Bull vs. Bear Oil & Gas Leveraged Exchange Traded Fund: A Rolling Risk-Performance

This research aims to capture the risk-performance exposure of 4 of the most popular leveraged energy ETFs: GUSH, DRIP, DGAZ, and UGAZ, which are an attractive investment option when the capital market (shares and bonds specifically) do not perform well due to the inherent uncertainty of the market. We use a rolling window mean-standard deviation model to study the dynamics of three of the principal investment components: volatility, return and market beta (β) over varying horizons of bull and bear Oil & Gas leveraged Exchange Traded Fund (ETF). Leveraged energy ETF provides from 200% to 300% (for bull) and -200% to -300%  (for bear) return based on their benchmark index every single day, allowing to implement strategies where high profits (as well as high losses) can yield tremendous benefit for both parties from market volatility. The results enable the characterization of the dynamics of risk-return of bull and bear leveraged energy ETFs and suggest a more accurate measure for risk compensation. The limitation is that rolling window mean-standard deviation model is not gauged for selecting an optimal timeframe. It only shows the dynamics over different timeframes. The originality is the use of rolling window mean-standard deviation model to improve the analysis of volatility, return and market beta (β) for daily, monthly, and annual data. In general, ETFs are a mechanism for investors to foresee the future structure of energy prices to make decisions about an efficient allocation of resources.Bull vs. Bear Oil & Gas Leveraged Exchange Traded Fund:A Rolling Risk-PerformanceEl objetivo de esta investigación es capturar la exposición riesgo-rendimiento de 4 ETFs de energía apalancados populares: GUSH, DRIP, DGAZ y UGAZ, que son una opción de inversión atractiva cuando el mercado de capitales (acciones y bonos específicamente) no presenta un buen desempeño debido a la incertidumbre inherente del mercado. Se utiliza un modelo de riesgo-rendimiento de ventanas móviles para estudiar la dinámica de tres de los principales componentes de inversión: volatilidad, rendimiento y beta del mercado (β) en diferentes horizontes de tiempo sobre ETF alcistas (bull) y bajistas (bear) que replican índices y commodities basadas en petróleo y gas. El ETF de energía apalancado proporciona de 200% a 300% (para bull) y -200% a -300% (para bear) de rendimiento diario a partir de su índice de referencia, permitiendo implementar estrategias donde se pueden obtener altos rendimientos (así como las altas pérdidas) a partir de la volatilidad del mercado. Los resultados permiten caracterizar la dinámica riesgo-rendimiento de los ETFs energéticos apalancados (bull y bear). La limitación recae en el modelo que no permite seleccionar un período de tiempo óptimo. Solo muestra la dinámica en diferentes períodos de tiempo. La originalidad es el uso del modelo de riesgo-rendimiento de ventanas móviles para mejorar el análisis de volatilidad, rendimiento y beta de mercado (β) para datos diarios, mensuales y anuales En general, los ETF son un mecanismo para que los inversionistas puedan prever la estructura de precios de los energéticos, con el fin de tomar decisiones sobre una asignación eficiente de los recursos

Passive versus active applications of industry exchange traded funds (ETFs) : an empirical investigation on the S&P Global 1200 Index

