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Asymmetric Returns
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Book Synopsis Asymmetric Returns by : Alexander M. Ineichen
Download or read book Asymmetric Returns written by Alexander M. Ineichen and published by John Wiley & Sons. This book was released on 2011-07-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
Book Synopsis Asymmetric Returns and Semidimensional Risks by : Cheekiat Low
Download or read book Asymmetric Returns and Semidimensional Risks written by Cheekiat Low and published by . This book was released on 2001 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most theoretical models in finance measure risk as variance or covariance. However, many financial decision-makers seem to regard risk as the volatility of below-target returns and treat the volatility of above-target returns as a sweetener. Using simple metrics of downside risk and upside potential, constructed from conditional covariances, I test for the empirical content of this asymmetry. I introduce a new composite metric of semidimensional risks which reveals that the nonlinearity in the covariation of stock returns with bearish and bullish conditions of the market is priced in the cross-section of stock returns. In particular, I find that stocks that have concave characteristic regression lines against the market earn higher average returns than stocks that have convex characteristic regression lines. This new metric captures the relevant information in returns asymmetry or nonlinearity better than either coskewness or the square-coefficient from quadratic regression. I also present results that are consistent with a semidimensional risk-based explanation for the twin puzzles of return momentum and reversal. The primitive representation of the security pricing kernel as the negative of covariance between marginal utility of consumption and security returns lends theoretical support for semidimensional risks and provides a unifying perspective for seemingly disparate literature on semivariances, skewness and behavioral finance.
Book Synopsis The Dhandho Investor by : Mohnish Pabrai
Download or read book The Dhandho Investor written by Mohnish Pabrai and published by John Wiley & Sons. This book was released on 2011-01-06 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive value investing framework for the individual investor In a straightforward and accessible manner, The Dhandho Investor lays out the powerful framework of value investing. Written with the intelligent individual investor in mind, this comprehensive guide distills the Dhandho capital allocation framework of the business savvy Patels from India and presents how they can be applied successfully to the stock market. The Dhandho method expands on the groundbreaking principles of value investing expounded by Benjamin Graham, Warren Buffett, and Charlie Munger. Readers will be introduced to important value investing concepts such as "Heads, I win! Tails, I don't lose that much!," "Few Bets, Big Bets, Infrequent Bets," Abhimanyu's dilemma, and a detailed treatise on using the Kelly Formula to invest in undervalued stocks. Using a light, entertaining style, Pabrai lays out the Dhandho framework in an easy-to-use format. Any investor who adopts the framework is bound to improve on results and soundly beat the markets and most professionals.
Book Synopsis Asymmetric Dependence in Finance by : Jamie Alcock
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-02-13 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Book Synopsis Asymmetric Returns and the Economic Content of Accruals and Investment by : Luca Del Viva
Download or read book Asymmetric Returns and the Economic Content of Accruals and Investment written by Luca Del Viva and published by . This book was released on 2018 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the economic content of accruals and investment and test whether they are related to nonlinear equity value and asymmetric returns arising from firm growth. We confirm that current accruals mainly reflect capital investment commitment to assets in place arising from past growth, though a part is related to future growth arising from innovation capacity (IC). We show that past and future growth components of accruals and investment have opposite effects on investors' expectations of future asymmetric returns, i.e., skewness. The part of expected idiosyncratic skewness predicted using investment growth variables is negatively related to returns. A new growth-driven skewness factor built on differentials in expected idiosyncratic skewness significantly explains the time-series variation in hedge-portfolio returns of accruals and investment. Investments in innovative capacity (real options) are more pronounced in periods of greater uncertainty. We find that the accruals component related to past growth and commitment is significant in economic states of low market sensitivity, while the part related to future growth is significant in high sensitivity states.
Book Synopsis Absolute Returns by : Alexander M. Ineichen
Download or read book Absolute Returns written by Alexander M. Ineichen and published by John Wiley & Sons. This book was released on 2002-11-29 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Absolute Returns" ist ein praktischer Leitfaden zu den Risiken und Gewinnmöglichkeiten im Bereich Hedge Funds. Mit diesem Buch lernen Sie, solide Entscheidungen für Investitionen in Hedge Funds zu treffen. Autor Alexander Ineichen erläutert ausführlich, was Hedge Funds sind, wie diese Fonds den Markt übertreffen können, und welche Risiken sie für den Investor bergen. Er erklärt auch, wie Hedge Funds als alternative Investments mit traditionellen Portfolios kombiniert werden können, um auf diese Weise hervorragende Risiko-Rendite-Eigenschaften zu erreichen. Ausserdem beschreibt er, welche neuen Strategien Hedge Funds einsetzen, um überdurchschnittliche Renditen zu erzielen. Einfach, verständlich und nachvollziehbar geschrieben.
Book Synopsis Asymmetric Cross-sectional Dispersion in Stock Returns by : Gregory R. Duffee
Download or read book Asymmetric Cross-sectional Dispersion in Stock Returns written by Gregory R. Duffee and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Outlines and Highlights for Asymmetric Returns by : Cram101 Textbook Reviews
Download or read book Outlines and Highlights for Asymmetric Returns written by Cram101 Textbook Reviews and published by Academic Internet Pub Incorporated. This book was released on 2010-12 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470042663 .
