Trends in Gold Option Volatility
|
|
- Jewel Horn
- 7 years ago
- Views:
Transcription
1 Trends in Gold Option Volatility May 24, 2014 by Ade Odunsi of AdvisorShares Ade Odunsi is the Managing Director for Treesdale Partners and portfolio manager of the AdvisorShares Gartman Gold/Euro ETF (GEUR), AdvisorShares Gartman Gold/British Pound ETF (GGBP), AdvisorShares Gartman Gold/Yen ETF (GYEN) and AdvisorShares International Gold ETF (GLDE). Liquidity in gold option trading has risen significantly over the last five years. Using the COMEX 100 ounce gold option contract as a proxy for the market, Year-to-Date Average Daily Volume has risen from approximately 30,000 contracts in May 2009 to 70,000 contracts (~ 217 metric tonnes) in May This period of growth in option use has coincided with the rapid rise in the gold price after the 2008 credit crisis and perhaps reflected a need from the growing number of gold investors for derivative contracts with which they could manage the risks inherent in their gold exposure. Page 1, 2016 Advisor Perspectives, Inc. All rights reserved.
2 Source: CME Group A key benefit of having a liquid and actively traded option market is the market information that can be discerned from option prices, giving an insight into the supply and demand dynamics of the market. In this week s commentary we look at a ten year history of gold option prices and highlight some of the key characteristics evident in the data. We also look at the equity option market through the price history of the CBOE VIX index and draw parallels between the two option markets. In this analysis option prices are expressed in terms of implied volatility rather than dollars and cents. A key input into the calculation of option prices is a parameter called volatility. In effect it is the market s estimation of the amount of volatility (typically defined as the variability in daily moves) in the gold price that is likely to be experienced during the life of the option contract. In general the higher the level of expected volatility, the higher the option price in dollars and cents. Volatility is typically expressed as a percentage on an annualized basis. For example, a one year volatility of 20% would imply that the expected standard deviation of the gold price over the next year is 20%. Ultimately expressing volatility in this way is useful as it allows direct comparisons of the potential movement in asset prices across different markets, as implied by option prices. We highlight below some of the more interesting characteristics of the gold option market: 1. The absolute level of volatility: Over the last ten years the spot price of gold in dollars has had approximately the same level of volatility as a broad based large cap equity index (the S&P 500). It is perhaps worth also making the point that the volatility of gold bullion has been significantly lower than the volatility of a broad based index of gold mining stocks. For example, the historical volatility of the NYSE Arca Gold Miners Index (42% annualized) has been just over twice the volatility of the gold bullion spot price (20% annualized) as measured by daily price movements over the last 10 years. This point is worth remembering given the common practice of using gold mining equities as proxies for gold bullion. The two assets provide exposure to really quite different types of risk and this is reflected in the large difference in historical volatility 2. Volatility is contagious: It is also noteworthy that implied volatility in the gold market has tended to track the movement of implied volatility in the equity market. This is noticeable particularly during periods of market stress such as in 2008 and 2011 where a spike in volatility in one market was mirrored in the other market. In fact, unsurprisingly, this is a phenomenon we tend to observe across all markets where significant declines and falls in volatility tend to be reflected across all markets. 3. Volatility has fallen sharply in 2014: In synch with volatility in other asset classes, implied volatility in gold markets has fallen sharply in 2014 tracking the much lower day to day volatility in the gold price. The prior low in one month implied volatility was 10% reached in July Chart 1: Absolute level and co-movement in gold bullion implied volatility versus CBOE VIX Index Page 2, 2016 Advisor Perspectives, Inc. All rights reserved.
