This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Equity-debt correlation breakdown and negative bond yields make investors nervous
Buy-siders brace for further selling after hedge funds dumped risk in March
Some ML strategies have coped well, but others began to struggle as panic mounted
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Losses put at roughly $150m – even before markets tanked on March 9
In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
ASX will seek comment on quicker settlement of cash stocks – possibly the same day
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Requirements connected to equity positions jumped 49% quarter-on-quarter
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Average fund is down almost 5%, but gap between best and worst performers is 14%
This paper demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.
In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.