Posts Tagged ‘volatilidad



19
May
11

Invertir en Volatilidad

Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:

Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.

But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.

Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.

24
Apr
11

Gráfico du Jour: VIX y su numerología…baja

(Fuente: Barrons*)

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*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.

15
Apr
11

Fun & Finance: capítulo 7, Volatilidad

En esta septima entrega -y gracias a los escenarios virtuales- Gaston visita a Leo. Quien le explica sobre Volatilidad, como se mide y que estrategias hay para tradearla.

Para un mayor disfrute de este video, le recomendamos que lo vea desde Vimeo directamente en Alta Definición.

28
Mar
11

Paper: Volatilidad y largo plazo

Are Stocks Really Less Volatile in the Long Run?

ABSTRACT

According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast,we find that stocks are substantially more volatile over long horizons from an investor’s perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contributes strongly to reducing long-horizon variance, but it is more than offset by various uncertainties faced by the investor, especially uncertainty about the expected return. The same uncertainties reduce desired stock allocations of long-horizon investors contemplating target-datefunds.

Link al Paper

08
Mar
11

Finanzas 101: Modelar la volatilidad

El blog Quantitative Research and Trading propone una serie de posts sobre volatilidad y pricing de opciones. Asi mismo, linkea una presentación la cual vale la pena mirar.

En esta primera entrega ofrece algunos conceptos claves sobre volatilidad como este:

(…)

Mean Reversion vs. Momentum
A puzzling feature of much of the literature on volatility is that it tends to stress the mean-reverting behavior of volatility processes.  This appears to contradict the finding that volatility behaves as a reinforcing process, whose long-term serial autocorrelations create a tendency to trend.  This leads to one of the most important findings about asset processes in general, and volatility process in particular: i.e. that the assets processes are simultaneously trending and mean-reverting.  One way to understand this is to think of volatility, not as a single process, but as the superposition of two processes:  a long term process in the mean, which tends to reinforce and trend, around which there operates a second, transient process that has a tendency to produce short term spikes in volatility that decay very quickly.  In other words, a transient, mean reverting processes inter-linked with a momentum process in the mean.  The presentation discusses two-factor modeling concepts along these lines, and about which I will have more to say later.

(…)

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.

07
Jan
11

Volatilidad a la VIX

A partir de hoy, la CBOE aplicara la metodología utilizada en el VIX a opciones de ciertas acciones (Apple, Amazon, IBM, Google, Goldman Sachs). Cortita y al pie, pero muy util.

 




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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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