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3

I don't have much experience in the matter, but I've been doing some related literature research recently and I think these links can be helpful: A rather recent study from CME A (possible a bit biased) report by BlackRock A report by Lyxor (asset manager affialiated to Societe Generale)


2

I think generally there are two approaches: "calendar rebalancing" (such as monthly as you mention) and "optimal corridor width". For the first option, the danger is the portfolio could stray considerably from your benchmark between rebalancing dates. For the second option, track tactical deviation on a continuous basis. When you are outside the corridor, ...


2

Volatility is mostly an "institutional" trade. People who trade it have a seat on one of the exchanges so they do not pay broker commissions. On top OPRA still imposes its own fees, which can add up. In regards of why anyone would trade an asset when transaction costs are 3-5%. Ask millions of people who flip real estate - transaction costs are 5% and up. ...


1

vega captures the two most common solutions to this problem. There are some valid criticisms of corridors as well. Because assets are correlated within a portfolio the decision to trade a particular asset should actually depend on the movements of other assets rather than having a corridor per asset. Also, finding the right corridor is often done using ...


1

The current contract value is roughly 30k euros. The bidask spread is 1 tick, which equals 10 euros. Lets say you buy the contract and roll 3 times a year and then liquidate your position at expiry. You will hence pay 1 full bidask spread + 3 rolls, which if done via spreads with market orders, are equal to 1 tick each, hence you will pay 40 euros on bidasks ...


1

Depends on the execution algorithm and market. I have heard of many funds spending few PhD years of research finding out the answer wrt their in house algorithms. Ususally they failed as they do not have enough trades for this (even big funds). Impact is on the order of magnitude of bps, while daily volatility is few orders of magnitues higher. Attributing ...



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