3 Source: Bloomberg LP A key metric that provides important information about the balance of supply and demand in the gold market is the implied volatility skew. A detailed discussion of volatility skew is beyond the scope of this article but broadly speaking the skew is a reflection of the market s preference for owning gold calls (expectations for gold prices to rise) versus gold puts (expectations for gold prices to fall). When the price for a given out-of-the-money gold call as indicated by its implied volatility is higher than the price for an equivalent gold put, the skew is said to be positive meaning that the market demand for gold calls exceeds the demand for gold puts and as such the market clearing price for gold calls is higher. In the following chart we plot the gold implied volatility skew. The specific metric we plot is the difference between the implied volatility for a one month gold call with a strike price that has a 25% probability of being exercised (at inception) versus the implied volatility for a one month gold put with a strike that also has a 25% probability of being exercised. The benefit of defining the skew with reference to the probability of exercise is that it standardizes the price units and as such allows the skew to be compared across different option markets. 4. The market preference for gold calls versus gold puts switched: A fundamental change that has occurred in the gold option market over the last ten years has been the switch in the skew from a preference for gold calls to a preference to gold puts. Prior to 2010 we can see that the skew had generally been positive (white line) but it swung sharply negative in 2012 and 2013 matching the move lower in the gold price. Gold historically has generally been seen as a Page 3, 2016 Advisor Perspectives, Inc. All rights reserved.
4 defensive asset to hold in a portfolio. This meant that during periods of market stress, while the prices of assets such as equities might be expected to fall, the price of gold typically rose as investors sought out assets that were perceived to provide protection from falling markets. This characterization as a defensive asset was reflected in the positive implied volatility skew in other words markets were willing to pay a premium for gold calls versus gold puts because of this diversification benefit that gold was expected to provide to a portfolio. This has since changed and the last two years have been characterized by the gold skew being persistently negative i.e. markets are willing to pay a premium to own gold puts versus gold calls. It is perhaps no coincidence that the switch occurred during a period of rapidly falling gold prices. While we do not pinpoint one specific cause it seems likely that with the surge in gold speculation over prior years, as evidenced by the rapid rise in the gold bullion holdings of the most prominent gold ETFs, many investors sought to buy protection from falling prices via purchasing gold puts in effect the balance of supply and demand switched very strongly in favor of gold puts. The sharp preference for gold puts experienced in 2013 has since moderated with the skew approaching balance (zero). While it is still too soon to say with certainty what the trend will be for skew going forward we would suggest that should there be rising demand for gold, driven for example by an escalating conflict in Ukraine, we would expect the skew to turn positive again, indicating a market preference for gold calls. 5. The correlation between the gold spot price and gold implied volatility: By looking at the gold volatility skew an investor is able to infer what is likely to happen to gold option volatility as the price of gold either rises or falls. For example, a positive skew implies that the market expects a positive correlation between the spot price and implied volatility as the gold price rises the market would expect implied volatility to also rise. And this is indeed the relationship we have observed historically: with positive skew, rising gold prices have been associated with rising implied volatility and with the negative skew, falling gold prices have been associated with rising implied volatility. In fact it can be shown that the gold skew is an alternative numerical expression of the expected correlation between the gold price and implied volatility. Chart 2: Gold Implied Volatility Skew Page 4, 2016 Advisor Perspectives, Inc. All rights reserved.
5 Source: Bloomberg LP 6. S&P implied volatility skew: As a final observation we note that the S&P 500 Index implied volatility skew, in contrast to gold skew, has been persistently negative reflecting the premium that investors are willing to pay to own equity puts versus equity calls, as protection against falling equity prices. Whilst gold skew has been negative in recent years, the generally negative relationship between gold skew and equity skew could be interpreted as a measure of the markets value of gold s potential portfolio diversification benefits. Chart 3: S&P 500 Implied Volatility Skew (lower chart white line) Page 5, 2016 Advisor Perspectives, Inc. All rights reserved.
6 Source: Bloomberg LP S&P 500 Index (green line, left hand axis); Gold Implied Volatility Skew (lower panel, white line) Skew is defined as the implied volatility of a gold call with a 25% probability of being exercised minus the implied volatility of a gold put with a 25% probability of being exercised Page 6, 2016 Advisor Perspectives, Inc. All rights reserved.
Volatility Trading For Gold: Hedging Global Instability
METALS Volatility Trading For Gold: Hedging Global Instability APRIL 2012 BOB BIOLSI Director, Energy & Metals Research & Product Development VOLATILITY TRADING FOR GOLD: HEDGING GLOBAL INSTABILITY This
More informationIs Gold Worth Its Weight in a Portfolio?
