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David Elms Head of Diversified Alternatives Portfolio Manager The majority of asset allocation models are rebalanced on the last day of the calendar month, but is this the best approach to maximize returns?

Portfolio manager Aneet Chachra and David Elms, Head of Diversified Alternatives, tested the validity of this traditional market orthodoxy, with some surprising day of expiry of the index options.

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Starting as kids, we impart calendar periods with significance as we mark birthdays, school years, holidays, etc. This continues as we grow up — more people go to the gym on the first day of a new month while fewer go on the last day.

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And to most of us, this December feels extra special — the simultaneous end of the month, quarter, year, and decade. We often carry this human love of round calendar intervals into financial markets. The majority of asset allocation models were developed using data from the last day of the month, quarter, etc. This default is easy to understand and maintain, but might not be the best approach to maximize returns.

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For example, U. Good returns during the first part of the month are often followed by weaker returns over the second part of the month and vice versa.

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This negative divergence appears to be largest when measured around the monthly option expiration date third Friday of each month. This is a surprising result. It runs counter to financial orthodoxy that would expect subsequent period returns to be uncorrelated. Exhibit 1 shows the relationship between pre- and post-option expiry returns for each month.

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Past performance is not a guide to future performance. Why are intra-month returns negatively correlated? There is no way to determine definitively, but two explanations seem reasonable. The first is the effect of option hedging flows. In order to hedge their exposure, dealers need to sell the index, which in turn creates further selling pressure.

Portfolio rebalancing – pick a different day

These hedging flows are inverted in a rising market. The second is the effect of rebalancing flows. After stocks have fallen, most asset allocation models will rebalance by buying stocks at month-end to return to target weight and vice versa. These flows run counter to the recent market trend.

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Their combined impact creates mean reversion intra-month that smooths monthly returns. Changing the measurement day away from the last day of the month increases calculated volatility.

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The practical consequence is on choosing when to rebalance a portfolio. The benefit of rebalancing increases when done at higher volatility intervals. Exhibit 2 shows annualized returns for the models rebalanced on the first three and last three business days of the month day of expiry of the index options well as on option expiry. Exhibit 2: U. Past performance is not a guide to future performance Although the differences are small, the conventional default of rebalancing on the last day of the month had the lowest return.

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There is no expected benefit from rebalancing at the same time as everyone else, while the mit was kann ich geld machen of flows may detract from returns. The data suggests that picking any other day instead of the last day of the month is likely better.

  1. Contract Specification FTSE Options | Option (Finance) | Derivative (Finance)
  2. Sie sind auf Seite 1von 3 Im Dokument suchen Derivative contract specifications Contract specifications: FTSE index options This contract specification is being distributed by Turquoise Global Holdings Limited only to, and is directed only at a persons who have professional experience in matters relating to investments who fall within Article 19 1 of the FSMA Financial Promotion Order and b persons to whom it may otherwise lawfully be communicated together relevant persons.

Rebalancing on the calendar end date is easy and popular, but does not appear to be the best choice. Die Bezugnahme auf einzelne Wertpapiere, Fonds, Sektoren oder Indizes in diesem Artikel stellt weder ein Angebot oder eine Aufforderung zu deren Erwerb oder Verkauf dar, noch ist sie Teil eines solchen Angebots oder einer solchen Aufforderung. Die Wertentwicklung in der Vergangenheit ist kein zuverlässiger Indikator für die künftige Wertentwicklung.

Alle Performance-Angaben beinhalten Erträge und Kapitalgewinne bzw. Der Wert einer Anlage und die Einkünfte aus ihr können steigen oder fallen. Es kann daher sein, dass Sie nicht die gesamte investierte Summe zurückerhalten.

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