لایب سان

Author(s): Zura Kakushadze, Juan Andrés Serur

Publisher: Springer International Publishing,Palgrave Macmillan, Year: 2018

ISBN: 978-3-030-02791-9,978-3-030-02792-6

Contents 1 Introduction and Summary 1 References 3 2 Options 5 2.1 Generalities 5 2.2 Strategy: Covered Call 7 2.3 Strategy: Covered Put 7 2.4 Strategy: Protective Put 8 2.5 Strategy: Protective Call 8 2.6 Strategy: Bull Call Spread 8 2.7 Strategy: Bull Put Spread 9 2.8 Strategy: Bear Call Spread 9 2.9 Strategy: Bear Put Spread 10 2.10 Strategy: Long Synthetic Forward 10 2.11 Strategy: Short Synthetic Forward 10 2.12 Strategy: Long Combo 11 2.13 Strategy: Short Combo 11 2.14 Strategy: Bull Call Ladder 12 2.15 Strategy: Bull Put Ladder 12 2.16 Strategy: Bear Call Ladder 13 2.17 Strategy: Bear Put Ladder 13 2.18 Strategy: Calendar Call Spread 14 2.19 Strategy: Calendar Put Spread 14 2.20 Strategy: Diagonal Call Spread 15 vii 2.21 Strategy: Diagonal Put Spread 16 2.22 Strategy: Long Straddle 16 2.23 Strategy: Long Strangle 17 2.24 Strategy: Long Guts 17 2.25 Strategy: Short Straddle 18 2.26 Strategy: Short Strangle 18 2.27 Strategy: Short Guts 18 2.28 Strategy: Long Call Synthetic Straddle 19 2.29 Strategy: Long Put Synthetic Straddle 19 2.30 Strategy: Short Call Synthetic Straddle 20 2.31 Strategy: Short Put Synthetic Straddle 20 2.32 Strategy: Covered Short Straddle 20 2.33 Strategy: Covered Short Strangle 21 2.34 Strategy: Strap 21 2.35 Strategy: Strip 22 2.36 Strategy: Call Ratio Backspread 22 2.37 Strategy: Put Ratio Backspread 22 2.38 Strategy: Ratio Call Spread 23 2.39 Strategy: Ratio Put Spread 23 2.40 Strategy: Long Call Butterfly 24 Strategy: Modified Call Butterfly 24 2.41 Strategy: Long Put Butterfly 25 Strategy: Modified Put Butterfly 25 2.42 Strategy: Short Call Butterfly 25 2.43 Strategy: Short Put Butterfly 26 2.44 Strategy: “Long” Iron Butterfly 26 2.45 Strategy: “Short” Iron Butterfly 27 2.46 Strategy: Long Call Condor 27 2.47 Strategy: Long Put Condor 28 2.48 Strategy: Short Call Condor 28 2.49 Strategy: Short Put Condor 28 2.50 Strategy: Long Iron Condor 29 2.51 Strategy: Short Iron Condor 29 2.52 Strategy: Long Box 30 2.53 Strategy: Collar 30 2.54 Strategy: Bullish Short Seagull Spread 31 2.55 Strategy: Bearish Long Seagull Spread 31 2.56 Strategy: Bearish Short Seagull Spread 32 2.57 Strategy: Bullish Long Seagull Spread 32 References 33 viii Contents 3 Stocks 41 3.1 Strategy: Price-Momentum 41 3.2 Strategy: Earnings-Momentum 43 3.3 Strategy: Value 44 3.4 Strategy: Low-Volatility Anomaly 44 3.5 Strategy: Implied Volatility 45 3.6 Strategy: Multifactor Portfolio 45 3.7 Strategy: Residual Momentum 46 3.8 Strategy: Pairs Trading 48 3.9 Strategy: Mean-Reversion—Single Cluster 49 Strategy: Mean-Reversion—Multiple Clusters 50 3.10 Mean-Reversion—Weighted Regression 52 3.11 Strategy: Single Moving Average 53 3.12 Strategy: Two Moving Averages 54 3.13 Strategy: Three Moving Averages 54 3.14 Strategy: Support and Resistance 55 3.15 Strategy: Channel 55 3.16 Strategy: Event-Driven—M&A 56 3.17 Strategy: Machine Learning—Single-Stock KNN 57 3.18 Strategy: Statistical Arbitrage—Optimization 59 Dollar-Neutrality 61 3.19 Strategy: Market-Making 63 3.20 Strategy: Alpha Combos 64 3.21 A Few Comments 66 References 67 4 Exchange-Traded Funds (ETFs) 87 4.1 Strategy: Sector Momentum Rotation 87 Strategy: Sector Momentum Rotation with MA filter 88 Strategy: Dual-Momentum Sector Rotation 88 4.2 Strategy: Alpha Rotation 89 4.3 Strategy: R-squared 89 4.4 Strategy: Mean-reversion 90 4.5 Strategy: Leveraged ETFs (LETFs) 91 4.6 Strategy: Multi-asset Trend Following 91 References 92 5 Fixed Income 99 5.1 Generalities 99 Zero-Coupon Bonds 99 Contents ix Bonds with Coupons 99 Floating Rate Bonds 100 Swaps 101 Duration and Convexity 102 5.2 Strategy: Bullets 103 5.3 Strategy: Barbells 103 5.4 Strategy: Ladders 104 5.5 Strategy: Bond Immunization 105 5.6 Strategy: Dollar-Duration-Neutral Butterfly 106 5.7 Strategy: Fifty-Fifty Butterfly 107 5.8 Strategy: Regression-Weighted Butterfly 107 Strategy: Maturity-Weighted Butterfly 108 5.9 Strategy: Low-Risk Factor 108 5.10 Strategy: Value Factor 108 5.11 Strategy: Carry Factor 109 5.12 Strategy: Rolling Down the Yield Curve 110 5.13 Strategy: Yield Curve Spread (Flatteners and Steepeners) 110 5.14 Strategy: CDS Basis Arbitrage 111 5.15 Strategy: Swap-Spread