307439 Ferdig Master Thesis
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Documento Che Attesta La Proprietà Di Una Quota Del Cap- Itale Sociale È Il Titolo Azionario E Garantisce Una Serie Di Diritti Al Titolare
Università degli Studi di Padova Facoltà di Scienze Statistiche Corso di Laurea Specialistica in Scienze Statistiche, Economiche, Finanziarie e Aziendali Tesi di Laurea : PORTFOLIO MANAGEMENT : PERFORMANCE MEASUREMENT AND FEATURE-BASED CLUSTRERING IN ASSET ALLOCATION Laureando: Nono Simplice Aimé Relatore: Prof. Caporin Massimiliano Anno accademico 2009-2010 1 A Luise Geouego e a tutta la mia famiglia. 2 Abstract This thesis analyses the possible effects of feature-based clustering (using information extracted from asset time series) in asset allocation. In particu- lar, at first, it considers the creation of asset clusters using a matrix of input data which contains some performance measure. Some of these are choosen between the classical measures, while others between the most sofisticated ones. Secondly, it statistically compares the asset allocation results obtained from data-driven groups (obtained by clustering) and a-priori classifications based on assets industrial sector. It also controls how these results can change over time. Sommario Questa tesi si propone di esaminare l’eventuale effetto di una classificazione dei titoli nei portafogli basata su informazioni contenute nelle loro serie storiche In particolare, si tratta di produrre inizialmente una suddivisione dei titoli in gruppi attraverso una cluster analysis, avendo come matrice di input alcune misure di performance selezionate fra quelle classiche e quelle più sofisticate e in un secondo momento, di confrontare i risultati con quelli ottenuti operando una diversificazione dei titoli in macrosettori industriali; infine di analizzare come i risultati ottenuti variano nel tempo. Indice 1 Asset Allocation 7 1.1 Introduzione . 7 1.2 Introduzione alle azioni . 8 1.3 Criterio Rischio-Rendimento . -
FINANCIAL DERIVATIVES SAMPLE QUESTIONS Q1. a Strangle Is an Investment Strategy That Combines A. a Call and a Put for the Same
FINANCIAL DERIVATIVES SAMPLE QUESTIONS Q1. A strangle is an investment strategy that combines a. A call and a put for the same expiry date but at different strike prices b. Two puts and one call with the same expiry date c. Two calls and one put with the same expiry dates d. A call and a put at the same strike price and expiry date Answer: a. Q2. A trader buys 2 June expiry call options each at a strike price of Rs. 200 and Rs. 220 and sells two call options with a strike price of Rs. 210, this strategy is a a. Bull Spread b. Bear call spread c. Butterfly spread d. Calendar spread Answer c. Q3. The option price will ceteris paribus be negatively related to the volatility of the cash price of the underlying. a. The statement is true b. The statement is false c. The statement is partially true d. The statement is partially false Answer: b. Q 4. A put option with a strike price of Rs. 1176 is selling at a premium of Rs. 36. What will be the price at which it will break even for the buyer of the option a. Rs. 1870 b. Rs. 1194 c. Rs. 1140 d. Rs. 1940 Answer b. Q5 A put option should always be exercised _______ if it is deep in the money a. early b. never c. at the beginning of the trading period d. at the end of the trading period Answer a. Q6. Bermudan options can only be exercised at maturity a. -
Section 1256 and Foreign Currency Derivatives
Section 1256 and Foreign Currency Derivatives Viva Hammer1 Mark-to-market taxation was considered “a fundamental departure from the concept of income realization in the U.S. tax law”2 when it was introduced in 1981. Congress was only game to propose the concept because of rampant “straddle” shelters that were undermining the U.S. tax system and commodities derivatives markets. Early in tax history, the Supreme Court articulated the realization principle as a Constitutional limitation on Congress’ taxing power. But in 1981, lawmakers makers felt confident imposing mark-to-market on exchange traded futures contracts because of the exchanges’ system of variation margin. However, when in 1982 non-exchange foreign currency traders asked to come within the ambit of mark-to-market taxation, Congress acceded to their demands even though this market had no equivalent to variation margin. This opportunistic rather than policy-driven history has spawned a great debate amongst tax practitioners as to the scope of the mark-to-market rule governing foreign currency contracts. Several recent cases have added fuel to the debate. The Straddle Shelters of the 1970s Straddle shelters were developed to exploit several structural flaws in the U.S. tax system: (1) the vast gulf between ordinary income tax rate (maximum 70%) and long term capital gain rate (28%), (2) the arbitrary distinction between capital gain and ordinary income, making it relatively easy to convert one to the other, and (3) the non- economic tax treatment of derivative contracts. Straddle shelters were so pervasive that in 1978 it was estimated that more than 75% of the open interest in silver futures were entered into to accommodate tax straddles and demand for U.S. -
