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Strategy and Solutions Research 28 January 2015 Strategy and Solutions Research Moderating Volatility and Equity Exposures j A note on potential changes to the CBOE’s standard VIX formula, investigating methods of increasing responsiveness to diminishing fear in equity markets.
We assume that the best prediction of the volatility of an FX rate over the next 60 minutes is the historic volatility of that FX rate over the previous 60 minutes.
Sentiment, Sentiment.High, Sentiment.Low, New.Volume, News.Buzz, OCV, Volatil, Price, Y OCV – (Open Price – Close Price) Volatility.
Daily PIP Range Last 30 days Previous 252 days 32% 27% 22% 17% 12% 7% 2% 45 60 75 90 105 120 135 150 165 180 USDCAD 10-day annualised volatility has spiked to 8.52% up from 7.23% last Thursday.
Special Report Presented by John Abuja, Senior Director Commercial Real Estate Outperforms as Volatility Grips Stock Market 2015 Second Quarter Vacancy Trends Apartments:
Finally we decided on 18 different coins, for which we did general research about the underlying business model, the pros and cons, as well as some of our own calculations regarding correlations and volatility figures.
Approach 25% net of fees 18% SG CTA Index Target Return Target Volatility Style Benchmark www.helliwealth.com Investor Profile The investment strategy seeks to achieve capital appreciation in all economic environments through systematic trading opportunities in global equity, fixed income, real estate and commodity markets.
BETA - A means of measuring the volatility of a stock in comparison to the market as a whole.
OUR ELEMENTS FOR ALTERNATIVE STRATEGY PORTFOLIO – SUCCESSFUL INVESTING MULTI-MANAGER, MULTI-STRATEGY This portfolio seeks total return using “alternative” investments to produce absolute or real returns with less volatility than traditional fixed-income or equity solutions.
Our Philosophy and Objectives Philosophy • Our clients’ interests are our first priority • Returns must be worthy of the risks and costs • Avoid undue risk – capital must be preserved • What worked in the past may not work in the future Objective • Obtain above-average returns with below-average volatility Our Approach and Commitment Approach • Systematically participate in major market movements • Generate regular returns by selling options while employing strict risk controls Commitment • Develop and maintain trading technologies constant in principle and adaptive in implementation • Build strong and efficient infrastructure to ensure the integrity of execution and reconciliation of daily operations
Certifications Securities Licenses Series 7 (competed 11/2014) Series 63 (completed 11/2014) Institute of Trading and Portfolio Management Statistical Distribution of Asset Returns, OHLC Volatility Calculation, Implied Volatility Assessment Top Down Macroeconomic Asset Selection Process:
Actual results may vary significantly from those anticipated due to many factors, the volatility of oil and natural gas prices and significantly depressed oil prices since the end of 2014;
Valuation of bonds and the term structure of interest rates Present value of a bond, sensitivity of bond prices to changes in interest rates, duration, convexity, bond volatility, yield to maturity, measuring and explaining the term structure, real and nominal interest rates.