Variance
ETF providers look to alternative beta
Original headline:
Source: Structured Products
Alternatively-weighted indexes are attracting more and more attention from ETF providers. So far this year Ossiam, PowerShares and State Street have listed ETFs that provide exposure to equities weighted...
Original headline:
Source: Structured Products
Hedge funds and other sophisticated investors have been positioning themselves as sellers of volatility and correlation, despite recent global events. But some market participants are urging caution. Mark...
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More Variance articles
Equity derivatives
Original headline:
Source: Risk magazine
Equity derivatives markets have long lagged the fast migration to electronic confirmation seen in other asset classes. There are various reasons for this – the sheer diversity of instruments, geographic idiosyncrasies and differences in underlyings,...
Short volatility exposures pose risks
Original headline:
Source: Risk magazine
Hedge funds and other sophisticated investors have been positioning themselves as sellers of volatility and correlation, despite recent global events. But some market participants are urging caution. Mark Pengelly reports
Risk South Africa Rankings 2010
Original headline:
Source: Risk magazine
South African banks were shielded from much of the turmoil that rocked global financial markets this year but face plenty of challenges of their own, particularly around regulation. Competition is as fierce as ever, with less than one percentage point...
Volatility, correlation and skew too
Original headline:
Source: Structured Products
Skew skyrocketed while volatility and correlation spiked in May, reviving memories of the carnage inflicted in the months that followed the bankruptcy of Lehman Brothers in 2008. The dislocations are rumoured to have caused losses for some exotic equity...
Goldman hit by short equity volatility position
Published online only
Source: Risk magazine
Rumours of big losses in Goldman's equity derivatives business are borne out as second-quarter profits drop 83%.
Vol and correlation cause equity derivatives pain
Published online only
Source: Risk magazine
Hedge funds and dealers reported to suffer losses from recent equity derivatives moves
Between volatility and variance
Published online only
Source: Structured Products
Banks and investors were hammered on short single-stock variance positions during the financial crisis, leading many dealers to withdraw from the variance swap market. The alternative that some have reverted to is the volatility swap, although this has...
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