ADVISOR BYLINE By Bryan Harris Dimensional Fund Advisors June 2012 Is Gold Worth Its Weight in a Portfolio? During a weak global economy and uncertain financial markets, many investors tout the benefits
More informationVolatility Tracker: No Surprises in Gold
11/22/2 : No Surprises in Gold 1. Comment News-making price changes in gold [11] have not been accompanied by any particularly noteworthy behavior in the options market. While it would be wrong to suggest
More informationThe 4 Simplest Ways To Invest In Gold Today
The 4 Simplest Ways To Invest In Gold Today You ve finally found it! Possibly the most useful investment vehicle at your fingertips. I m talking about Gold! There are tons of reasons why investors and
More informationCatalyst Macro Strategy Fund
Catalyst Macro Strategy Fund MCXAX, MCXCX & MCXIX 2015 Q2 About Catalyst Funds Intelligent Alternatives We strive to provide innovative strategies to support financial advisors and their clients in meeting
More informationIntroductory remarks by Jean-Pierre Danthine
abcdefg News conference Berne, 15 December 2011 Introductory remarks by Jean-Pierre Danthine I would like to address three main issues today. These are the acute market volatility experienced this summer,
More informationADVISORSHARES GARTMAN GOLD/YEN ETF (NYSE Arca Ticker: GYEN) SUMMARY PROSPECTUS November 1, 2015
ADVISORSHARES GARTMAN GOLD/YEN ETF (NYSE Arca Ticker: GYEN) SUMMARY PROSPECTUS November 1, 2015 Before you invest in the AdvisorShares Fund, you may want to review the Fund s prospectus and statement of
More informationDISCLAIMER. A Member of Financial Group
Tactical ETF Approaches for Today s Investors Jaime Purvis, Executive Vice-President Horizons Exchange Traded Funds April 2012 DISCLAIMER Commissions, management fees and expenses all may be associated
More informationINSIGHTS ON INVESTING IN COMMODITIES
PRUDENTIAL INVESTMENTS» MUTUAL FUNDS INSIGHTS ON INVESTING IN COMMODITIES WHITE PAPER NATURAL RESOURCES STOCKS HOLD THE LONG-TERM EDGE Although commodities may benefit an investment portfolio by offering
More informationDeutsche Alternative Asset Allocation VIP
Alternative Deutsche Alternative Asset Allocation VIP All-in-one exposure to alternative asset classes : a key piece in asset allocation Building a portfolio of stocks, bonds and cash has long been recognized
More informationIs Gold Worth Its Weight in a Portfolio?
Is Gold Worth Its Weight in a Portfolio? During a weak global economy and uncertain financial markets, many investors tout the benefits of holding gold. Some proponents claim that gold deserves a significant
More informationTwo Steps Forward, One Step Backtest
Two Steps Forward, One Step Backtest The gold spot price ($/oz) ( Gold ) has experienced a healthy return year-to-date 2012, increasing 10.56% as of November 21, 2012. Many investors would believe that
More informationRYT Sector Weights. Price Chart
March 11, 2016 GUGGENHEIM SP 500 EQL WEIGHT TECHNOLOGY (RYT) $89.67 Risk: Med Zacks ETF Rank 2 - Buy 2 Fund Type Issuer Technology - broad RYDEXSGI RYT Sector Weights Benchmark Index SP EQUAL WEIGHT INDEX
More informationSPDR S&P 400 Mid Cap Value ETF
SPDR S&P 400 Mid Cap Value ETF Summary Prospectus-October 31, 2015 Before you invest in the SPDR S&P 400 Mid Cap Value ETF (the Fund ), you may want to review the Fund's prospectus and statement of additional
More informationSimple Investment Strategy During a Global Crisis
2012 Simple Investment Strategy During a Global Crisis This document describes a simple investment strategy designed for people who do not have much experience in investments, but would like to optimize
More informationCondor Options Volatility Tracker
1/25/ Condor Options 1. Comment As I've noted on many occasions here, the relationship between spot VIX and longer-dated VIX estimates has not "worked" as a directional indicator for at least several months.
