Use of ETFs in Active Investing
|
|
- Arthur Clarke
- 5 years ago
- Views:
Transcription
1 Use of ETFs in Active Investing Hardik Patel QPLUM Disclosures: qplum LLC is a registered investment adviser. Information presented is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies. Investments involve risk and are never guaranteed. Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance. 1
2 Outline 1. Background: Dynamic Asset Allocation 2. Why ETFs are good for Dynamic Asset Allocation? 3. How to construct a dynamic portfolio using ETFs? 2
3 Background: Dynamic Asset Allocation 3
4 Dynamic Asset Allocation Asset Allocation Liquid Assets Dynamic Asset Allocation 4
5 Dynamic Asset Allocation vs Security Selection Dynamic Asset Allocation: - Views certain asset classes more favorable compared to others. - Attractiveness of asset classes and geographic regions change over time. Security Selection: - Views certain companies more favorable. - Asset classes and geographies don t play much part here. 5
6 A Simple Example Bonds (40%) Equities (60%) Bonds (50%) Equities (50%) 20% Equities (80%) 10% Equities (90%) 20% Equities (80%) 6
7 Why use ETFs? 7
8 ETFs easily map onto Asset Classes US Stocks -> VTI, SPY. US Real Estate -> VNQ, IYR. US Bonds -> BND. International Bonds -> BNDX. International Real Estate -> VNQI. This makes it easier to construct portfolios. 8
9 Return Attribution is easier with ETFs Since ETFs directly map to the asset classes, it s easier to understand where the return is coming from. This is necessary for us to trust the final portfolio. Return attribution is also useful in debugging portfolio issues. 11
10 Caveats It s best to stay away from some ETFs: Leveraged and inverse ETFs - they have high costs and various pricing caveats associated with them. If you really want to get leverage, just open a margin account somewhere and trade on margin. High expense ratio ETFs - Higher fees will catch up with you. Illiquid ETFs - they may be significantly mispriced compared to what they are actually tracking. 12
11 How to Use ETFs for Dynamic Asset Allocation? 13
12 Step 1: Start with a large basket of ETFs VTI, SPY, SCHB, ITOT, BND, AGG, SCHZ, VGLT, BLV, TLT, VNQ, IYR, SCHH, VEU, VEA, SCHF, VXUS, BNDX, VNQI, RWX, VGK, EZU, IEUR, VWO, SCHE, IEMG, VWOB, EMB, PCY, VAW, XLB, FMAT, IYM, VCR, XLY, FDIS, IYC, VDC, XLP, IYK, FSTA, VDE, XLE, FENY, IYE, VFH, XLF, FNCL, IYF, VGT, QQQ, FTEC, XLK, IYW, VHT, XLV, FHLC, IYH, and have detailed information on various ETFs. 14
13 Step 2: Map ETFs with Sectors US International Stocks VTI SPY Bonds BND AGG Long T Bond TLT BLV REIT VNQ IYR Stocks VEU VEA Bonds BNDX REIT VNQI RWX Europe Stocks VGK EZU EM US Sectors Stocks VWO SCHE Bonds VWOB EMB Materials VAW XLB Consumer Discretionary VCR XLY Consumer Staples VDC XLP Energy VDE XLE Financials VFH XLF Technology VGT QQQ Health Care VHT XLV Industrials VIS XLI Utility VPU XLU Select ETFs with high liquidity and low expense ratios. 15
14 Step 3: Process Data Get Data Process (Take care of splits and dividends) Backfill missing data using indexes Data can be costly sometimes. Many ETFs are recent. You may need to backfill using approximations for longer histories. 16
15 Step 4: Create Signals Signals Trend Data RNN Market Data Macro Data Text Data Bayesian Value Signal Signal output consist of normalized allocation weight series for each sector. For each day, you have weights that sum up to 1. Expected Yield Mean Reversion 17
16 Step 5: Combine Signals Signals Trend RNN Bayesian Value Signal Dynamic Allocation Portfolio Expected Yield Mean Reversion Portfolio output contains the allocation weights for each sector. For each day, you get weights that sum up to 1. Since each sector is represented by an ETF, you get weights for ETFs. 18
17 Keep an Eye on Common Biases Lookahead Bias This can creep in at multiple locations: signal construction, position sizing etc. Survivorship Bias 19
18 Avoid ML Fallacies in Signal Construction Changing Data Distributions Effects of High Noise To Signal Ratio 20
19 Additional Notes Keep the turnover low. Use a more realistic backtesting engine. Should penalize low volume, high bid-ask spread securities significantly. Good backtesting can give a reasonable idea of the portfolio capacity as well. 21
20 Summary ETFs provide an efficient and cost effective way to construct active investment portfolios. 22
21 Questions? Disclosures: qplum LLC is a registered investment adviser. Information presented is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies. Investments involve risk and are never guaranteed. Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance. 23
Vantage 2.0 Portfolio Summary as of 01/31/2016
2.0 Portfolio Summary as of 0/3/206 Quick Facts Beacon's 2.0 Portfolios utilize 's newest sector-based product innovations that, when combined with Beacon's stoploss strategy, provides investors with a
More informationVantage Aggressive 2.0
WITHDRAWAL RATES CAN YOU SUSTAIN A 4% RETIREMENT INCOME DISTRIBUTION IN TODAY S ECONOMY? For more than twenty years 1, financial advisors have quoted the 4% rule as the gold standard for how much income
More informationportfolio strategies
By size, using mega-cap Vanguard ETF portfolio strategies By size, using mega-cap Options for implementing equity and bond exposure in your clients portfolios FOR FINANCIAL ADVISORS AND INSTITUTIONS ONLY.
