Financial & investment strategies to captivate S&P 500 volatility premium
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DOIhttp://dx.doi.org/10.21511/imfi.14(3).2017.04
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Article InfoVolume 14 2017, Issue #3, pp. 39-53
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So as to enhance the risk of balanced execution of their portfolios, speculators look to broaden by including new resources, new sorts of monetary instruments or even new resource classes. Like wares, volatility rose as an unmistakable resource class and included the speculation portfolios particularly by multifaceted investments.
This paper examines the volatility premium of S&P 500 record choices and contrasts with different venture methodologies in view of offering alternative structures, for example, straddles and strangles utilizing diverse measures or risk and return. The outcomes demonstrate that the speculation procedures used to catch the instability premium through offering choices structures give higher exhibitions contrasted with the S&P 500 benchmark index.
- Keywords
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JEL Classification (Paper profile tab)G11, G31, G32
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References35
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Tables3
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Figures7
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- Figure 1. Evolution of S& P 500 index and implied volatility VIX
- Figure 2. Evolution of implied volatility VIX and one month realized volatility
- Figure 3. Evolution of 1 month volatility premium
- Figure 4. Evolution of absolute and relative volatility
- Figure 5. Evolution in the value of the investments based on 6M options
- Figure 6. Implied volatility (VIX) scenario for all coefficients
- Figure 7. Implied volatility (VIX) as a part of the initial scenario for all volatility coefficients.
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- Table 1. Descriptive statistics of stock returns
- Table 2. Measures of risk and return (6M option)
- Table 3. Results of sensitivity analysis run for the 6M options based strategies
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Peruvian evidence of the efficiency of technical analysis on the Lima Stock Exchange
Jorge Diaz
,
Urpi Barreto ,
Yasser Abarca ,
Gabriel Suyo
doi: http://dx.doi.org/10.21511/imfi.21(4).2024.24
Investment Management and Financial Innovations Volume 21, 2024 Issue #4 pp. 301-313 Views: 26 Downloads: 5 TO CITE АНОТАЦІЯIn emerging markets such as the Lima Stock Exchange, characterized by lower liquidity and market depth, investors face unique challenges in maximizing returns and mitigating risks. This study aims to evaluate the efficiency of technical analysis on the Lima Stock Exchange, focusing on 14 stocks from the S&P/BVL Peru General portfolio selected for their broad spectrum of economic sectors, high trading frequency, and consistency in the index, totaling 9,802 quotations during the period from June 21, 2021 to June 21, 2024. The results, excluding transaction costs, show that technical tools such as Momentum, Moving Averages, Stochastic Oscillator, and Williams Oscillator offer superior returns compared to the buy-and-hold strategy, especially in short periods of 5, 10, and 15 days, with average excess returns of 24.28%. However, when including transaction costs, only eight of the 14 stocks achieve excess returns, with the Relative Strength Index (RSI), Bollinger Bands, and Moving Averages standing out as the most efficient tools, especially over longer periods. These findings underscore the importance of careful management of transaction costs to optimize the benefits of technical analysis in emerging markets.
