Practical analysis for investment professionals

volatility


When Does Volatility Equal Risk?

The right question isn't whether volatility equals risk, says Gary Mishuris, CFA. Rather, the right question to ask is: When does volatility equal risk?

The C-Suite Speaks: Glass Half Full

Does the market's current volatility reflect reality? Members of the C-suite aren't sure it matches up with what they're seeing.

Volatility Premiums in Institutional Investment Portfolios

A team of researchers set about investigating the role of volatility premiums in institutional investment portfolios. Their simulations showed that modest allocations to short volatility exposure have the potential to enhance long-term returns. One of the researchers, William Fallon, spoke with Pat Light about these new insights.

To Cope with More Volatile Markets, Take a Lesson from Football Managers

Thinking about how best to design a more robust investment strategy to deal with the prospect of increased volatility becoming the new normal, the best model that comes to mind is from a sporting context: football (or soccer, to most Americans).

The Myth of Volatility Drag (Part 1)

Does volatility drag actually exist? Like so many myths, there is a kernel of truth. But the interpretation that volatility is an active force, “pulling” down returns and costing you money, is simply not correct.

The 10 Most Popular Webcasts of 2014

From geopolitics and the financial crisis, to individual asset classes and portfolio management techniques, these 10 videos and webcasts offer a wide range of insights to think about as we start the new year.

Best of 2014: Creative Destruction or “The Market’s Messy Way of Delivering Progress”

In the face of the volatility that largely defined the markets in 2014, it is our goal here at the Enterprising Investor to provide you with practical examinations of current issues in finance and investing. Below is a selection of analyses, advice, and, if nothing else, some simply interesting opinions that address the myriad changes markets have experienced this year.

Upside Volatility Is Rising, along with Fixed-Income Leverage

Investors who are primarily concerned about avoiding permanent losses would do well to analyze mounting fixed income leverage and remember the true meaning of risk.

Weekend Reads for Investors: Volatility and the “Yellen Put”

Up until last week’s wild ride for stocks, volatility had been largely absent from the market, but the cumulative effect of ongoing geopolitical chaos, spreading Ebola anxiety, and uninspiring economic data, combined with the rumored unwinding of some leveraged positions by hedge funds, at least temporarily jolted global equity markets. Complacency was quickly replaced with panic and we got a reminder of what happens when everyone heads for the exit at the same time.

Nobel Laureate Myron Scholes on the Black–Scholes Option Pricing Model

This is the first part of a two-part interview with Nobel Laureate Myron Scholes. In this installment, Scholes shared his perspectives on the Black-Scholes option pricing model, from the motivation and intuition of the original formula to the myriad of extensions.



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