Leverage

A dynamic model for leveraged funds

Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect to…

AIFM texts adopted by EU parliament and council

Hedge fund managers based outside the European Union (EU) may have to comply with the alternative investment fund managers (AIFM) directive in order to market products to EU member states, under proposals approved last night (May 17).

Regulation consternation

Firm proposals for regulating South African hedge funds are due by mid-2010. But some managers question the need for more regulation.

Tales of leverage

Regulators are proposing the introduction of leverage caps on banks. However, Satyajit Das argues leverage achieved through derivatives does not always show up in traditional leverage measurements

US Wrap: S&P 500 still dominates growth products

The S&P 500 continues to dominate growth products, despite the illusion of index diversity. Morgan Stanley launched a three-year leveraged participation note ahead of the weekend which linked to three indexes: the S&P 500, the Nasdaq 100 and the MSCI…

Fund farewells to leverage

After the heydays of 2005 and 2006, the structured funds space is showing signs of strain. Liquidity shortages and worries about the future of some hedge funds have taken their toll, leading some banks to withdraw or make big cuts in investment in this…

Risk Into Value

Investment firms have plenty to consider in the race to achieve Basel II and operational risk mandates.

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