Alpay Kaya, CFA

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

Category Archives: Authored Books

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

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

Leveraged ETFs: How Biased Statistics Affect Your Portfolio

The price action of leveraged ETFs differs fundamentally from that of standard ETFs, and the generic explanation ‘compounding’ means nothing. LEVERAGED ETFs is the only publication in which LETF dynamics … Continue reading

June 6, 2013 · Leave a comment

The Value in Volatility: A Practitioner’s Guide to Leveraged ETFs

For three decades since the early 1980s, two seismic macroeconomic shifts have supported the buy & hold returns of equity investors. • Interest rates have decreased, the 10-year rate from a … Continue reading

June 6, 2013 · Leave a comment