More informationMonthly Leveraged Mutual Funds UNDERSTANDING THE COMPOSITION, BENEFITS & RISKS
Monthly Leveraged Mutual Funds UNDERSTANDING THE COMPOSITION, BENEFITS & RISKS Direxion 2x Monthly Leveraged Mutual Funds provide 200% (or 200% of the inverse) exposure to their benchmarks and the ability
More informationEffective downside risk management
Effective downside risk management Aymeric Forest, Fund Manager, Multi-Asset Investments November 2012 Since 2008, the desire to avoid significant portfolio losses has, more than ever, been at the front
More informationMarket Linked Certificates of Deposit
Market Linked Certificates of Deposit This material was prepared by Wells Fargo Securities, LLC, a registered brokerdealer and separate non-bank affiliate of Wells Fargo & Company. This material is not
More informationUnderstanding Currency
Understanding Currency Overlay July 2010 PREPARED BY Gregory J. Leonberger, FSA Director of Research Abstract As portfolios have expanded to include international investments, investors must be aware of
More informationSprott Gold Miners ETF Portfolio Insights
When the price of gold was higher, many gold companies pursued growth and acquisition strategies that are no longer realistic in the current gold price environment. In Sprott s experience, many investors
More informationAdvanced Strategies for Managing Volatility
Advanced Strategies for Managing Volatility Description: Investment portfolios are generally exposed to volatility through company-specific risk and through market risk. Long-term investors can reduce
More informationBullion and Mining Stocks Two Different Investments
BMG ARTICLES Bullion and Mining Stock Two Different Investments 1 Bullion and Mining Stocks Two Different Investments March 2009 M By Nick Barisheff any investors believe their portfolios have exposure
More informationRISK MANAGEMENT TOOLS
RISK MANAGEMENT TOOLS Pavilion Advisory Group TM Pavilion Advisory Group is a trademark of Pavilion Financial Corporation used under license by Pavilion Advisory Group Ltd. in Canada and Pavilion Advisory
More informationSingle Manager vs. Multi-Manager Alternative Investment Funds
September 2015 Single Manager vs. Multi-Manager Alternative Investment Funds John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company,
More informationEVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX
DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol
More informationCME Options on Futures
CME Education Series CME Options on Futures The Basics Table of Contents SECTION PAGE 1 VOCABULARY 2 2 PRICING FUNDAMENTALS 4 3 ARITHMETIC 6 4 IMPORTANT CONCEPTS 8 5 BASIC STRATEGIES 9 6 REVIEW QUESTIONS
More informationInvesting in Bond Funds:
: What s in YOUR bond fund? By: Bruce A. Hyde and Steven Saunders Summary Investors who rely primarily on duration in choosing a bond fund may inadvertently introduce extension risk to their bond portfolio.
More informationQuarterly. Equity Risk Premium
US Equity Risk Premium The equity risk premium ( ERP ) is the extra return over the expected yield on risk-free securities that investors expect to receive from an investment in a diversified portfolio
More informationr a t her t han a s a f e haven
r a t her t han a s a f e haven For Professional Advisers only - not for onward distribution Investors exposure to gold continues to grow but we believe that more consideration of the risks is needed.
More informationIntroduction to. A Wealth Protection Strategy
Introduction to Investing in Gold A Wealth Protection Strategy To begin a discussion on portfolio diversification with Gold, let s start by examining the reasons investors purchase Gold in the first place.
More information2016 Summary Prospectus
March 1, 2016 Global X Permanent ETF NYSE Arca, Inc: PERM 2016 Summary Prospectus Before you invest, you may want to review the Fund's prospectus, which contains more information about the Fund and its
More informationVolatility: A Brief Overview
The Benefits of Systematically Selling Volatility July 2014 By Jeremy Berman Justin Frankel Co-Portfolio Managers of the RiverPark Structural Alpha Fund Abstract: A strategy of systematically selling volatility
More information11.3% -1.5% Year-to-Date 1-Year 3-Year 5-Year Since WT Index Inception
WisdomTree ETFs WISDOMTREE HIGH DIVIDEND FUND DHS Nearly 10 years ago, WisdomTree launched its first dividend-focused strategies based on our extensive research regarding the importance of focusing on
More informationIndex, Interest Rate, and Currency Options
CHAPTER 3 Index, Interest Rate, and Currency Options INTRODUCTION In an effort to gauge the market s overall performance, industry participants developed indexes. Two of the most widely followed indexes
More informationNorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com
NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research
More information2016 Summary Prospectus
April 18, 2016 Global X S&P 500 Catholic Values ETF NASDAQ: CATH 2016 Summary Prospectus Before you invest, you may want to review the Fund's prospectus, which contains more information about the Fund
