Equity Indexing : Hedging and Trading Stock Market Indices and Exchange Traded Funds

ISBN-13: 9783639194784 / Angielski / Miękka / 2009 / 216 str.

Andreza Barbosa

Opis

The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs), i.e. tradable versions of traditional equity indices. We compare the performance of minimum variance (MV) hedge ratios applied to equity indices and propose a performance measure that takes into account the conditional variance of the hedged portfolio. We analyse the hedging and cross hedging of ETFs and assess the results of applying distinct MV models to the higher moments of the returns distribution of the hedged portfolio.Finally we investigate the possibility of using the probability output of a Markov Switching model to develop trading rules for ETFs. The explanatory variable used is the volatility index from the corresponding equity market and the trading rule is based on the volatility feedback assumption with a positive relationship between return and volatility.

O autorze

Andreza has a PhD in Risk Management from ICMA Centre. She currently works as Risk Officer at J.P.Morgan, London and also worked for the Brazilian Securities Commission in Rio de Janeiro, Brazil. She has an MSc Degree in Econometrics from Cass Business School, MBE from Rio de Janeiro University and MBA in Finance from COPPEAD, Brazil.