Risk-adjusted returns of socially responsible mutual funds II: How do they stack up in Australia?

SJ Niblock, BA Costa, K Jakob… - The Journal of …, 2020 - joi.pm-research.com
This article investigates the risk-adjusted performance of Australian socially responsible
investment (SRI) mutual funds, their self-specified benchmark indexes, and an alternative …

Multiple defaults and Merton's model

L Cathcart, L El-Jahel - The journal of fixed income, 2004 - pm-research.com
The majority of multiasset investment portfolios allocate most of their assets to a mix of
stocks and bonds, ostensibly relying on the observed negative correlation between the two …

Forecasting VIX: the illusion of forecast evaluation criteria

E Kafousaki, S Degiannakis - Economics and Business Letters, 2023 - reunido.uniovi.es
The study uses daily realized volatility measures in order to gain forecast accuracy over
stocks' market implied volatility, as proxied by VIX Index. We evaluate forecast accuracy by …

Flight of the condors: evidence on the performance of condor option spreads in Australia

SJ Niblock - Applied Finance Letters, 2017 - ojs.aut.ac.nz
This paper examines whether superior nominal and risk-adjusted returns can be generated
using condor option spread strategies on a large capitalized Australian stock. Monthly …

Determination of Properties of the Benchmark Index through Strangle Option Strategies

P Bangur, M Singh, PK Singh… - Journal of Asia-Pacific …, 2022 - Taylor & Francis
The purpose of this paper is to measure the intrinsic characteristics of the Indian capital
market through the long and short strangle options strategies. The study uses the …

Effects of Macroeconomic Variables on the Performance of Mutual Funds: Evidence from Bangladesh Financial Market

DMK Uddin, QN Alam, MAR Khan… - Asian Journal of …, 2024 - research.sdpublishers.net
Using multiple regression analysis in this research paper, this is examined that these
macroeconomic variables (Money Supply-M2, Inflation Rates and Exchange Rates) have …

Forecasting VIX: The illusion of forecast evaluation criteria

S Degiannakis - 2023 - papers.ssrn.com
The paper uses daily realized volatility measures in order to gain forecast accuracy over
stocks' market implied volatility, as proxied by VIX Index, for forecast horizon of 1, 5, 10 and …

Out of the money or striking it rich? Evidence on the risk-adjusted return performance of options-based equity funds versus the S&P 500 and other benchmark …

BA Costa, K Jakob, SJ Niblock - The Journal of investing, 2018 - joi.pm-research.com
This article examines the risk–return characteristics of 29 options-based equity funds, their
self-specified S&P 500 total return benchmark index, and a suite of alternative options …

Can the Improved CMBO Strategies Beat the CMBO Index?

JR Chang - Journal of Derivatives, 2021 - search.proquest.com
The authors aim to improve the CMBO strategy, a covered-call strategy based on the
Chicago Board of Exchange Covered Combo (CMBO) Index. They modify the major issues …

Properties of Indian stock market: Evidence using strap option strategy

P Bangur, MK Singh, PK Singh… - International Journal of …, 2021 - World Scientific
This study aims to measure the volatility behavior and movement property of the Nifty Index
through the strap option strategies by using the trigonometric ratio of options (tan θ). These …