Magister Commercii - MComThe notion of market efficiency posits that stock prices fully reflect all available information in a timely manner. The efficient market hypothesis (EMH) proposed by Fama (1970) systematically rules out the profitability of information driven investing, and implicitly promulgates a passive market capitalisation weighted investment strategy such as indexing. The appeal of passive strategies has largely been driven by the growth of passive tracking instruments, which allow investors to earn underlying index performance by purchasing a single security such as an exchange traded fund (ETF). On the contrary, proponents of behavioural finance suggest that investors are irrational and subject to psychological biases. Furthermore, the noisy market hypothesis of Siegel (2006) asserts that the deviations from the economic ideal of rationality proposed by the EMH, introduces noise in the market which could lead prices to deviate from their intrinsic values. The resultant drag in performance of market capitalisation weighted indices suggests that the optimal cap-weighted market portfolio promulgated by the modern portfolio theory (MPT) of Markowitz (1952), ceases to be the most mean-variance approach to asset allocation. With the goal of testing the applications of ETF’s, this study first evaluates the performance of passive sector ETF’s in the global equity market. In addition, motivated by the potential inefficiencies of capweighted portfolios, the study tests optimisation based asset allocation techniques, and technical analysis based market timing strategies. The study employs the S&P Global 1200 sector indices and their respective sector ETF’s to test their performances and applications in passive and active investment strategies, over the period from July 5th, 2002 to February 6th, 2015. The ETF’s are evaluated based on their tracking ability and price efficiency. All 10 sector ETF’s possess insignificant tracking errors and successfully replicate the performance of their underlying indices. In addition, the globalsector ETF’s are not price efficient over the study period, as they possess persistent price deviations from their net asset values (NAV’s). Furthermore, the ETF trading strategy based on the relationship between ETF returns and price deviations, proves to be effective in outperforming the passive buy and hold strategy in the majority of the sectors. The sector decomposition of the cap-weighted S&P Global 1200 index which is employed as the market proxy, reveals that its sector allocation remains fairly stable throughout the study period. In contrast, the optimal historical sector composition incurs large changes in sector exposure from year to year and provides substantially superior performance relative to the cap-weighted market portfolio. The cap-weighted portfolio tends to overweight cyclical sectors and underweight resilient sectors during major economic downturns. The long-only, long-short and market neutral strategies developed from the S&P Global 1200 index and its constituent sector indices provide exceptional risk-adjusted performance, and more meanvariance efficient portfolios than the cap-weighted market proxy. The relaxation of the longonly constraint also improves the optimised portfolios risk-adjusted performance, mainly through risk reduction benefits. The performance of the optimised global sector based portfolios also resembles the performances of the global style based optimised portfolios developed by Hsieh (2010), thereby suggesting that the two approaches are analogous. The 3 technical market timing strategies tested in this research provide varying results. The sector momentum portfolios experience significant positive returns during bull markets, however the portfolios incur significant drawdowns during periods of economic turmoil such as the 2008 global financial crisis. As a result, all sector momentum portfolios provide inferior risk-adjusted returns relative to the passive cap-weighted buy and hold strategy. The exponential moving average (EMA) trend timing strategy promulgated by Hsieh (2010) provides impressive risk-management attributes and superior risk-adjusted performance relative to passive buy and hold benchmarks. Similarly, the alternative technical charting heuristics trend timing strategy helps reduce drawdowns during market crashes, however the charting strategy provides inferior cost and risk-adjusted performance relative to the capweighted buy and hold approach due to larger timing errors and longer hedging periods in comparison to the EMA strategy. In addition, the global tactical sector allocation (GTSA) model tests the EMA and technical charting trend timing tools in the context of a global sector portfolio, and the model provides outstanding cost and risk-adjusted performances relative to the passive investing alternatives. The portfolio based GTSA model highlights the benefits of portfolio diversification and successfully hedges market exposure during economic downturns

Examination of Arbitrage Opportunities at Chinese Financial Market

The purpose of this thesis is to study arbitrage opportunities in Chinese financial markets and study how to use stock index futures and CSI 300ETF for arbitrage. This thesis uses a variety of arbitrage strategies to study arbitrage opportunities, such as geographic arbitrage, futures arbitrage, time arbitrage and other arbitrage strategies, and focuses on statistical arbitrage opportunities in China's financial market. This thesis uses two statistical arbitrage models, namely the least squares OLS constant volatility model and GARCH time-varying volatility model, select the 1-minute high-frequency trading data closing prices of stock index futures IF2101 and Huatai-Pinebridge CSI 300 ETF. Judging from the combination of traditional data and Sharpe ratio, using the GARCH model for forward arbitrage results is the best. Therefore, it is recommended that arbitragers prefer the GARCH model for the positive arbitrage operation, followed by the OLS model for the reverse arbitrage operation when conducting statistical arbitrage in China.The purpose of this thesis is to study arbitrage opportunities in Chinese financial markets and study how to use stock index futures and CSI 300ETF for arbitrage. This thesis uses a variety of arbitrage strategies to study arbitrage opportunities, such as geographic arbitrage, futures arbitrage, time arbitrage and other arbitrage strategies, and focuses on statistical arbitrage opportunities in China's financial market. This thesis uses two statistical arbitrage models, namely the least squares OLS constant volatility model and GARCH time-varying volatility model, select the 1-minute high-frequency trading data closing prices of stock index futures IF2101 and Huatai-Pinebridge CSI 300 ETF. Judging from the combination of traditional data and Sharpe ratio, using the GARCH model for forward arbitrage results is the best. Therefore, it is recommended that arbitragers prefer the GARCH model for the positive arbitrage operation, followed by the OLS model for the reverse arbitrage operation when conducting statistical arbitrage in China.154 - Katedra financívelmi dobř

