Alpay Kaya, CFA

La vérité existe. On n'invente que le mensonge. —Braque (Truth exists. One only invents falsehood.)

Interview with Volatility Futures & Options

Some time ago I had the opportunity to discuss some of the finer statistical points of Quantitative Finance in an interview with Volatility Futures & Options. Highlights of the discussion … Continue reading

December 17, 2013 · Leave a comment

What Price Leverage? (Excerpt from Leveraged ETFs)

From Sec. 4.3.1 “Effective Log Leverage” The difference between an exponentially leveraged system (eLETF) and ‘normal’ leveraged fund (LETF) can also be shown by expressing LETFs as eLETFs with modified … Continue reading

July 8, 2013 · Leave a comment

Are -1x Inverse Funds ‘Leveraged’?

It may be easy to say “no” since +1 and -1 are the same magnitude, meaning the percent change of the -1x fund is equal and opposite to that of … Continue reading

July 8, 2013 · Leave a comment

For Whom the Pendulums Swing (Excerpt from Value in Volatility)

Some finance professionals promote B&H (value or market variety) as a ‘disciplined’ approach that has performed well over the ‘long term’. Unfortunately, too many seek to abstract their own experience … Continue reading

June 17, 2013 · Leave a comment

Errata: Leveraged ETFs

Page 94 Remove the subscript    from the last term in Eq. 4.17 so it reads   . LEGACY ERRATA (Does Not Affect Current Production) Page 37 Remove is from … Continue reading

June 9, 2013 · Leave a comment

‘Best’ at What, Exactly?

Am I the only one who noticed? It’s been two days. . . I haven’t read anything. . . no search results on Google. . . The topic is the … Continue reading

June 6, 2013 · Leave a comment

Leveraged ETF Mythology (Circa 2013)

Just as markets are positioned at the crossroads of mathematics and human behavior, they serve as a showcase of the interplay between objectivity and subjectivity. One popular way people display … Continue reading

June 6, 2013 · Leave a comment
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