Guido Abate
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2 publications
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158 downloads
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469 views
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0 books
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The multimanager approach in mutual funds investments
Investment Management and Financial Innovations Volume 6, 2009 Issue #4
Views: 528 Downloads: 246 TO CITE -
European indexed investments: how to identify the most efficient index
Investment Management and Financial Innovations Volume 10, 2013 Issue #1 (cont.)
Views: 475 Downloads: 153 TO CITE -
Dispersion trading: an empirical analysis on the S&P 100 options
Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 178-188
Views: 2084 Downloads: 793 TO CITE АНОТАЦІЯThis study provides an empirical analysis back-testing the implementation of a dispersion trading strategy to verify its profitability. Dispersion trading is an arbitrage-like technique based on the exploitation of the overpricing of index options, especially index puts, relative to individual stock options. The reasons behind this phenomenon have been traced in literature to the correlation risk premium hypothesis (i.e., the hedge of correlations drifts during market crises) and the market inefficiency hypothesis. This study is aimed at evaluating whether dispersion trading can be implemented with success, with a focus on the Standard & Poor’s 100 options. The risk adjusted return of the strategy used in this empirical analysis has beaten a buy-and-hold alternative on the S&P 100 index, providing a significant over-performance and a low correlation with the stock market. The findings, therefore, provide an evidence of inefficiency in the US options market and the presence of a form of “free lunch” available to traders focusing on options mispricing.
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The impact of sectorial and geographical segmentation on risk-based asset allocation techniques
Investment Management and Financial Innovations Volume 16, 2019 Issue #3 pp. 260-274
Views: 682 Downloads: 140 TO CITE АНОТАЦІЯIn the last decades, risk-based portfolio construction techniques have enjoyed a widespread diffusion in the financial community. This study aims at evaluating how these portfolio construction techniques produce different results depending on whether the segmentation of the stock market investment universe is based on sectorial or geographical criteria. An empirical analysis, applied on the global equity market, is carried out by making use of the typical and most advanced statistical and financial evaluation measures. Geographical segmentation is carried out in relation to the listing market, while sectorial segmentation is made in relation to the productive sectors to which individual companies belong. Our comparative analysis provides substantially coherent results, demonstrating a significant preference for the sectorial criterion compared to the geographic one. In conclusion, this result can be attributed to the subdivision of the investment universe into sectorial indices characterized by greater internal coherence and better external differentiation, in addition to the lower concentration of sectorial segmentation compared to the geographical one.