Arbitrage 111 References 112 6 Indexes 121 6.1 Generalities 121 6.2 Strategy: Cash-and-carry Arbitrage 121 6.3 Strategy: Dispersion Trading in Equity Indexes 122 Strategy: Dispersion Trading: Subset Portfolio 123 6.4 Strategy: Intraday Arbitrage Between Index ETFs 125 6.5 Strategy: Index Volatility Targeting with Risk-Free Asset 125 References 126 7 Volatility 131 7.1 Generalities 131 7.2 Strategy: VIX Futures Basis Trading 131 7.3 Strategy: Volatility Carry with Two ETNs 133 Strategy: Hedging Short VXX with VIX Futures 133 7.4 Strategy: Volatility Risk Premium 134 Strategy: Volatility Risk Premium with Gamma Hedging 135 7.5 Strategy: Volatility Skew—Long Risk Reversal 135 7.6 Strategy: Volatility Trading with Variance Swaps 136 References 137 x Contents 8 Foreign Exchange (FX) 143 8.1 Strategy: Moving Averages with HP Filter 143 8.2 Strategy: Carry Trade 144 Strategy: High-minus-low Carry 145 8.3 Strategy: Dollar Carry Trade 146 8.4 Strategy: Momentum and Carry Combo 147 8.5 Strategy: FX Triangular Arbitrage 147 References 148 9 Commodities 155 9.1 Strategy: Roll Yields 155 9.2 Strategy: Trading Based on Hedging Pressure 156 9.3 Strategy: Portfolio Diversification with Commodities 156 9.4 Strategy: Value 157 9.5 Strategy: Skewness Premium 157 9.6 Strategy: Trading with Pricing Models 158 References 159 10 Futures 165 10.1 Strategy: Hedging Risk with Futures 165 Strategy: Cross-Hedging 165 Strategy: Interest Rate Risk Hedging 166 10.2 Strategy: Calendar Spread 167 10.3 Strategy: Contrarian Trading (Mean-Reversion) 168 Strategy: Contrarian Trading—Market Activity 168 10.4 Strategy: Trend Following (Momentum) 169 References 171 11 Structured Assets 181 11.1 Generalities: Collateralized Debt Obligations (CDOs) 181 11.2 Strategy: Carry, Equity Tranche—Index Hedging 183 11.3 Strategy: Carry, Senior/Mezzanine—Index Hedging 183 11.4 Strategy: Carry—Tranche Hedging 184 11.5 Strategy: Carry—CDS Hedging 184 11.6 Strategy: CDOs—Curve Trades 184 11.7 Strategy: Mortgage-Backed Security (MBS) Trading 185 References 186 12 Convertibles 193 12.1 Strategy: Convertible Arbitrage 193 Contents xi 12.2 Strategy: Convertible Option-Adjusted Spread 194 References 195 13 Tax Arbitrage 199 13.1 Strategy: Municipal Bond Tax Arbitrage 199 13.2 Strategy: Cross-Border Tax Arbitrage 199 Strategy: Cross-Border Tax Arbitrage with Options 201 References 201 14 Miscellaneous Assets 205 14.1 Strategy: Inflation Hedging—Inflation Swaps 205 14.2 Strategy: TIPS-Treasury Arbitrage 206 14.3 Strategy: Weather Risk—Demand Hedging 207 14.4 Strategy: Energy—Spark Spread 209 References 210 15 Distressed Assets 219 15.1 Strategy: Buying and Holding Distressed Debt 219 15.2 Strategy: Active Distressed Investing 220 Strategy: Planning a Reorganization 220 Strategy: Buying Outstanding Debt 220 Strategy: Loan-to-own 220 15.3 Strategy: Distress Risk Puzzle 220 Strategy: Distress Risk Puzzle—Risk Management 221 References 222 16 Real Estate 229 16.1 Generalities 229 16.2 Strategy: Mixed-Asset Diversification with Real Estate 230 16.3 Strategy: Intra-asset Diversification Within Real Estate 230 Strategy: Property Type Diversification 230 Strategy: Economic Diversification 231 Strategy: Property Type and Geographic Diversification 231 16.4 Strategy: Real Estate Momentum—Regional Approach 231 16.5 Strategy: Inflation Hedging with Real Estate 232 16.6 Strategy: Fix-and-flip 232 References 233 xii Contents 17 Cash 241 17.1 Generalities 241 17.2 Strategy: Money Laundering—The Dark Side of Cash 241 17.3 Strategy: Liquidity Management 242 17.4 Strategy: Repurchase Agreement (REPO) 242 17.5 Strategy: Pawnbroking 243 17.6 Strategy: Loan Sharking 243 References 243 18 Cryptocurrencies 249 18.1 Generalities 249 18.2 Strategy: Artificial Neural Network (ANN) 250 18.3 Strategy: Sentiment Analysis—Naïve Bayes Bernoulli 254 References 256 19 Global Macro 263 19.1 Generalities 263 19.2 Strategy: Fundamental Macro Momentum 263 19.3 Strategy: Global Macro Inflation Hedge 264 19.4 Strategy: Global Fixed-Income Strategy 265 19.5 Strategy: Trading on Economic Announcements 265 References 265 20 Infrastructure 269 References 270 Appendix A: R Source Code for Backtesting 275 Appendix B: Disclaimers 285 Glossary 287 Bibliography 351 Explanatory Comments for Index 459 Index 461 Contents xiii

برای ارسال نظر لطفا وارد شوید یا ثبت نام کنید