{"id":39,"date":"2013-10-18T14:59:50","date_gmt":"2013-10-18T12:59:50","guid":{"rendered":"http:\/\/qfrg.zz.mu\/wp\/?page_id=39"},"modified":"2022-10-13T11:45:51","modified_gmt":"2022-10-13T09:45:51","slug":"eurex-project","status":"publish","type":"page","link":"https:\/\/qfrg.wne.uw.edu.pl\/?page_id=39","title":{"rendered":"Eurex Project 2012"},"content":{"rendered":"<div id=\"metaslider-id-369\" style=\"width: 100%;\" class=\"ml-slider-3-27-13 metaslider metaslider-flex metaslider-369 ml-slider\">\n    <div id=\"metaslider_container_369\">\n        <div id=\"metaslider_369\">\n            <ul aria-live=\"polite\" class=\"slides\">\n                <li style=\"display: block; width: 100%;\" class=\"slide-368 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/eurex-e1412706250659-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-368\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-370 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/db-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-370\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-402 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/pre_HG_Indexkurve043-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-402\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-401 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/h_exchange-610x207.png\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-401\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-399 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/Deutsche-Borse-800x272.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-399\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-398 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/Deutsche-boerse-parkett-ffm001-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-369 slide-398\" \/><\/li>\n            <\/ul>\n        <\/div>\n        \n    <\/div>\n<\/div>\n<p>In cooperation with <a title=\"Eurex Group\" href=\"http:\/\/qfrg.wne.uw.edu.pl\/?page_id=49\">Eurex Group<\/a> we started in late 2010 two research projects focusing on effective replicating of hedge fund strategies using derivatives listed on EUREX. Their final results were presented on the&nbsp;<a title=\"Eurex Conference 2012\" href=\"http:\/\/qfrg.wne.uw.edu.pl\/?page_id=114\">conference <\/a>held at the University of Warsaw on the 5th of December, 2012.<\/p>\n<ol>\n<li style=\"list-style-type: none;\">\n<ol>\n<li><strong>Replicating long\/short hedge fund strategies using time-varying linear regression models<\/strong><\/li>\n<\/ol>\n<\/li>\n<\/ol>\n<p><em>The project consists of two parts. First of all, the asset classes in which hedge fund-like mutual funds invest are extracted with the use of multi-factor performance attribution model. Then, it is checked whether diversification benefit comes from extending these asset classes by derivatives traded on Eurex with the utilization of Markowitz model. The initial results suggests that incorporation of the Eurex products into the universe of investable assets is capable of improving Sharpe ratios of Multi-Strategy, Managed Futures and Emerging Markets funds<\/em><br \/>\n<a href=\"http:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/10\/g1.pdf\">slides<\/a><\/p>\n<ol>\n<li style=\"list-style-type: none;\">\n<ol>\n<li><strong>Replicating mutual fund strategies using linear regression models<\/strong><\/li>\n<\/ol>\n<\/li>\n<\/ol>\n<p><em>This paper examines the use of selected derivatives contracts traded on Eurex Exchange to replicate the structure of well performing world allocation mutual funds strategies during the last 3 years. We introduce a concept of linear regression models which replicate selected mu- tual funds strategies using Eurex products. Chow Test and Quandt Test are used to \fnd structural break in the regression parameters. Initial results suggest that identi\fcation of structural break allow investors to replicate mutual funds strategies more accurately using Eurex products.\u0003<\/em><br \/>\n<a href=\"http:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/10\/g4.pdf\">slides<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>In cooperation with Eurex Group we started in late 2010 two research projects focusing on effective replicating of hedge fund strategies using derivatives listed on EUREX. Their final results were [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","meta":[],"_links":{"self":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/39"}],"collection":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=39"}],"version-history":[{"count":7,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/39\/revisions"}],"predecessor-version":[{"id":1492,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/39\/revisions\/1492"}],"wp:attachment":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=39"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}