Tracking and Trading Volatility 155
ffirs.qxd 9/12/06 2:37 PM Page i The Index Trading Course Workbook www.rasabourse.com ffirs.qxd 9/12/06 2:37 PM Page ii Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Aus- tralia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Trading series features books by traders who have survived the market’s ever changing temperament and have prospered—some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future. For a list of available titles, visit our web site at www.WileyFinance.com. www.rasabourse.com ffirs.qxd 9/12/06 2:37 PM Page iii The Index Trading Course Workbook Step-by-Step Exercises and Tests to Help You Master The Index Trading Course GEORGE A. FONTANILLS TOM GENTILE John Wiley & Sons, Inc. www.rasabourse.com ffirs.qxd 9/12/06 2:37 PM Page iv Copyright © 2006 by George A. Fontanills, Tom Gentile, and Richard Cawood. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. -
Faqs on Straddle Contracts – Currency Derivatives
FAQs on Straddle Contracts FAQs on Straddle Contracts – Currency Derivatives 1. What is meant by a Straddle Contract? Straddle contracts are specialised two-legged option contracts that allow a trader to take positions on two different option contracts belonging to the same product, at the same strike price and having the same expiry. 2. What are the components of a Straddle contract? A straddle contract comprises of two individual legs, the first being the call option leg and the second being the put option leg, having same strike price and expiry. 3. In which segment will Straddle contracts be offered? To start with, straddle contracts will be offered in the Currency Derivatives segment. 4. What will be the market lot of the straddle contract? Market lot of a straddle contract will be the same as that of its corresponding individual legs i.e. the market lot of the call option leg and the put option leg. 5. What will be the tick size of the straddle contract? Tick size of a straddle contract will be the same as that of its corresponding individual legs i.e. the tick size of the call option leg and the put option leg. 6. For which expiries will straddle contracts be made available? Straddle contracts will be made available on all existing individual option contracts - current, near, & far monthly as well as quarterly and half yearly option contracts. 7. How many in-the-money, at-the-money and out-of-the-money contracts will be available? Minimum two In-the-Money, two Out-of-the-Money and one At-the-Money straddle contracts will be made available. -
Are Defensive Stocks Expensive? a Closer Look at Value Spreads
Are Defensive Stocks Expensive? A Closer Look at Value Spreads Antti Ilmanen, Ph.D. November 2015 Principal For several years, many investors have been concerned about the apparent rich valuation of Lars N. Nielsen defensive stocks. We analyze the prices of these Principal stocks using value spreads and find that they are not particularly expensive today. Swati Chandra, CFA Vice President Moreover, valuations may have limited efficacy in predicting strategy returns. This piece lends insight into possible reasons by focusing on the contemporaneous relation (i.e., how changes in value spreads are related to returns over the same period). We highlight a puzzling case where a defensive long/short strategy performed well during a recent two- year period when its value spread normalized from abnormally rich levels. For most asset classes, cheapening valuations coincide with poor performance. However, this relationship turns out to be weaker for long/short factor portfolios where several mechanisms can loosen the presumed strong link between value spread changes and strategy returns. Such wedges include changing fundamentals, evolving positions, carry and beta mismatches. Overall, investors should be cognizant of the tenuous link between value spreads and returns. We thank Gregor Andrade, Cliff Asness, Jordan Brooks, Andrea Frazzini, Jacques Friedman, Jeremy Getson, Ronen Israel, Sarah Jiang, David Kabiller, Michael Katz, AQR Capital Management, LLC Hoon Kim, John Liew, Thomas Maloney, Lasse Pedersen, Lukasz Pomorski, Scott Two Greenwich Plaza Richardson, Rodney Sullivan, Ashwin Thapar and David Zhang for helpful discussions Greenwich, CT 06830 and comments. p: +1.203.742.3600 f: +1.203.742.3100 w: aqr.com Are Defensive Stocks Expensive? A Closer Look at Value Spreads 1 Introduction puzzling result — buying a rich investment, seeing it cheapen, and yet making money — in Are defensive stocks expensive? Yes, mildly, more detail below. -
Post-Modern Portfolio Theory Supports Diversification in an Investment Portfolio to Measure Investment's Performance
