Sentences with phrase «volatility risk premium»

«For a portion of the portfolio we are writing call options which allows us to take advantage of the volatility risk premium.

In the April 2013 version of his paper entitled «Easy Volatility Investing» (the National Association of Active Investment Managers» 2013 Wagner Award runner - up), Tony Cooper explores the rewards and risks of five volatility trading strategies including simple buy - and - hold, price momentum, futures roll yield capture, volatility risk premium capture and dynamic hedging.

Does shorting the iPath S&P 500 VIX Short - Term Futures ETN (VXX) with crash protection (to capture the equity volatility risk premium safely) work?

In response to «Shorting VXX with Crash Protection», which investigates shorting iPath S&P 500 VIX Short - Term Futures (VXX) with crash protection to capture the equity volatility risk premium safely, a subscriber asked about instead using a long position in ProShares Short VIX Short - Term Futures (SVXY).

To investigate, we test whether a simple measure of the volatility risk premium (VRP) for T - notes predicts returns for the iShares 7 - 10 Year Treasury Bond (IEF) exchange - traded fund.

Does shorting the iPath S&P 500 VIX Short - Term Futures ETN (VXX) with crash protection (to capture the equity volatility risk premium safely) work?

Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns?

Not exact matches

The minutes of the Fed's June meeting noted that «some participants suggested that increased risk tolerance among investors might be contributing to elevated asset prices more broadly; a few participants expressed concern that subdued market volatility, coupled with a low equity premium, could lead to a build - up of risks to financial stability.»

«This is typical of a late cycle expansion which is another reason why multiples will be lower as higher volatility typically demands a higher equity risk premium.

If policy developments in advanced economies make the path for growth and debt less benign than expected, risk premiums and volatility could rise sharply.

U.S. asset managers and custody banks could face difficulty in lifting profit margins if the ongoing market volatility increases the equity risk premium.

As a result, it is now clear that the U.S. is in the latter stages of the multi-year credit cycle, a period when rising corporate leverage negatively affects returns to corporate debt as investors demand higher risk premiums to compensate for the greater volatility created by increased leverage.

With market volatility hitting multi-decade lows, junk bond yields also at record lows, the median price / revenue ratio of S&P 500 constituents at a record high well - beyond 2000 levels, and the most strenuously overvalued, overbought, overbullish syndromes we define, I'm increasingly concerned about the potential for an abrupt «air pocket» in the prices of risky assets that could attend even a modest upward shift in risk premiums.

Investors pricing in both a «policy risk premium» and a «complexity risk premium» are adding to volatility in markets.

Second, financial logic embodied in the celebrated Modigliani Miller theorem and suggested by common sense holds that substantial reductions in leverage, if achieved, should be associated with reduced volatility, reduced sensitivity to shocks and lower risk premiums.

Furthermore, as the extirpation of wolves exposed policymakers to previously unanticipated macro risks, the suppression of known market volatility via term premium dampening also implies the next wave of risk contagion will likely come from unconventional sources beyond the current regulatory focus (similar to the lack of «dot - com euphoria» led some investors to see that there was no market excess prior to the GFC), and a «well sheltered» financial market would be ill - prepared to adapt.

Relevant strategies (selling options, buying and selling products linked to volatility indexes, risk parity, risk premium harvesting and volatility targeting).

The figure also suggests that, with some modest volatility, the mortgage risk premium has remained near 1.60 percentage points since the late 1980s, except for a noticeable increase during the Great Recession.

Given term premium suppression (via QE) reduced volatility and induced investors to buy risky assets to boost returns, a sustained rise in long - term interest rates would give investors more options to achieve yield targets, thus making risk assets appear less attractive and ultimately erode demands for yield and tighten financial conditions.

Meanwhile the mortgage risk premium rose 4 basis points, with volatility, over the same period.

Low volatility, weakening correlations and still - muted risk appetite all point to an environment favoring risk taking and putting a premium on security selection, in our view.

They also examine whether four bond risk premiums (volatility, credit risk, value and momentum), each specified in multiple ways and measured via long - short portfolios formed from monthly sorts, exhibit these two seasonal effects.

By charging slightly higher premiums based on risk, FHA will be able to extend the benefits of its FHASecure program to more homeowners affected by the volatility in the mortgage market.

The authors find that the buy — write strategies» risk - adjusted performance was earned from a combination of a skewness premium, paid to the option writers for assuming the tail risk of potentially unlimited loss, and the reduction in volatility from the hedge of the buy - and - hold security's beta exposure.

The improvement in return results from the skewness premium received by the option writer in exchange for assuming large negative tail risk, which is a function of the preference - for - lottery hypothesis, likely a foundation of the low - volatility anomaly.

Relevant strategies (selling options, buying and selling products linked to volatility indexes, risk parity, risk premium harvesting and volatility targeting).

Recent U.S. protectionist policies have contributed to volatility in capital markets, and greater uncertainty prompts investors to demand a larger risk premium (hence, lower prices).

Now that volatility has pushed higher, traders have to figure out if the downside risk is worth the improved premiums.

For many years, active fund managers and institutional investors have often used a factor - based approach either to strategically construct portfolios or to tilt their portfolios toward well - known risk factors, such as low volatility, value, momentum, dividend, size, and quality, to capture the factor risk premium.

In the May 2013 version of their paper entitled «Strategic Allocation to Commodity Factor Premiums», David Blitz and Wilma de Groot examine the performance and diversification power of the commodity market portfolio and of alternative commodity momentum, carry and low - risk (low - volatility) portfolios.

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Stock traders who have been using approaches that assume low - volatility conditions will persist indefinitely (e.g., shorting VIX futures, selling option premium, or simply increasing long position size) need to be prepared for a changing of the market guard — or risk getting crushed when volatility doesn't immediately retreat after its next upward spike.

What are the principal strategies for exploiting the volatility and volatility skew risk premiums?

While Muhlenkamp reminds us that this volatility is less important as investors lengthen their time horizon, stock investors still demand premium return over bonds as compensation for the increased volatility and risk inherent in stocks.

Let's assume that the goal of diversification is to reduce our risk by taking on new, uncorrelated risks in order to seek equitylike returns at bondlike risk — our industry's holy grail — rather than merely to invest some of our money in low - volatility markets.8 Most would suggest that other risky assets should serve this purpose — if they offer an uncorrelated risk premium (e.g., if that risk premium is related to risk, not to beta).

Since political volatility racks many of the world's largest oil exporters — Nigeria, Venezuela, Libya, Iran, Iraq, Sudan, etc — it plays a very real factor in influencing both global supply and the risk premium of the oil coming out of the region.

Under the PROFIT Strategy, net premiums are invested in the Equity Fund and the returns in the fund act as a trigger whereby the profits are booked into a low risk debt fund to protect them against market volatility

The costs involved in sending money abroad could include: sending bank fees, receiving bank fees, premiums on exchange rates (which will also differ from the «Google rate»), limits the minimum or maximum amount that can be sent, time delays, price - volatility risk and fees to trade the money for Bitcoin.