More informationThree Investment Risks
Three Investment Risks Just ask yourself, which of the following risks is the most important risk to you. Then, which order would you place them in terms of importance. A. A significant and prolonged fall
More information2016 Summary Prospectus
March 1, 2016 Global X SuperIncome Preferred ETF NYSE Arca, Inc: SPFF 2016 Summary Prospectus Before you invest, you may want to review the Fund's prospectus, which contains more information about the
More informationPROSHARES S&P 500 EX-FINANCIALS ETF
SUMMARY PROSPECTUS SEPTEMBER 17, 2015 SPXN PROSHARES S&P 500 EX-FINANCIALS ETF SPXN LISTED ON NYSE ARCA This Summary Prospectus is designed to provide investors with key fund information in a clear and
More informationMAKE VOLATILITY YOUR ASSET. LJM PRESERVATION & GROWTH FUND
MAKE VOLATILITY YOUR ASSET. LJM PRESERVATION & GROWTH FUND MARKETS CAN BE ROCKY. HARNESS VOLATILITY WITH LIQUID ALTERNATIVES. Liquid alternatives are mutual fund investments that derive value from sources
More informationADDITIONAL (ASX DESCRIPTION CODE: ZGOL) AND THE DATE
HEADLINE GOES ANZ HERE ETFS PHYSICAL ONE LINE GOLD OR TWO ETF ADDITIONAL (ASX DESCRIPTION CODE: ZGOL) AND THE DATE THE EXCHANGE TRADED FUND THAT S AS GOOD AS GOLD 1 WHAT IS ANZ ETFS PHYSICAL GOLD ETF?
More informationDaily vs. monthly rebalanced leveraged funds
Daily vs. monthly rebalanced leveraged funds William Trainor Jr. East Tennessee State University ABSTRACT Leveraged funds have become increasingly popular over the last 5 years. In the ETF market, there
More informationPROSHARES SHORT DOW30SM
SUMMARY PROSPECTUS OCTOBER 1, 2015 DOG PROSHARES SHORT DOW30SM DOG LISTED ON NYSE ARCA This Summary Prospectus is designed to provide investors with key fund information in a clear and concise format.
More informationChapter Six STOCK SECTORS AND BUSINESS CYCLES
Chapter Six STOCK SECTORS AND BUSINESS CYCLES 1. Introduction The previous chapter introduced the concept of relative strength. Its main purpose is to identify sectors rising faster than the broad market.
More informationCURRENCY HEDGING IN THE EMERGING MARKETS: ALL PAIN, NO GAIN
March 2016 Tim Atwill, Ph.D., CFA Head of Investment Strategy Parametric 1918 Eighth Avenue Suite 3100 Seattle, WA 98101 T 206 694 5575 F 206 694 5581 www.parametricportfolio.com CURRENCY HEDGING IN THE
More informationCall and Put. Options. American and European Options. Option Terminology. Payoffs of European Options. Different Types of Options
Call and Put Options A call option gives its holder the right to purchase an asset for a specified price, called the strike price, on or before some specified expiration date. A put option gives its holder
More informationDSIP List (Diversified Stock Income Plan)
Kent A. Newcomb, CFA, Equity Sector Analyst Joseph E. Buffa, Equity Sector Analyst DSIP List (Diversified Stock Income Plan) Commentary from ASG's Equity Sector Analysts January 2014 Concept Review The
More informationSLVO Silver Shares Covered Call ETN
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 April 15, 2014 SLVO Silver Shares Covered Call ETN Credit Suisse AG, Investor Solutions April 2014 Executive Summary Credit Suisse Silver
More informationINCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES. Dan dibartolomeo September 2010
INCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES Dan dibartolomeo September 2010 GOALS FOR THIS TALK Assert that liquidity of a stock is properly measured as the expected price change,
More informationJ.P. Morgan Structured Investments
July 2012 J.P. Morgan Structured Investments The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this document is for discussion purposes only. Any information
More informationAlternative Investing
Alternative Investing An important piece of the puzzle Improve diversification Manage portfolio risk Target absolute returns Innovation is our capital. Make it yours. Manage Risk and Enhance Performance
More informationFacts and Fantasies about Gold
MPRA Munich Personal RePEc Archive Facts and Fantasies about Gold Joachim Klement Wellershoff & Partners Ltd, Switzerland 9. March 2015 Online at http://mpra.ub.uni-muenchen.de/64590/ MPRA Paper No. 64590,
More informationPORTFOLIO STRATEGY. Exhibit 2: S&P s End of Day Moves Last Week. Market Commentary 19 August 2011. Exhibit 1: ETF Trading Spikes Up
(212 ( PORTFOLIO STRATEGY Victor Lin + 1 212 325 5281 Victor.lin@credit-suisse.com Trading Strategy Leveraged ETF Rebalancing in Perspective Market Commentary 19 August 2011 Key Points Last week s sudden
More informationHedging a Foreign Equity Position
Hedging a Foreign Equity Position Hedging a US Equity Position in a Portfolio Based in Canadian Dollars : An Example Comparing Strategies SUMMARY We compare three different strategies for hedging a long
More informationFixed Income: The Hidden Risk of Indexing
MANNING & NAPIER ADVISORS, INC. Fixed Income: The Hidden Risk of Indexing Unless otherwise noted, all figures are based in USD. Fixed income markets in the U.S. are vast. At roughly twice the size of domestic
More informationCommodities: an asset class in their own right?
