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Special Report on

SSRN-Portfolio Insurance Strategies

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agreeing to an acquisition without itself committing all the capital required for the acquisition. To do this, the financial sponsor will raise acquisition debt that ultimately looks to the cash flows of the acquisition target itself to make interest and principal payments. Acquisition debt in an LBO is often non-recourse to the financial sponsor and has no claim on other investment managed by the financial sponsor. Therefore, an LBO transaction's financial structure is particularly attractive to a fund's limited partners, allowing them the benefits of leverage but greatly limiting the degree of recourse of that ...
regulatory rule #1: don't panic
Suppose that you were running an agency charged with overseeing financial markets, and you were concerned that a situation similar to the October 1987 crash might reoccur.  What regulatory measures would make sense?  Two recommendations seem obvious.  First, insure that back-office systems are sufficiently robust to function smoothly even when securities prices move up or down dramatically.  Second, avoid taking action in response to concerns that on any given day security prices are too high or too low (clearly not advice that Bernanke and Paulson are following).  I would also contrast this “don’t ... market research, surveys and trends
Amplifying Momentum Returns with Idiosyncratic Volatility - CXO ...
Does positive feedback trading, indicated by an adjusted measure of return autocorrelation, enhance momentum profitability? In the February 2010 version of their paper entitled “Positive Feedback Trading Activities and Momentum Profits” [apparently removed from SSRN], Thomas Chiang, Xiaoli Liang and Jian Shi examine the relationship between positive feedback trading and profitability of momentum strategies. The momentum parameters for their investigation are a six-month ranking interval followed by a six-month holding interval. Measurement of positive feedback trading is for a six-month ... market research, surveys and trends


Dynamic Investment Strategies for Swiss Pension Funds
portfolio insurance with call options, two CPPI&type strategies and a ..... Now assume that the portfolio value increases from CHF 105 million to CHF 115 million. ...... The floor equals 90 percent of the discounted sum of liabilities ... industry trends, business articles and survey research
Achieving Sustainable Retirement Withdrawals: A Combined Equity ...
This article contrasts sustainable retirement withdrawals from strategies with annuity components and strategies without annuity components. The authors discuss today's market environment as it affects retirement planning strategies with and without annuity components. This study evaluates common retirement planning strategies by analyzing the withdrawal stability for portfolios consisting of equity, fixed income, variable annuity, and fixed annuity assets. This article uses replacement Monte Carlo methodology to determine retirement success over investor accumulation and withdrawal phases. The goal of each trial ... industry trends, business articles and survey research


Portfolio Insurance Strategies : OBPI versus CPPI
Portfolio Insurance Strategies: OBPI versus CPPI. January 2002. JEL: G11. Abstract. We compare performances of the two standard portfolio insurance methods: ... technology research, surveys study and trend statistics
Testimony of Michael W. Masters Managing Member / Portfolio ...
Jun 30, 2010 ... 97, No. 1, 2008. Available at SSRN: .... “ insurance” on the risk of their default, so there was no way of telling who was .... Governmentʼs Exit Strategy, June 10th 2010, ... technology research, surveys study and trend statistics
Yale ICF Working Paper No. 0811 First Draft: February 21, 1992 ... ... Empirical Investigation of the Safety First Portfolio Insurance Strategy .................... 5. 4. Simulation Results. ...
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130/30 & 150/50 & 1X0/X0 Strategies. What are the risk, reward ...
130/30, 150/50 and 1x0/x0 are largely all the same strategy – long/short equity. The only real difference is one of definitive parameters – 130/30 allows a manager to go short 30% of his portfolio, from which he/she reinvests the sale proceeds into the long side picks. 150/50 goes 50% short, and 1x0/x0 goes x0% short, and there is no defined criteria generally with these types of funds that dictates which or which types positions are long and which are short (like there is with risk arb - long the acquired company/short the acquiring company). So, generally speaking, the risk, reward, performance and benefits ...
Daily Moving Average(DMA) or Exponential Moving Average (EMA)? Can ...
Im just curious. We try all the fancy stuff to generate alpha. But there are few simple technical indicators which are good enough. 200 DMA keeps us on the right side of the market always if tracked properly. I have not calculated the friction costs. Drawback of MA is that we will enter late and exit late, however still its beneficial. I want further clarity and your esteemed views? Is it good to develop a trading strategy with such a simple indicator? I do lot of quantitative stuff but off late feels like trying a part of the portfolio only on the basis of Moving Average, thoughts please? Please refer any fund or person who has ...