Posts Tagged ‘futuros

15
Nov
11

Fun & Finance Capítulo 17 Charla sobre Commodities

Debido a las restricciones impuesta sobre el mercado cambiario, sacamos a relucir nuestros dotes actorales por cualquier eventual cambio de profesión. Como dos experimentados actores Ivan y Juan Manuel, le explican a Gaston que es el mercado de Commodities (desde la macro hasta el mercado).

Siempre Mejor en HD

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07
Sep
11

Paper: Diversificación, rebalanceo como soluciones…

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to sell assets that have appreciated in relative value and buy assets that have declined in relative value, as measured by their weights in the portfolio. In contrast, the incremental return of a buy-and-hold portfolio is driven by the fact that the assets that perform the best become a greater fraction of the portfolio. We use these results to resolve two puzzles associated with the Gorton and Rouwenhorst index of commodity futures, and thereby obtain a clear understanding of the source of the return of that index. Diversification return can be a significant source of return for any rebalanced portfolio of volatile assets.

Link al Paper

10
Feb
11

Tabla du Jour: ¿Burbuja 2011? Debatan…

(Fuente: Surly Trader)

09
Feb
11

Paper: Diversificación de la Volatilidad

The Hazards of Volatility Diversification

Abstract:
Recent research advocates volatility diversification for long equity investors. It can even be justified when short-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market crises are clear but we show that the high transactions costs and negative carry and roll yield on volatility futures during normal periods would outweigh any benefits gained unless volatility trades are carefully timed. Our analysis highlights the difficulty of predicting when volatility diversification is optimal. Hence insitutional investors should be sceptical of studies that extol its benefits. Volatility is better left to experienced traders such as speculators, vega hedgers and hedge funds.

Link al Paper

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UPDATE

Falkenblog tiene un post donde comenta este paper.

13
Oct
10

una buena pregunta sobre hedging

Condor Options –siguiendo con la serie de estrategias de hedging (orientada a un VIX Porfolio Hedging, principalmente Futuros de VIX y de Mini VIX)- plantea en su reciente post una excelente pregunta:

When evaluating any hedging strategy, therefore, it is essential to ask: how would the strategy perform in a crisis-free world?

En otras palabras, cuanto te cuesta la estrategia en los periodos donde -a pesar de que Roubini te dice que todo es Crash– todavia no paso nada.

29
Aug
10

Paper: Instrumentos de volatilidad como hedge

Using Volatility Instruments as Extreme Downside Hedges

Abstract:
“Long volatility” is thought to be an effective hedge against a long equity portfolio, especially during periods of extreme market volatility. This study examines using volatility futures and variance futures as extreme downside hedges, and compares their effectiveness against traditional “long volatility” hedging instruments such as out-of-the-money put options. Our results show that CBOE VIX and variance futures are more effective extreme downside hedges than out-of-the-money put options on the S&P 500 index, especially when reasonable actual and/or estimated costs of rolling contracts have taken into account. In particular, using 1-month rolling as well as 3-month rolling VIX futures presents a cost-effective choice as hedging instruments for extreme downside risk protection as well as for upside preservation.

Link al Paper

18
Apr
10

Screening de Acciones

FINVIZ.com es un sitio financiero donde verdaderamente los datos se vuelven información. Vale la pena perder horas mirando sus mapas y haciendo screening.




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