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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Month-end rebalancing؟

Definition 17.4 Markets II: Rates, FX and Credit · الفصل 17 — Fixings and Flows

Month-end rebalancing is the trading that investors do at the end of each month, some of it at the 4pm fix, to restore currency hedges and portfolio weights that the month’s price moves have disturbed.

Month-end dollar sales (negative: purchases) needed to keep the hedge of USD 2 trillion of US equities at its ratio, by the month’s equity return and the hedge ratio. The flow is known in sign as soon as the month’s return is. Illustrative; data: the chapter’s tutorial.
Figure 17.3. Month-end dollar sales (negative: purchases) needed to keep the hedge of USD 2 trillion of US equities at its ratio, by the month’s equity return and the hedge ratio. The flow is known in sign as soon as the month’s return is. Illustrative; data: the chapter’s tutorial.

أمثلة

Example 17.5 (Two month-end flows)

Investors holding USD 2 trillion of American equities, hedged at 50%, sell 0.5×4%×20.5 \times 4\% \times 2 trillion == USD 40 billion forward after a 4% rise. A fund of USD 100 billion at 60/40, after the American part gained 5% and the European part lost 1%, must sell USD 1.44 billion of American assets and buy the same value of European ones.

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