PHILIPPE MONGARS, CHRISTOPHE MARCHAL-DOMBRAT Market Operations Directorate Market Making and Monitoring Division Investor interest in commodities has risen in recent years in line with the spectacular
More informationSPDR EURO STOXX 50 ETF
FEZ (NYSE Ticker) Summary Prospectus-January 31, 2016 Before you invest in the SPDR EURO STOXX 50 ETF (the Fund ), you may want to review the Fund's prospectus and statement of additional information,
More informationGood [morning, afternoon, evening]. I m [name] with [firm]. Today, we will talk about alternative investments.
Good [morning, afternoon, evening]. I m [name] with [firm]. Today, we will talk about alternative investments. Historic economist Benjamin Graham famously said, The essence of investment management is
More informationOverview. October 2013. Investment Portfolios & Products. Approved for public distribution. Investment Advisory Services
Equity Risk Management Strategy Overview Approved for public distribution October 2013 Services Portfolios & Products Equity Risk Management Strategy* Tactical allocation strategy that seeks to adjust
More informationIntroduction to Options Trading. Patrick Ceresna, MX Instructor
Introduction to Options Trading Patrick Ceresna, MX Instructor 1 Disclaimer The views and opinions expressed in this presentation reflect those of the individual authors/presenters only and do not represent
More informationPROSHARES ULTRA GOLD MINERS
SUMMARY PROSPECTUS OCTOBER 1, 2015 GDXX PROSHARES ULTRA GOLD MINERS GDXX LISTED ON NYSE ARCA This Summary Prospectus is designed to provide investors with key fund information in a clear and concise format.
More informationALTERNATIVE INVESTMENTS. Understanding their role in a portfolio
ALTERNATIVE INVESTMENTS Understanding their role in a portfolio What are alternative investments? What role can they play in today s approach to portfolio planning and asset allocation? While opinions
More informationSUMMARY PROSPECTUS. BlackRock Funds SM. Service Shares BlackRock Science & Technology Opportunities Portfolio Service: BSTSX JANUARY 28, 2016
JANUARY 28, 2016 SUMMARY PROSPECTUS BlackRock Funds SM Service Shares BlackRock Science & Technology Opportunities Portfolio Service: BSTSX Before you invest, you may want to review the Fund s prospectus,
More informationGold: Six Factors to Track In H2 2016
ERIK NORLAND, SENIOR ECONOMIST AND EXECUTIVE DIRECTOR CME GROUP 2 MAY 216 Gold: Six Factors to Track In H2 216 All examples in this report are hypothetical interpretations of situations and are used for
More informationThe Benefits of Making Systematic Trade-Offs Between Risk and Return
The Benefits of Making Systematic Trade-Offs Between Risk and Return August 2015 By Jeremy Berman Justin Frankel Co-Portfolio Managers of the RiverPark Structural Alpha Fund The Benefits of Making Systematic
More informationWhat s behind the liquidity spread? On-the-run and off-the-run US Treasuries in autumn 1998 1
Craig H Furfine +4 6 28 923 craig.furfine@bis.org Eli M Remolona +4 6 28 844 eli.remolona@bis.org What s behind the liquidity spread? On-the-run and off-the-run US Treasuries in autumn 998 Autumn 998 witnessed
More informationPros and Cons of Different Investment Options
Pros and Cons of Different Investment Options In 2016, new legislation called CRM2 will come to Canada. Once enacted, all financial institutions in Canada will be required to disclose all investment management
More informationPureFunds TM ISE Big Data ETF Trading Symbol: BDAT Listed on NYSE Arca. Summary Prospectus January 31, 2016. www.pureetfs.com
PureFunds TM ISE Big Data ETF Trading Symbol: BDAT Listed on NYSE Arca Summary Prospectus January 31, 2016 www.pureetfs.com Before you invest, you may want to review the PureFunds TM ISE Big Data ETF s
More informationDIREXION SHARES ETF TRUST
DIREXION SHARES ETF TRUST Direxion Daily Natural Gas Related Bull 3X Shares (GASL) Direxion Daily Natural Gas Related Bear 3X Shares (GASX) Direxion Daily Russia Bull 3X Shares (RUSL) Direxion Daily Russia
More informationHow Much Should We Invest in Emerging Markets?