A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Rasiah, Devinaga Article Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance Journal of Finance and Investment Analysis Provided in Cooperation with: Scienpress Ltd, London Suggested Citation: Rasiah, Devinaga (2012) : Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance, Journal of Finance and Investment Analysis, ISSN 2241-0996, International Scientific Press, Vol. 1, Iss. 1, pp. 69-91 This Version is available at: http://hdl.handle.net/10419/58003 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend -
Evidence from SME Bond Markets
Temi di discussione (Working Papers) Asymmetric information in corporate lending: evidence from SME bond markets by Alessandra Iannamorelli, Stefano Nobili, Antonio Scalia and Luana Zaccaria September 2020 September Number 1292 Temi di discussione (Working Papers) Asymmetric information in corporate lending: evidence from SME bond markets by Alessandra Iannamorelli, Stefano Nobili, Antonio Scalia and Luana Zaccaria Number 1292 - September 2020 The papers published in the Temi di discussione series describe preliminary results and are made available to the public to encourage discussion and elicit comments. The views expressed in the articles are those of the authors and do not involve the responsibility of the Bank. Editorial Board: Federico Cingano, Marianna Riggi, Monica Andini, Audinga Baltrunaite, Marco Bottone, Davide Delle Monache, Sara Formai, Francesco Franceschi, Salvatore Lo Bello, Juho Taneli Makinen, Luca Metelli, Mario Pietrunti, Marco Savegnago. Editorial Assistants: Alessandra Giammarco, Roberto Marano. ISSN 1594-7939 (print) ISSN 2281-3950 (online) Printed by the Printing and Publishing Division of the Bank of Italy ASYMMETRIC INFORMATION IN CORPORATE LENDING: EVIDENCE FROM SME BOND MARKETS by Alessandra Iannamorelli†, Stefano Nobili†, Antonio Scalia† and Luana Zaccaria‡ Abstract Using a comprehensive dataset of Italian SMEs, we find that differences between private and public information on creditworthiness affect firms’ decisions to issue debt securities. Surprisingly, our evidence supports positive (rather than adverse) selection. Holding public information constant, firms with better private fundamentals are more likely to access bond markets. Additionally, credit conditions improve for issuers following the bond placement, compared with a matched sample of non-issuers. These results are consistent with a model where banks offer more flexibility than markets during financial distress and firms may use market lending to signal credit quality to outside stakeholders. -
Tax Treatment of Derivatives
United States Viva Hammer* Tax Treatment of Derivatives 1. Introduction instruments, as well as principles of general applicability. Often, the nature of the derivative instrument will dictate The US federal income taxation of derivative instruments whether it is taxed as a capital asset or an ordinary asset is determined under numerous tax rules set forth in the US (see discussion of section 1256 contracts, below). In other tax code, the regulations thereunder (and supplemented instances, the nature of the taxpayer will dictate whether it by various forms of published and unpublished guidance is taxed as a capital asset or an ordinary asset (see discus- from the US tax authorities and by the case law).1 These tax sion of dealers versus traders, below). rules dictate the US federal income taxation of derivative instruments without regard to applicable accounting rules. Generally, the starting point will be to determine whether the instrument is a “capital asset” or an “ordinary asset” The tax rules applicable to derivative instruments have in the hands of the taxpayer. Section 1221 defines “capital developed over time in piecemeal fashion. There are no assets” by exclusion – unless an asset falls within one of general principles governing the taxation of derivatives eight enumerated exceptions, it is viewed as a capital asset. in the United States. Every transaction must be examined Exceptions to capital asset treatment relevant to taxpayers in light of these piecemeal rules. Key considerations for transacting in derivative instruments include the excep- issuers and holders of derivative instruments under US tions for (1) hedging transactions3 and (2) “commodities tax principles will include the character of income, gain, derivative financial instruments” held by a “commodities loss and deduction related to the instrument (ordinary derivatives dealer”.4 vs. -
Securitization & Hedge Funds
