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Marius Bausys  

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  • Managing Currency Risk In International ETF Portfolio [View article]
    Diego, my suggestion is to use VaR as a complement, not as a stand-alone risk management tool. Some currency pairs demonstrate so little volatility that it's not worthwhile hedging them altogether.
    Dec 12, 2014. 09:55 AM | Likes Like |Link to Comment
  • Managing Currency Risk In International ETF Portfolio [View article]
    I agree with your point, however, it's almost impossible to track down actual economic exposures as one would need to scrutinize every single holding in an ETF. Furthermore, some companies hedge their FX exposures, which also needs to be accounted for.
    Dec 9, 2014. 09:45 AM | Likes Like |Link to Comment
  • Managing Currency Risk In International ETF Portfolio [View article]
    This is exactly the point – even though the ETF is denominated in USD, the investor is exposed to JPY rather than USD. This works as follows: the investor converts EUR into USD to acquire ETF units. However, the fund manager, in this case iShares, has a mandate to invest in Japanese stocks, which are denominated in JPY. Therefore, the manager will convert USD into JPY to purchase securities. This way the investor becomes exposed to JPY instead of USD.

    As an example, let’s assume EURJPY exchange stays constant, whilst the USD depreciates by 1% against both EUR and JPY. This way, the value of ETF investments increases by 1% in USD terms due to JPY appreciation. However, from our investor’s perspective, the USD depreciates 1% against EUR, leaving the value unchanged in EUR terms.
    Dec 9, 2014. 09:24 AM | Likes Like |Link to Comment
  • Can Retail Investors Unlock Value In Value-At-Risk? [View article]
    Hi there, just wanted to let you know that we've now incorporated maximum drawdown estimates into our calculator on http://www.investspy.com. Hope you find it useful!
    Oct 10, 2014. 12:51 PM | Likes Like |Link to Comment
  • Can Retail Investors Unlock Value In Value-At-Risk? [View article]
    Hi there, I'm afraid I'm not aware of such a tool online but this is definitely something we're looking to offer on investspy.com going forward.
    Sep 5, 2014. 08:26 AM | Likes Like |Link to Comment
  • Treasuries In Your Portfolio: Short Versus Long Duration Debate [View article]
    TLT has over $2.6 billion in assets under management, so there still are investors holding positions in long-term treasuries.
    Dec 9, 2013. 09:33 AM | Likes Like |Link to Comment
  • Correlation Analysis: The First Step Towards Portfolio Diversification [View article]
    Daniel,

    The purpose is not to achieve zero variability but to identify and combine assets that complement each other.

    In the end, risk management strategies are not return generators per se - you still need to make profitable investment choices.
    Jun 26, 2013. 04:29 PM | 1 Like Like |Link to Comment
  • Can Retail Investors Unlock Value In Value-At-Risk? [View article]
    Hi Gerald,

    Thanks for your insight. I totally appreciate VaR is not a panacea and I recognize that in the third point in the article. However, in my opinion, retail investors will be better off by at least occasionally peeking at their portfolio VaR figure rather than not knowing it at all. Of course, it should be one of many tools they use, including maximum drawdown estimates that you have touched upon.
    Apr 29, 2013. 10:07 AM | Likes Like |Link to Comment
  • Can Retail Investors Unlock Value In Value-At-Risk? [View article]
    Glyn, many thanks for your comment. I completely agree with your point that the need for a metric like VaR is far more significant in large financial institutions. However, this doesn’t mean that retail investors can’t benefit from the use of VaR. For instance, short term traders usually hold a different portfolio at the end of each trading day and need to monitor how the risk level changes. After all, even long term investors tend to panic after sharp market declines, thus it’s important to make sure that exposure to market risk is not higher than one can stomach.
    Apr 23, 2013. 10:26 AM | Likes Like |Link to Comment
  • Balancing Portfolio Risk [View article]
    It seems that balanced/equal risk weighted ETFs are coming into play: http://bit.ly/Y95YzR and http://bit.ly/Zcu7RU
    Apr 8, 2013. 05:50 AM | Likes Like |Link to Comment
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