How Much Should We Invest in Emerging Markets? May 28, 2015 by Dr. Burton Malkiel of WaveFront Capital Management Investors today are significantly underexposed to emerging markets; fortunately, the opportunity
More informationA Better Approach to Target Date Strategies
February 2011 A Better Approach to Target Date Strategies Executive Summary In 2007, Folio Investing undertook an analysis of Target Date Funds to determine how these investments might be improved. As
More informationA BEGINNERS GUIDE TO INVESTING IN PRECIOUS METALS
A BEGINNERS GUIDE TO INVESTING IN PRECIOUS METALS FIRST TIME INVESTORS GUIDE Dear Investor Welcome to the ABC Bullion first time investors guide. For thousands of years, people have turned to gold and
More informationRussell Rhoads, CFA Instructor The Options Institute. 2010 Chicago Board Options Exchange, Incorporated. All rights reserved.
Trading VIX Futures and Options Russell Rhoads, CFA Instructor The Options Institute 2010 Chicago Board Options Exchange, Incorporated. All rights reserved. CBOE Disclaimer Options and futures involve
More informationVanguard S&P ETFs Prospectus
Vanguard S&P ETFs Prospectus December 14, 2015 Exchange-traded fund shares that are not individually redeemable and are listed on NYSE Arca Vanguard S&P 500 Value Index Fund ETF Shares (VOOV) Vanguard
More informationThe Impact of Interest Rates on Bond Funds
The Impact of Interest Rates on Bond Funds 3100 W E ST END AVE NUE SU ITE 1090 NA SHVIL LE, T N USA 37203 615.678.6742 www.covenantcap.com Fixed Income The supposed safety of a bond can seem very appealing.
More informationSTRIKING A BALANCE. How balanced funds help investors gain exposure to upside potential and mitigate downside risk
MFS White Capability Paper Series Focus Month April 2016 2012 Author STRIKING A BALANCE How balanced funds help investors gain exposure to upside potential and mitigate downside risk David W. Connelly
More information2015 SUMMARY PROSPECTUS
DECEMBER 1, 2015 2015 SUMMARY PROSPECTUS ishares North American Tech-Multimedia Networking ETF IGN NYSE ARCA Before you invest, you may want to review the Fund s prospectus, which contains more information
More informationSensex Realized Volatility Index
Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized
More informationTREASURY PRODUCTS AND SERVICES MANAGING FINANCIAL RISKS, ENHANCING RETURNS, ACHIEVEING INVESTMENT GOALS 2016
TREASURY PRODUCTS AND SERVICES MANAGING FINANCIAL RISKS, ENHANCING RETURNS, ACHIEVEING INVESTMENT GOALS 2016 CONTENT PIRAEUS BANK BULGARIA RELIABLE PARTNER IN THE PRESENT VOLATILE FINANCIAL WORLD FOREIGN
More informationBuffered Digital Notes Linked to the S&P 500 Low Volatility High Dividend Index due April 30, 2019
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities
More informationMutual Fund Investing Exam Study Guide
Mutual Fund Investing Exam Study Guide This document contains the questions that will be included in the final exam, in the order that they will be asked. When you have studied the course materials, reviewed
More informationA Behavioral Research Approach to Portfolio Management. AdvisorShares Athena High Dividend ETF. Sub-Advised by AthenaInvest Advisors, LLC
A Behavioral Research Approach to Portfolio Management AdvisorShares Athena High Dividend ETF Sub-Advised by AthenaInvest Advisors, LLC Disclosures There is no guarantee that the Fund will achieve its
More informationDerivative Users Traders of derivatives can be categorized as hedgers, speculators, or arbitrageurs.
