Beta
Alpha commodity indexes: a sustainable source of absolute returns?
Original headline:
Source: Structured Products
Investor interest in alpha commodity index products has surged over the past year and banks are hard at work creating more of them. Can these exotic new instruments really provide a sustainable source...
Original headline:
Source: Energy Risk
Investor interest in alpha commodity index products has surged over the past year and banks are hard at work creating more of them. Can these exotic new instruments really provide a sustainable source...
Published online only
Source: Structured Products
Seeking performance while at the same time increasingly needing to control risk makes smart beta thematic index approaches such as low volatility, minimum variance and risk-weighted strategies increasingly...
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More Beta articles
Market-consistent equity risk premiums
Original headline:
Source: Risk magazine
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Citi reveals dedicated quant investment strategies group
Published online only
Source: Structured Products
The shake-up at Citi now incorporates a new group, which will specialise in providing indexes and strategies
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation...
Original headline:
Source: Risk magazine
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie Carver, he also criticises post-crisis regulation,...
Sigor plans new LDCE to capture operational risk losses since crisis
Published online only
Source: Operational Risk & Regulation
Working group is also considering raising betas in the Basel II standardised approach to encourage movement towards the AMA, but some say this is not the answer
Invesco Powershares launches low-volatility and high-beta S&P 500 ETFs
Published online only
Source: Structured Products
Invesco PowerShares has responded to investor requests for a different take on equity-based investments with low-volatility and high-beta index-based ETFs
Americas house of the year
Original headline:
Source: Structured Products
BNP Paribas
Structured products versus ETFs: Which is best?
Original headline:
Source: Structured Products
The growth of the exchange-traded funds market during the financial crisis put structured products in the shade. As the market recovers, debates about the respective benefits of the two vehicles are as prominent as ever. But have innovations blurred the...
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