SECURITIZATION & HEDGE FUNDS: COLLATERALIZED FUND OBLIGATIONS SECURITIZATION & HEDGE FUNDS: CREATING A MORE EFFICIENT MARKET BY CLARK CHENG, CFA Intangis Funds AUGUST 6, 2002 INTANGIS PAGE 1 SECURITIZATION & HEDGE FUNDS: COLLATERALIZED FUND OBLIGATIONS TABLE OF CONTENTS INTRODUCTION........................................................................................................................................ 3 PROBLEM.................................................................................................................................................... 4 SOLUTION................................................................................................................................................... 5 SECURITIZATION..................................................................................................................................... 5 CASH-FLOW TRANSACTIONS............................................................................................................... 6 MARKET VALUE TRANSACTIONS.......................................................................................................8 ARBITRAGE................................................................................................................................................ 8 FINANCIAL ENGINEERING.................................................................................................................... 8 TRANSPARENCY...................................................................................................................................... -
Risk and Return Comparison of MBS, REIT and Non-REIT Etfs
International Journal of Business, Humanities and Technology Vol. 7, No. 3, September 2017 Risk and Return Comparison of MBS, REIT and Non-REIT Etfs Hamid Falatoon Ph.D Faculty at School of Business University of Redlands Redlands, CA 92373, USA Mohammad R. Safarzadeh Economics California State PolytechnicUniversity Pomona, CA, USA Abstract MBS has become an investment instrument ofchoice for retiring individuals and the ones who have preference for a secure stream of returns while taking lower risk relative to other vehicles of investment. As well, MBS has lately become a recommended investment strategy by financial advisers and investment bankers for safeguarding the retirement accounts of retirees from wild market fluctuations. The objective of this paper is to compare the risk and return of MBS with REIT and Non-REIT invetment opportunities. The paper uses finance ratios such as Sharpe, Sortino, and Traynor ratios as well as market risk and value at risk (VaR) analysis to compare and contrast the relative risk and return of a number equities in MBS, REIT and Non-REIT. The study extends the analysis to pre-recession of 2007-2009 to analyze the effect of the great recession on the relative risk and return of three diffrerent mediums of investment. Keywords: Risk and Return, MBS, REIT, Sharpe, Sortino, Treynor, VaR, CAPM I. Introduction Mortgage-backed securities (MBS) are debt obligations that represent claims to the cash flows from a pool of commercial and residential mortgage loans. The mortgage loans, purchased from banks, mortgage companies, and other originators are securitized by a governmental, quasi-governmental, or private entity. -
The Behaviour of Small Investors in the Hong Kong Derivatives Markets
Tai-Yuen Hon / Journal of Risk and Financial Management 5(2012) 59-77 The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A factor analysis Tai-Yuen Hona a Department of Economics and Finance, Hong Kong Shue Yan University ABSTRACT This paper investigates the behaviour of small investors in Hong Kong’s derivatives markets. The study period covers the global economic crisis of 2011- 2012, and we focus on small investors’ behaviour during and after the crisis. We attempt to identify and analyse the key factors that capture their behaviour in derivatives markets in Hong Kong. The data were collected from 524 respondents via a questionnaire survey. Exploratory factor analysis was employed to analyse the data, and some interesting findings were obtained. Our study enhances our understanding of behavioural finance in the setting of an Asian financial centre, namely Hong Kong. KEYWORDS: Behavioural finance, factor analysis, small investors, derivatives markets. 1. INTRODUCTION The global economic crisis has generated tremendous impacts on financial markets and affected many small investors throughout the world. In particular, these investors feared that some European countries, including the PIIGS countries (i.e., Portugal, Ireland, Italy, Greece, and Spain), would encounter great difficulty in meeting their financial obligations and repaying their sovereign debts, and some even believed that these countries would default on their debts either partially or completely. In response to the crisis, they are likely to change their investment behaviour. Corresponding author: Tai-Yuen Hon, Department of Economics and Finance, Hong Kong Shue Yan University, Braemar Hill, North Point, Hong Kong. Tel: (852) 25707110; Fax: (852) 2806 8044 59 Tai-Yuen Hon / Journal of Risk and Financial Management 5(2012) 59-77 Hong Kong is a small open economy.