Enhanced Indexing Strategies: Utilizing Futures and Options to Achieve Higher Performance

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Explain the reasons for indexing. Describe the methodologies used to replicate a benchmark index. Describe interest rate expectations strategies, yield curve strategies, and inter- and intra-sector allocation strategies. Compute the total return for a bond over a specified investment horizon.

Explain how interest rate risk is controlled in a trade. Explain why total return analysis and scenario analysis should be used to assess the potential performance of a trade before the trade is implemented. Show how to use scenario analysis to evaluate the potential performance of a portfolio versus a benchmark index.

Explain the objectives of performance attribution analysis. Explain the limitations of single-index performance evaluation measures. Explain leverage. Identify the advantages and disadvantages of lever. Compute the dollar interest of a repurchase agreement. Discuss the credit risks associated with a repurchase agreement. Explain the factors that affect the repo rate. Distinguish between special or hot collateral and general collateral.

Calculate the duration of a leveraged portfolio. Generally, the smaller the number of issues used to replicate the benchmark index, the lower the transaction costs but the greater the difficulties in matching the risk factors. Two commonly used techniques: Cell matching Tracking error minimization using a multi-factor risk model.

Utilizing Futures and Options to Achieve Higher Performance

Similarly to the previous strategies, it matches the duration of the portfolio with the duration of the benchmark index, so that there are no duration bets. Two types of strategies: In the more conservative one, the manager creates larger mismatches, in terms of risk factors, relative to the benchmark index. The manager can invest a small percentage of the portfolio in one or more sectors that are not in the bond market index. Portfolio duration may be altered through: Swapping bonds Selling bonds and staying in cash Using interest rate futures contracts.

The three yield curve strategies are: bullet, barbell, ladder.

Each of these strategies results in different performance when the yield curve shifts and it depends on both the type and the magnitude of the shift. Inter- and intra-sector allocation indicate that a manager anticipates certain changes in spreads.

Enhanced Indexing Strategies: Utilizing Futures and Options to Achieve Higher Performance

Spreads due to credit risk When the spread for a particular sector is expected to decrease increase , a manager might decide to overweight underweight that sector. Spreads due to call or prepayment risk An expected drop in interest rates will widen the spread between callable and noncallable bonds as prospects increase that the issuer will exercise the call option.

The spread narrows if interest rates are expected to rise. This book belongs on your book shelf. In Enhanced Indexing Strategies, Tristan Yates reveals how you can create and build high-performance indexing strategies using derivatives that can potentially generate much higher returns than conventional index investing.

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He presents important industry research on indexed investing, leveraged portfolio management, and rapid reinvestment, detailing the rewards and risks of multiple options positions in clear and concise writing that links concept to practice. Focusing primarily on long calls and call spreads, LEAP options, and hedging strategies, the author introduces six innovative long-term indexing techniques using futures and options, each with its own advantages and applications, that can capture appreciation in volatile conditions across many years.

And he includes all-important advice on managing your leveraged investment portfolio: setting objectives, carrying out associated tasks, and measuring results. Skip to main content. Email to friends Share on Facebook - opens in a new window or tab Share on Twitter - opens in a new window or tab Share on Pinterest - opens in a new window or tab.

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