Practical analysis for investment professionals

Derivatives


Purposeful Capitalism and Risk Management: Lutfey Siddiqi, CFA

“Purposeful Capitalism” describes an evolution of capitalism wherein the investment industry becomes more professional, ethical, and client-centric. Lutfey Siddiqi, CFA, discusses this scenario in an interview with Robert Stammers, CFA.

Book Review: Better Bankers, Better Banks

Because they do not regard ethical failings in the financial industry as the actions of a few bad apples but, rather, as inevitable consequences of an unhealthy culture, the authors seek to restore the environment that existed before the major investment banks transformed themselves from partnerships into publicly traded corporations. The problems addressed in this book affect every participant in the financial system.

Is Active Management Dead? Not Even Close

Rumors of active management's demise are greatly exaggerated, AthenaInvest's C. Thomas Howard tells Jason Voss, CFA, and he has the evidence to make his case and the tools to help change active management for the better.

Commodities as an Asset Class: Delivering Beta and Beyond

David-Michael Lincke, CFA, said that commodities continue to offer many investors meaningful benefits through diversification, inflation protection, and absolute returns.

Jack L. Treynor and the Birth of the Quants

Imagine for a moment an investment world without the accomplishments of Jack L. Treynor. In this imaginary Treynor-less world, mass casino psychology and fund manager guru-worship might rule, unchallenged by any metrics other than crude popularity and marketing spend.

Meditation for Investment Professionals

Science demonstrates that meditation reduces stress, improves creativity, counteracts behavioral biases, and improves ethical decision making. It can be an incredibly useful tool for investment professionals.

Book Review: Trend Following with Managed Futures

Investors are warming to price-based investment strategies, even though trend following has often been associated with “noise” traders and theoretical technical analysis.

Managed Futures: Will They Thrive with Higher Interest Rates?

One asset class that has historically thrived in chaotic and crisis environments is managed futures, says Jeannette Showalter, CFA. Might they be the answer for investors looking to hedge against volatile equity markets and a potential secular bear market for bonds?

Building a Better Risk Model

When Ignacio Ruiz and his associates, Piero Del Boca and Ricardo Pachón, looked at the current models for directional-way risk, they found that the models were impossible to calibrate. So, they set about creating their own model.

Book Review: Advanced Equity Derivatives

Sébastien Bossu reviews important concepts and recent developments in option pricing and modeling, including the latest generation of equity derivatives: volatility and correlation derivatives. Readers should have some familiarity with basic equity derivatives pricing and advanced mathematics because this book references the Black–Scholes model and other formulas for exotics.



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