Technical papers/Structured Products
Risk control
Jürgen Vandenbroucke of the Faculty of Applied Economics at the University of Antwerp and KBC Asset Management elaborates on risk control applied to option-based capital-protected products and rules-based...
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance...
This paper discusses the implications of mean reversion in stock prices for long-term investors such as pension funds. We consider a mean-variance-efficient investor and show how mean reversion in stock...
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More Technical papers/Structured Products articles
Alternative indexing methods: point of reference – does it matter?
Most equity investors use the market capitalization-weighted index as their main point of reference when assessing the relative risk characteristics of an investment. In the past, the choice of this index has been made automatically without questioning...
A least discrimination method for portfolio optimization: an alternative...
Black and Litterman recommend that portfolio optimization start with a reference portfolio (eg, a performance benchmark) and inferring the returns forecast that makes this portfolio optimal. Personal views on some asset returns may then be expressed as...
Universal algorithmic trading
The problem of universal sequential investment in stock markets is considered. We construct an algorithmic trading strategy that is asymptotically at least as good as any trading strategy that is not excessively complex and that computes the investment...
Leveraged exchange-traded funds: admissible leverage and risk horizon
This paper provides a quantitative risk analysis of leveraged exchange-traded funds (LETFs) with a focus on the impact of leverage and investment horizon. From the empirical returns of several major LETFs based on the S&P 500 index, the performance of...
Impact-adjusted valuation and the criticality of leverage
Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effect that liquidating a position can have. Such valuations overstate the cash that will be received and underestimate a position’s leverage. Simple parametric...
Non-linear momentum strategies
Trading strategies that follow trends, or market momentum, result in positively skewed distribution of trading returns. Strategies that are linear in the factors driving the momentum have been studied before, but Richard Martin and Ali Bana extend this...
A proof of the optimality of volatility weighting over time
We provide a proof that volatility weighting over time increases the Sharpe ratio or the information ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher the risk-adjusted performance. Our results apply to...
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