Showing posts with label hedging. Show all posts
Showing posts with label hedging. Show all posts
Sunday, December 29, 2013

Daily price data underestimates stock beta

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Those who manage market neutral equity portfolios spend a great deal of time estimating betas ( see definition ) of individual holdings. T...
Thursday, June 13, 2013

Fed's securities purchases blunt the impact of convexity hedging

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Mortgage backed securities (MBS) have sold off sharply over the past month as fixed income markets face the new reality of rising rates. ...
Sunday, June 24, 2012

Treasuries reduce volatility better than munis, corporate bonds

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Some readers have asked if other fixed income asset classes could be just as effective as long term treasuries for an equities portfolio i...
Tuesday, January 10, 2012

Market Neutral Anti-Beta Index: an alternative portfolio hedging tool

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Implied volatility based products have not provided the hedge effectiveness many managers were looking for in 2011. In some instances, pa...
Friday, December 9, 2011

Index option hedges have not been effective: poor "option responsiveness"

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As one trader said - "the freakin option hedges are just killing me!" The frustration in the market place has been that being l...
Sunday, October 18, 2009

Harvard's big swap unwind

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As we discussed a few months back, Harvard's lesson in Asset/Liability management had indeed been costly. What has come to light rece...
Wednesday, August 19, 2009

Inherent dangers in hedging with Index CDS

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Credit Default Swaps are often thought of in terms of providing protection against credit events. However in many instances CDS are used to ...
Tuesday, June 30, 2009

Divergent views on CDS

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Here is a great excerpt Michael Johnson's (M.S.Howells & Co) write-up on CDS. It addresses the fact that many equity and credit inve...