Investment policy statement : an ETF-based approach

Mestrado Bolonha em FinançasThe Investment Policy Statement (IPS) serves as a communication tool between the advisor and client. The advisor's responsibilities include IPS establishment, progress reports, asset allocation, risk management, and compliance with CFA rules. The client has a moderately conservative risk tolerance, aiming to preserve capital for their child with limited risk-taking. No leverage, short selling, or investments in non-regulated assets like cryptocurrencies are permitted. No specific liquidity needs exist, but a 5.00% annual loss probability must be minimized. The investment goal is to grow the initial capital of €500,000 to €750,000 in a 10-year horizon, adjusted for inflation to €960,063.41, requiring a minimum annualized return of 6.74%. The investment philosophy is centered around Exchange Traded Funds (ETFs) and a preference for value over growth investing, utilizing market timing techniques such as Earnings Yield (EY), Shiller Price to Earnings ratio, the FED Model, and Yield Spread. Various security selection rules were also adopted. The portfolio's expected return and volatility were computed using Mean-Variance Theory (MVT) to maximize Sharpe Ratio, resulting in an average annualized return of 7.02% and an average annualized volatility of 3.25%. A risk analysis was performed, employing Value-at-Risk (VaR) and Expected Shortfall to assess potential 10-year horizon risks. A risk matrix was also created.Este IPS foi criado como uma ferramenta de comunicação entre o consultor de investimentos e o cliente. O consultor tem diversas responsabilidades, como o estabelecimento e manutenção da IPS, relatórios de progresso, proposta de solução, recomendação de alocação de ativos, gestão de risco e adesão às regras do CFA. O cliente possui uma tolerância moderadamente conservadora ao risco, com o objetivo de preservar o capital para o seu filho, assumindo uma pequena exposição a risco. Não é permitido o uso de alavancagem nem a venda a descoberto, bem como o investimento em ativos não regulamentados. O cliente não tem necessidades de liquidez, no entanto é necessário mitigar uma probabilidade de perda anual de 5,00%. O objetivo de investimento é fazer crescer o capital inicial de 500.000,00€ para 750.000,00€ em um horizonte de 10 anos. Ajustado à inflação, essa meta ascenderá a 960.063,41€ ao final do período, exigindo uma taxa de retorno anualizada mínima de 6,74%. A filosofia de investimento baseia-se em investir em ETFs, com preferência pelo investimento em valor em vez de crescimento, e outras técnicas de timing de mercado, como o Earnings Yield (EY), Price to Earnings de Shiller, o Modelo FED e a Yield Spread. Também foram adotadas diversas regras de seleção de títulos financeiros. Para calcular o retorno esperado e a volatilidade da carteira, o consultor utilizou a MVT, buscando maximizar o Índice de Sharpe. A carteira ótima proposta obteve um retorno médio anualizado de 7,02% e uma volatilidade média anualizada de 3,25%. Por fim, foi realizada uma análise de risco executando vários tipos de VaR e Expected Shortfall, bem como uma matriz de risco.info:eu-repo/semantics/publishedVersio

Fintech revolution and traditional banks - what factors influence members of generation Z to place their trust in Fintech companies, specifically neobanks, over traditional banks as banking and financial service providers? : a case study on the banking application of the Swiss neobank Yuh

