Archive for the ‘Publications’ Category

Implied Volatility For FixedResets: 2016 Edition

Thursday, February 11th, 2016

The theory of Implied Volatility for FixedResets was published in the 2013 edition of PrefLetter and made public last year.

It has now been updated with further explanations, examples and discussion and the 2016 edition may be downloaded by clicking here.

The calculator (an Excel Spreadsheet) has been publicly available for some time, linked on the right-hand navigation panel under the heading “Calculators”.

Many readers will wish to read the companion essay Implied Volatility for Straight Perpetuals as it is conceptually similar with fewer parameters.

Implied Volatility of Straight Perpetuals

Saturday, January 30th, 2016

While revising and expanding my essay regarding Implied Volatility for FixedResets I realized that it would be useful to refer to my prior effort regarding Implied Volatility for Straight Perpetuals, which was published in the January, 2010, edition of PrefLetter.

So, the essay Implied Volatility in Perpetual Preferreds (with its addendum, Portfolio Management Implications of Implied Volatility in Perpetual Preferreds) is now publicly available.

Implied Volatility For FixedResets

Sunday, February 1st, 2015

In response to overwhelming demand (Assiduous Reader MW wrote me) I have decided to publish my essay Implied Volatility for FixedResets, which originally appeared as an appendix to the September, 2013, edition of PrefLetter.

The calculator (an Excel Spreadsheet) has been publicly available for some time, linked on the right-hand navigation panel under the heading “Calculators”.

Update, 2016-2-11: An updated and expanded 2016 edition is now available.

Opinion: OSFI's Academic Foray

Tuesday, January 22nd, 2013

OSFI published a paper in March, 2012, titled Evidence for Mean Reversion in Equity Prices. It wasn’t very good, as I explained in a recent article.

Look for the Opinion Link!

Also available: Draft version with footnotes.

Research: It's All About Sequence

Wednesday, October 17th, 2012

I wrote an article about SplitShares for the Advisor’s Edge Report, which has been published on-line.

Look for the research link!

Research: 6 safe places for returns in a low rate world

Monday, October 15th, 2012

My article titled 6 safe places for returns in a low rate world has been published on the Star’s Moneyville site.

So far it has two “recommends” and five Facebook likes!

Research: Split Share Credit Quality

Sunday, May 20th, 2012

This was published some time ago, but for some reason I forgot to put it on the Web!

Anyway, the credit quality of SplitShare corporation preferreds is subject to numerous factors – the NAV of the underlying portfolio is only the most obvious. These influences can be quantified; an introduction to this quantification is presented in this article.

Click on the research link!

Research: Security of Income vs. Security of Principal

Friday, October 28th, 2011

I have previously decried the practice of automatic investment in five-year bond ladders and touched briefly in that essay on the importance of differentiating security of income from security of principal. In this effort, I delve more deeply into this question – which is the fundamental consideration in fixed-income portfolio design – and attempt to explain why security of income is much more important than is usually thought.

Look for the research link!

Opinion: IIROC's Slush Fund

Wednesday, July 27th, 2011

Why does IIROC have so much money to spend? Where does it go? What changes are necessary?

Look for the opinion link!

See also the draft version with footnotes.

Update, 2011-8-29: Janet McFarland of the Globe published a piece today titled Regulators mum on plans for ABCP settlement payments. It focussed on the delays in spending the new money rather than past improprieties, but there was one nugget of new information:

In an e-mailed statement, IIROC said it is working with the OSC “on a co-ordinated and consistent approach” for the money, and “public disclosure will be made at an appropriate time.”

Hmm … they’ve never ‘worked with the OSC’ before to determine how to spend their cash … one wonders what is going on in the background.

Opinion: OSFI and the Bond Indices

Wednesday, May 18th, 2011

OSFI wants to include contingent capital in the bond indices … even though Contingent Capital issues are not bonds!

Look for the opinion link!

Also available is the draft version with footnotes

The article has also been published on-line by Advisors’ Edge Report with the title OSFI Targets Bond Investors.

Update, 2011-6-21: Investors with an interest in the subject are urged to read Rowland Fleming’s explanation of how Bre-X became an index constituent.

Update, 2015-4-26: In the article, I attempt to differentiate between “good indices” and “bad indices”; the proliferation of ETFs has caused a corresponding proliferation of indices, which concerns a few US-based heavyweight lobbies:

ETFs – Since the Commission first permitted the creation of exchange-traded funds through an exemption from the Investment Advisers Act, well over a trillion dollars have been invested in these funds. ETFs, which were originally conceived as plain vanilla, index-tracking investments, can offer significant benefits to retail investors. In recent years, however, the Commission staff has approved through ad-hoc exemptive orders new and exotic versions of ETFs, many of which pose significant risks that are likely to be poorly understood by unsophisticated retail investors. For example, Commission staff has permitted ETF providers to: create their own indices just so they can create an ETF to track those indices, create inverse and leveraged ETFs, and even create actively managed ETFs.