Book Synopsis Asymmetric Dependence in Finance by : Jamie Alcock
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-06-05 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Book Synopsis A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation by : Ann Marie Hibbert
Download or read book A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation written by Ann Marie Hibbert and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return and changes in implied volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis adequately explains the results. Alternatively, we propose that the behavior of traders (from the representativeness, affect, and extrapolation bias concepts of behavioral finance) is consistent with our empirical results of a strong daily and intraday negative return-implied volatility relation. Moreover, both the presence and magnitude of the negative relation and the asymmetry between return and implied volatility are most closely associated with extreme changes in the index returns. We also show that the strength of the relation is consistent with the implied volatility skew.
Book Synopsis Risk and Return for Regulated Industries by : Bente Villadsen
Download or read book Risk and Return for Regulated Industries written by Bente Villadsen and published by Academic Press. This book was released on 2017-04-27 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return for Regulated Industries provides a much-needed, comprehensive review of how cost of capital risk arises and can be measured, how the special risks regulated industries face affect fair return, and the challenges that regulated industries are likely to face in the future. Rather than following the trend of broad industry introductions or textbook style reviews of utility finance, it covers the topics of most interest to regulators, regulated companies, regulatory lawyers, and rate-of-return analysts in all countries. Accordingly, the book also includes case studies about various countries and discussions of the lessons international regulatory procedures can offer. Presents a unified treatment of the regulatory principles and practices used to assess the required return on capital Addresses current practices before exploring the ways methods play out in practice, including irregularities, shortcomings, and concerns for the future Focuses on developed economies instead of providing a comprehensive global reviews Foreword by Stewart C. Myers
Book Synopsis The Behavior of Asset Return Moments with Asymmetric Information, Price Taking and Risk Aversion by : Steve L. Slezak
Download or read book The Behavior of Asset Return Moments with Asymmetric Information, Price Taking and Risk Aversion written by Steve L. Slezak and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Analysis with Asymmetric Investment Returns by : Stuart Larrabee Williams
Download or read book Portfolio Analysis with Asymmetric Investment Returns written by Stuart Larrabee Williams and published by . This book was released on 1981 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Return Patterns by : Twm Evans
Download or read book Asymmetric Return Patterns written by Twm Evans and published by . This book was released on 2007 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence has suggested an asymmetric effect in the return dynamics of the US on the basis of the number of positive and negative consecutive return or holding days. This note extends that analysis by considering 33 international stock indices and longer consecutive day and holding periods. The results of this analysis may be of interest not only to those engaged in technical trading but also portfolio managers. Our results suggest that such asymmetric return patterns are identified for all stock markets and on both definitions of return continuations. Further, we also identify that consecutive positive return days exhibit a greater degree of persistence than consecutive negative return days. Finally, using the holding-period definition we also attempt to identify whether longer holding periods are always associated with increased returns. Evidence here whilst generally supportive is not ubiquitous, furthermore, the majority of the increase in returns occurs over a holding period of seven to ten days, with more limited increases over the remainder of the 45 day holding-period considered. This latter result may be of particular importance to those engaged in portfolio building.
Book Synopsis Asymmetric Killing by : Neil C. Renic
Download or read book Asymmetric Killing written by Neil C. Renic and published by Oxford University Press, USA. This book was released on 2020-04-29 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an engaging and historically informed account of the moral challenge of radically asymmetric violence -- warfare conducted by one party in the near-complete absence of physical risk, across the full scope of a conflict zone. What role does physical risk and material threat play in the justifications for killing in war? And crucially, is there a point at which battlefield violence becomes so one-directional as to undermine the moral basis for its use? In order to answers these questions, Asymmetric Killing delves into the morally contested terrain of the warrior ethos and Just War Tradition, locating the historical and contemporary role of reciprocal risk within both. This book also engages two historical episodes of battlefield asymmetry, military sniping and manned aerial bombing. Both modes of violence generated an imbalance of risk between opponents so profound as to call into question their permissibility. These now-resolved controversies will then be contrasted with the UAV-exclusive violence of the United States, robotic killing conducted in the absence of a significant military ground presence in conflict theatres such as Pakistan, Yemen, and Somalia. As will be revealed, the radical asymmetry of this latter case is distinct, undermining reciprocal risk at the structural level of war. Beyond its more resolvable tension with the warrior ethos, UAV-exclusive violence represents a fundamental challenge to the very coherence of the moral justifications for killing in war.
Book Synopsis Asymmetric Risk Measures and Real Estate Returns by : Ping Cheng
Download or read book Asymmetric Risk Measures and Real Estate Returns written by Ping Cheng and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Rational investors distinguish between extremely high and extremely low returns. The measures of investment risk should reflect such asymmetric risk perception. This study presents six asymmetric risk metrics and empirically tests their abilities in explaining the cross-sectional variations of real estate returns. It finds strong evidence that systematic downside risk is associated with a risk premium, and skewness provides significant explanatory power to the variation of cross-sectional property returns. On the other hand, co-skewness does not explain real estate returns well and is not a good systematic risk measure.
Book Synopsis Growth and Trade with Asymmetric Returns to Scale by : Patrick Conway
Download or read book Growth and Trade with Asymmetric Returns to Scale written by Patrick Conway and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