The digitalization of financial services in combination with declining trust in traditional financial institutions, mainly due to the 2008 financial crisis, has enabled the emergence of new players offering services that were initially the domain of banks. Traditional banks have long been major players in the financial industry, and the number of potential competitors has been rather limited, as it has been quite challenging new providers to enter the sector due to the severe regulatory framework. However, in the last decade, a new form of competitor has emerged that represents a serious threat to the traditional banking model and is revolutionizing the entire banking sector. The competitors are the so-called fintech companies. While traditional banks have sought innovation exclusively in new financial instruments and thus have missed the expansion of modern IT infrastructure, fintech companies have taken advantage of consumer mistrust in banks and offered new, technology-based products to technology-savvy customers. In Switzerland, the number of users opting for the services of their competitors, namely fintechs, has increased from an average of 30% in 2017 to 64% in 2019. In addition, the younger generation, especially Generation Z, is the biggest demand driver, and this trend is likely to continue in the coming years. Furthermore, loss of trust has a negative impact on profitability and customer loyalty, thus posing a major threat to traditional banks (Fintech Futures, 2019, December 25). For this reason, it is important to understand how incumbents can recover trust and appeal to the younger generation. A literature review served as the basis for this work, establishing a theoretical foundation and framing the topic under study. The literature review was followed by the description of a case study on the Swiss neobank Yuh’s banking application using a mixed methods approach in an explanatory sequential design. Yuh is a neobank, that is, a fintech company that operates with a banking license in Switzerland. Through a quantitative analysis of Generation Z in Switzerland using the Swiss neobank Yuh as an example and a qualitative analysis with the CEO of Yuh, many of the findings from the literature review were confirmed and new insights were presented. Finally, recommendations to traditional Swiss banks were provided

Stock returns forecasting with metals: Sentiment vs. fundamentals

Using six prominent metal commodities, we provide evidence on the out-of-sample forecasting of stock returns for the market indices of the G7 countries, for which there is little prior evidence in this context. We find precious metals (Gold and Silver) can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting returns provides certainty equivalent gains in a market-timing strategy for the G7 countries. These certainty equivalent gains are large enough to make active portfolio management attractive, even for individual investors. Gains remain after considering reasonable transaction costs

The promotion and development of small and medium enterprises : an investigation of the effectiveness of assistance programmes and the participation of SMEs in the export sector in Swaziland : a thesis submitted in fulfilment of the requirements for the degree of Doctor pf Philosophy in Development Studies at Massey University, Palmerston North, New Zealand

Small and Medium Enterprises (SMEs) are increasingly occupying a prominent position in the policy agendas of both developed and developing countries, owing to the recognition of the significant potential contribution that these enterprises can make to national economic and social development. In addition, the exporting successes of SMEs in industrialised countries, in the last decade, have highlighted the critical role of SMEs in export- and private-sector-led economic growth, consequently many developing countries are refocusing their attention on the search for strategies and the design of policies and assistance programmes aimed at the promotion and development of their SME sectors. Sound policies to assist more SMEs to export, however, must be informed by a clear understanding of any systematic differences between current exporters and non-exporters. This study employed a multi-method approach, making use of both qualitative and quantitative methods, to investigate the nature and extent of SMEs' export involvement and the effectiveness of SME promotion and development programmes in Swaziland. In particular various firm-specific and managerial characteristics believed to shape the export behaviour of SMEs were utilised to investigate why some SMEs are exporters and some are not. The results of this study revealed that for many SMEs in Swaziland the export orientation is zero. The few that are exporting are mostly found in the manufacturing, agriculture and forestry industries. Foreign language proficiency and the frequency of business-related foreign trips are amongst the significant variables in explaining export propensity amongst SMEs in Swaziland. On the effectiveness of assistance programmes, this investigation showed that awareness levels and usage rates differ among assistance programmes and by the firms' market orientation. Generally, managers of SMEs are more aware of (and have accessed more) domestically oriented programmes than export oriented ones, which to some extent explains SMEs' poor export involvement. A policy recommendation that arises instinctively from this study is that official support, financial or otherwise, is likely to bear more fruit in exporting if targeted towards currently non-exporting SMEs and aimed at upgrading the language skills of managers, and assisting with bona fide business-related functions outside the country

Pension systems in East Asia and the Pacific : challenges and opportunities

With the recovery from the recent crisis, countries of the East Asia and Pacific region are rethinking their financial, and social policy, including old-age protection. Population aging, in combination with ongoing urbanization, and economic transformation, will place increasing pressure on traditional family care arrangements. Coverage under formal pension systems is generally low, and the absence of social safety nets for the needy elderly, poses risks in the face of breaks in the economic growth path. In addition to common systemic challenges, formal old-age income support systems confront issues specific to their design type: 1) The national provident fund, and social security systems with reserve funds, have demonstrated problems with investment policy, and performance, governance and management. 2) In the established market economies, social security systems are fiscally unsustainable in the long run, and often have a weak benefit-contribution link. 3) These types of systems encounter additional problems in transition economies, including low contribution collection from previously socialized enterprises. Options addressed by the paper involve the adoption of an integrated view on retirement income provision, averting fiscal un-sustainability, and, integrating public, and private sector pensions. Additionally, moving toward a multi-pillar structure with prudent coverage extension, and, fostering financial markets, to allow decentralized pension funds management, are also suggested.Health Economics&Finance,Public Sector Economics,Pensions&Retirement Systems,Environmental Economics&Policies,Banks&Banking Reform