OPTIONS THEORY Introduction The Financial Manager must be knowledgeable about derivatives in order to manage the price risk inherent in financial transactions. Price risk refers to the possibility of loss
More informationChapter 9. The Valuation of Common Stock. 1.The Expected Return (Copied from Unit02, slide 36)
Readings Chapters 9 and 10 Chapter 9. The Valuation of Common Stock 1. The investor s expected return 2. Valuation as the Present Value (PV) of dividends and the growth of dividends 3. The investor s required
More informationHigh Yield Bonds in a Rising Rate Environment August 2014
This paper examines the impact rising rates are likely to have on high yield bond performance. We conclude that while a rising rate environment would detract from high yield returns, historically returns
More informationPayout Ratio: The Most Influential Management Decision a Company Can Make?
leadership series market research Payout Ratio: The Most Influential Management Decision a Company Can Make? January 2013 In today s equity market, payout ratios have a meaningful impact on both equity
More informationPricing Forwards and Futures
Pricing Forwards and Futures Peter Ritchken Peter Ritchken Forwards and Futures Prices 1 You will learn Objectives how to price a forward contract how to price a futures contract the relationship between
More informationCollecting a Weekly Paycheck by Trading Covered Calls
December 5 th 2012 Collecting a Weekly Paycheck by Trading Covered Calls In this week s Cash Cow Newsletter we are going to focus on Covered Calls. Writing weekly covered calls has been a strategy that
More informationA: SGEAX C: SGECX I: SGEIX
A: SGEAX C: SGECX I: SGEIX NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE Salient Global Equity Fund The investment objective of the Salient Global Equity Fund (the Fund ) is to seek long term capital
More informationResearch. RVX futures as a hedge for small cap specific risk
Research RVX futures as a hedge for small cap specific risk ftserussell.com June 2015 Executive summary: Volatility products can be used to hedge downside risk in equity portfolios RVX SM futures provides
More informationInterest Rates and Inflation: How They Might Affect Managed Futures
Faced with the prospect of potential declines in both bonds and equities, an allocation to managed futures may serve as an appealing diversifier to traditional strategies. HIGHLIGHTS Managed Futures have
More informationInvestment insight. Fixed income the what, when, where, why and how TABLE 1: DIFFERENT TYPES OF FIXED INCOME SECURITIES. What is fixed income?
Fixed income investments make up a large proportion of the investment universe and can form a significant part of a diversified portfolio but investors are often much less familiar with how fixed income
More informationThe mechanics of the warrants market
Course #: Title Course 01a The mechanics of the warrants market Topic 1: What are warrants?... 3 The ASX Warrants market... 3 Topic 2: Warrant features... 4 Underlying... 4 Exercise price (final payment)...
More informationReading: Chapter 19. 7. Swaps
Reading: Chapter 19 Chap. 19. Commodities and Financial Futures 1. The mechanics of investing in futures 2. Leverage 3. Hedging 4. The selection of commodity futures contracts 5. The pricing of futures
More informationAn Attractive Income Option for a Strategic Allocation
An Attractive Income Option for a Strategic Allocation Voya Senior Loans Suite A strategic allocation provides potential for high and relatively steady income through most credit and rate cycles Improves
More informationJournal of Financial and Strategic Decisions Volume 13 Number 1 Spring 2000 HISTORICAL RETURN DISTRIBUTIONS FOR CALLS, PUTS, AND COVERED CALLS
Journal of Financial and Strategic Decisions Volume 13 Number 1 Spring 2000 HISTORICAL RETURN DISTRIBUTIONS FOR CALLS, PUTS, AND COVERED CALLS Gary A. Benesh * and William S. Compton ** Abstract Historical
More information