
4. Screen ShotsScreen Shots
Portfolio represented as equivalent position for every hedge security. Positions are aggregatedPortfolio represented as equivalent position for every hedge security. Positions are aggregated
by net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedgeby net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedge
along with the theoretical Fair P&L (Fair P&L is the difference between the market volatilityalong with the theoretical Fair P&L (Fair P&L is the difference between the market volatility
and the price due to the users hedge volatility).and the price due to the users hedge volatility).
7. Screen Shot: Hedge Option DetailScreen Shot: Hedge Option Detail
Option Detailed Position for a single hedge. Detailed information for each option in theOption Detailed Position for a single hedge. Detailed information for each option in the
portfolio is shown. Individual hedge volatilities can be changed from this window or optionportfolio is shown. Individual hedge volatilities can be changed from this window or option
hedge volatilities can be assigned from implied volatilities. In this example, each TNAhedge volatilities can be assigned from implied volatilities. In this example, each TNA
option is hedged at the same volality (49%), but it is possible to assign a different hedgeoption is hedged at the same volality (49%), but it is possible to assign a different hedge
volatility to each option.volatility to each option.
8. Correlation AnalysisCorrelation Analysis
The hedge securities in a portfolio are used to construct a Correlation Matrix over certain userThe hedge securities in a portfolio are used to construct a Correlation Matrix over certain user
defined time periods. The correlation matrix can then be used to generate relative value trades.defined time periods. The correlation matrix can then be used to generate relative value trades.
Portfolios can be imported from text files and from certain other formats.Portfolios can be imported from text files and from certain other formats.
9. Beta AnalysisBeta Analysis
Market Betas are computed for all equities within a portfolio.Market Betas are computed for all equities within a portfolio.
These betas are useful for simulating portfolios or for shock matrix results. When simulatingThese betas are useful for simulating portfolios or for shock matrix results. When simulating
a portfolio, each hedge can be changed by a certain percentage, or that percentage can bea portfolio, each hedge can be changed by a certain percentage, or that percentage can be
beta adjusted.beta adjusted.
10. Shock Matrix Price AnalysisShock Matrix Price Analysis
Portfolios of options can be analyzed for correlated changes in price and volatility.Portfolios of options can be analyzed for correlated changes in price and volatility.
Typically individual option volatilities are correlated, and simulations over a range of price andTypically individual option volatilities are correlated, and simulations over a range of price and
volatilities can expose situations of minimum and maximum risk.volatilities can expose situations of minimum and maximum risk.
In this case, the entire portfolio is simulated over a range of hedge prices changes from -10% toIn this case, the entire portfolio is simulated over a range of hedge prices changes from -10% to
+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher
prices are typically accompanied by decreased volatility.prices are typically accompanied by decreased volatility.
11. Simulation of underlying positions in price and volatilitySimulation of underlying positions in price and volatility
The top view shows the portfolio valued at the current price and user hedge volatilities. The bottom view
has the portfolio valued with prices adjusted by 10% and with volatility increased by 5% (ie hedge volatility
of 20% increases by 5% to 21%)
12. Simulation Detail for hedge SPX changing volatility and priceSimulation Detail for hedge SPX changing volatility and price
The top view shows the detailed SPX option position valued at the current price and the hedge volatilities.
The bottom view shows the option detail valued with prices adjusted by 10% and with volatility increased
by 5% (ie hedge volatility of 20% increases by 5% to 21%).
This comparison allows the user to quickly see in detail how the value and risk, of each option would change
as prices or volatility change.
Additionally the days to expiration can be adjusted, so that the position can be walked forward to see how
the position changes with the passage of time.
13. Principal BiographiesPrincipal Biographies
Brian Crone is a co-founding principal of RS Group LLC and is responsible for co-Brian Crone is a co-founding principal of RS Group LLC and is responsible for co-
developing trading systems and quantitative trading strategies of the group as well asdeveloping trading systems and quantitative trading strategies of the group as well as
engaging in capital raising activities. Brian is chief strategist for RS Group.engaging in capital raising activities. Brian is chief strategist for RS Group.
Prior to RS Group, Brian worked as Senior Vice President of Business DevelopmentPrior to RS Group, Brian worked as Senior Vice President of Business Development
at Outercurve Technologies (a financial wireless service provider) where he wasat Outercurve Technologies (a financial wireless service provider) where he was
responsible for new business initiatives in the European market and managed keyresponsible for new business initiatives in the European market and managed key
client projects with top-tier financial institutions. Additionally Brian was a Director ofclient projects with top-tier financial institutions. Additionally Brian was a Director of
Derivative Trading at Nomura Securities including responsibility for the EasternDerivative Trading at Nomura Securities including responsibility for the Eastern
European trading book as well as positions in proprietary quantitative trading andEuropean trading book as well as positions in proprietary quantitative trading and
quantative research. Before joining Nomura Brian worked in fixed income trading andquantative research. Before joining Nomura Brian worked in fixed income trading and
research and trading at Deutsche bank where he was responsible for developingresearch and trading at Deutsche bank where he was responsible for developing
fixed income. Trading systems and quantitative strategies for the government bondfixed income. Trading systems and quantitative strategies for the government bond
dealing operation.dealing operation.
Brian holds a PhD and M.S. in Applied Mathematical Finance from Cornell.Brian holds a PhD and M.S. in Applied Mathematical Finance from Cornell.
14. Principal BiographiesPrincipal Biographies
Larry Rubin is a co-founding principal of RS Group LLC and is responsible for itsLarry Rubin is a co-founding principal of RS Group LLC and is responsible for its
technology and operational activities.technology and operational activities.
Larry spent a over decade on Wall Street as a proprietary trader for Solomon SmithLarry spent a over decade on Wall Street as a proprietary trader for Solomon Smith
Barney, Lehman Brothers, Nomura Securities and Barclays Capital trading marketBarney, Lehman Brothers, Nomura Securities and Barclays Capital trading market
neutral strategies using equity and capital market derivatives. Mr. Rubin was alsoneutral strategies using equity and capital market derivatives. Mr. Rubin was also
responsible for the Smith Barney Emerging Market Structured Products group andresponsible for the Smith Barney Emerging Market Structured Products group and
worked closely with the Risk Management Group to help analyze various one offworked closely with the Risk Management Group to help analyze various one off
deals ranging from D&O insurance premiums to reload option valuation. Mr. Rubindeals ranging from D&O insurance premiums to reload option valuation. Mr. Rubin
later founded a wireless technology company that employed over 80 full-timelater founded a wireless technology company that employed over 80 full-time
people and servedpeople and served as its Chairman and Chief Executive Officer.as its Chairman and Chief Executive Officer.
Prior to working on Wall Street, Mr. Rubin was a consultant at IBM and BellPrior to working on Wall Street, Mr. Rubin was a consultant at IBM and Bell
Laboratories, where he co-patented a new technique in neural networks and objectLaboratories, where he co-patented a new technique in neural networks and object
orientationorientation detection. He received his undergraduate degree from Brooklyn Collegedetection. He received his undergraduate degree from Brooklyn College
and later earned several advanced degrees from New York University.and later earned several advanced degrees from New York University.