Martin @globalmaketrep
Decoding market chaos with quant analytics - no crystal balls, just numbers and fresh plots. Switzerland Joined June 2011-
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Gold annualized returns 1. Post Bretton Woods +9.5% 2. $GLD introduced +9.3%
Gold correlation to stocks 1. Post Bretton Woods -0.02 2. $GLD introduced 0.09
Cheng et al. 2020 Revisiting the roles of gold: Does gold ETF matter? sciencedirect.com/science/articl… Baur 2013 Exchange-Traded Funds on Gold - A Free Lunch? papers.ssrn.com/sol3/papers.cf…
$ORCL and $ADBE should be interesting.
$ORCL and $ADBE should be interesting.
Leveraged ETFs have always fascinated me. Over the long-run, LETFs underperform because of: 1. high fees 2. compounding effect due to daily resetting 3. leverage premium, see Frazzini/Pedersen 2011 "Embedded Leverage" (My 2012 masters thesis: papers.ssrn.com/sol3/papers.cf…) ...
There's always the idea to short both the leveraged ETF and the inverse leveraged ETF, for example $UPRO and $SPXU. This would be a market neutral trade, and one could make $$ off the leverage decay.
In reality this will not work because one would be paying much to short LETFs. As of today, borrowing $UPRO costs 1%, $SPXU 1.5% (source: iborrowdesk.com). $XXXX $RSSB
There are equities and there are bonds. You may find fund that had a more favorable exposure in the past, or one with lower fees, but at the end of the day it's all the same. PCA of past 10yrs of 100 largest ETFs. 82% of variance is explained by the 2 components, equities&bonds.
There are equities and there are bonds. You may find fund that had a more favorable exposure in the past, or one with lower fees, but at the end of the day it's all the same. PCA of past 10yrs of 100 largest ETFs. 82% of variance is explained by the 2 components, equities&bonds. https://t.co/amsIQWqaiT
4x SPX $XXXX but I wished it'd be an ETF like 3x $UPRO and not an ETN.
4x SPX $XXXX but I wished it'd be an ETF like 3x $UPRO and not an ETN.
I like the idea. There should be even higher leveraged ETFs, 5x, maybe 10x.
I like the idea. There should be even higher leveraged ETFs, 5x, maybe 10x.
Abnormal shorting activity in Israel ETF $EIS ahead of the 10/7 attacks? Trading on Terror?: "[the authors] document a significant spike in short selling in the principal Israeli-company ETF days before the October 7 Hamas attack. The short selling that day far exceeded the…
History of market volatility with a side-by-side view of the $SPX & $TLT (long term US treasury) rolling annual volatility, VIX, and MOVE indices from 1963 to 2023. Peaks in these charts signal key moments of market stress. #VIX #MOVEIndex
December S&P 500 returns are more predictable than other months. #SPX $SPY There's significant positive correlation with performance over the past 6 and 12 months, and significant negative correlation with the past month's performance (November). Let's build a simple model...
"Random" points, linear fit, and p<0.001... I hope @nntaleb doesn't kill me.
December is on average the strongest month of the year with a mean monthly return of 2%. The variance is large (3.9% StDev, still smaller then other months of the year), which means that in reality anything can happen.
So what's the model's prediction for December 2023? November 2023 +8.9% (one day left) Past 6 months +9.7% Past 12 months +13.4% Estimate for December '23: +0.47% (95% confidence [-0.97%, 1.91%]) I wish all good luck and a successful December! #StockMarket #SP500 #SPX $SPX
Real estate mostly goes up in nominal terms...
Real estate mostly goes up in nominal terms... https://t.co/Q8o4ex1ibH
Real valuations matter.
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