Clean Energy ETFS: a new sustainable trend

Sustainability is becoming a very important topic, which reflects the collective awareness to not degrade even more our dear planet. Finance is also becoming more democratic and people can now invest in the stock market for as little as 10 Euros. Additionally, the sustainability issue has been impacting the finance industry through environmental, social, and governance initiatives (ESG). This master thesis analyzes the future performance of a selected group of clean energy Exchange-Traded Funds (ETFs) and compare them to a representative benchmark that is the MSCI World Index. This study tries to formulate if it is better to invest in a fund that represents the majority of the companies in developed countries, in a broad ESG fund that encompasses some environmental categories, or whether is it better to support the different environmental categories individually. To do so, past performances are analyzed - from January 1st, 2010 to December 31st, 2021 - and by the use of the geometric mean and standard deviation, we analyze the expected future valuations. The methodology used to create the future ETFs’ price is the Geometric Brownian Motion (GBM), which is retested several times with the help of a Monte Carlo Simulation. The key findings of this thesis are that an investment in Invesco Water Resources and in World Index can provide a positive and steady return over the period studied. Furthermore, if we invested in Invesco Solar and in iShares Global Clean Energy, it can constitute a poor investment decision since both underperform the broad market. This work contributes to the existing literature regarding sustainable finance and investing in a specific World Index and in some selected exchange-traded funds that are exposed to the broad clean energy environment and in some specific categories, such as solar, wind, water, and lithium. The results provided help those who wish to have a degree of exposure to clean energy funds in their portfolio, only regarding the past performance of these funds and through multiple simulations, project the outcome into the future.A sustentabilidade está a tornar-se um tema muito importante, o que reflete a consciência coletiva de não degradar ainda mais o nosso querido planeta. As finanças estão também a tornar-se mais democráticas e as pessoas podem agora investir na bolsa de valores com apenas 10 euros. Além disso, a questão da sustentabilidade tem vindo a ter impacto na indústria financeira através de iniciativas ambientais, sociais e de governação (ESG). Esta tese de mestrado analisa o desempenho futuro de um grupo selecionado de fundos de energia limpa negociados em bolsa (ETFs) e compara-os com um benchmark de referência que é o MSCI World Index. Este estudo tenta formular se é melhor investir num fundo que representa a maioria das empresas nos países desenvolvidos, num fundo que abranja todas as categorias ambientais, ou se é melhor apoiar as diferentes categorias ambientais individualmente. Para tal, são analisados os desempenhos passados - de 1 de Janeiro de 2010 a 31 de Dezembro de 2021 - e, através da utilização da média geométrica e do desvio padrão, analisamos as avaliações futuras esperadas. A metodologia utilizada para criar o futuro preço das ETFs é o Geometric Brownian Motion (GBM), que é testado várias vezes com a ajuda de uma Simulação Monte Carlo. As principais conclusões desta tese são que um investimento na Invesco Water Resources e no MSCI World Index podem proporcionar um retorno positivo e constante ao longo do período estudado. Além disso, se investirmos na Invesco Solar e no iShares Global Clean Energy, pode constituir uma má decisão de investimento, uma vez que ambos têm um desempenho inferior ao mercado. Este trabalho contribui para a literatura existente sobre finanças sustentáveis e o investimento num Índice Mundial específico e em alguns fundos de troca selecionados que estão expostos ao amplo ambiente de energia limpa e em algumas categorias específicas, tais como solar, eólico, água e lítio. Os resultados fornecidos ajudam aqueles que desejam ter um grau de exposição aos fundos de energia limpa na sua carteira, tendo em conta o desempenho passado destes fundos e através de múltiplas simulações, projetam os resultados para o futuro