More informationETFs 101: The Hows & Whys. Matt Hougan Moderator President Analytics & Publications ETF.com
ETFs 101: The Hows & Whys Matt Hougan Moderator President Analytics & Publications ETF.com ETF Assets: Up And To The Right Source: IndexUniverse as of 12/31/2013 Funds ETFs ($953) $104,067 2009 Flows Millions
More informationCommentary. Without deviation from the norm, progress is not possible. Frank Zappa
LongRun Monthly Strategy Review Aug 2016 AR -0.71% AG -5.21% TMG -2.67% SP500 +0.12% R2000 +1.78% GDP -0.57% Commentary August was a quiet month in most markets with the major US equity indices making
More informationCommentary. Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more time.
LongRun Monthly Strategy Review May 2018 AR +0.2% AG +1.0% TMG +3.0% SP500 +2.4% GDP +0.7% Commentary Last month s commentary led off with our Absolute Return strategy moving to 100% cash for the month
More informationWith Rates Retreating, Bonds Back in Fashion
Defensive ETFs: December U.S. ETF 2011 Flows: Performance May 2014 FINANCIAL PRODUCTS RESEARCH ETF RESEARCH January & STRATEGY 9, 2011 U.S. ETF flows were $12.7 billion in May representing 0.7% of assets
More informationCONSUMER SENTIMENT, RETURN, AND FLOW OF FUNDS TO SECTOR EXCHANGE TRADED FUNDS
CONSUMER SENTIMENT, RETURN, AND FLOW OF FUNDS TO SECTOR EXCHANGE TRADED FUNDS Abdullah Noman, Nicholls State University Shari Lawrence, Nicholls State University ABSTRACT The impact of consumer sentiment
More informationCommentary. Forecasts usually tell us more about the forecaster than about the future. - Warren Buffett
LongRun Monthly Strategy Review Nov 2016 AR +1.70% AG +2.07% TMG +1.16% SP500 +3.68% R2000 +11.08% GDP +1.35% Commentary Forecasters and pollsters are having a rough year. First Brexit and now the US presidential
More informationCommentary. If you are the smartest person in the room, then you are in the wrong room. Attributed to Confucius
LongRun Monthly Strategy Review Jun 2018 AR +0.9% AG +1.0% TMG -0.5% SP500 +0.6% GDP -0.8% Commentary June brought mixed messages from the markets. Worries about the Trump/Kim summit and Federal Reserve
More informationMACRO CHART BOOK Q2, 2016
Adaptive Investing MACRO CHART BOOK Q2, 2016 Upside Participation Downside Management For Investment Advisors and Institutions Only Content Summary US Economy Market Snapshot Asset Class Performance Equity
More informationCommentary. CBOE Volatility Index (VIX) Brexit Election VIX
LongRun Monthly Strategy Review Mar 2018 AR -0.7% AG -2.9% TMG -2.3% SP500-2.7% GDP 0.0% Commentary I finished last month s commentary with a caution that equity markets might retest the lows of February
More informationFour Components Of A Successful Income Portfolio
Four Components Of A Successful Income Portfolio Presented by: David Fabian Michael Fabian FMD Capital Management One Park Plaza, Suite 600 Irvine, CA 92614 Ph: 888-823-8111 F: 949-266-5788 www.fmdcapital.com
More informationLongRun Monthly Strategy Review. Commentary. Oct 2017
LongRun Monthly Strategy Review Oct 2017 AR 1.78% AG -0.61% TMG +1.50% SP500 +2.36% R2000 +0.73% GDP +0.35% Commentary Market history says that October can be a dangerous month and 2017 marked the 40 th
More informationCommentary. You can t overlook volatility, but you don t let it push you around in the market - Boone Pickens
LongRun Monthly Strategy Review Nov 2018 AR +0.2% AG -0.9% TMG +2.4% SP500 +1.9% GDP +0.8% Commentary By way of a recap, US equity markets spent most of October going down before a scramble to recover
More informationCommentary. Things turn out best for the people who make the best of the way things turn out. - John Wooden
LongRun Monthly Strategy Review Dec 2018 AR +0.1% AG -0.3% TMG -9.8% SP500-8.8% GDP -4.9% Commentary As noted last month, December got off to a bad start wiping out November s equity market gains in the
More informationCommentary. Just because the river is quiet doesn't mean the crocodiles have left. Malay proverb
LongRun Monthly Strategy Review Mar 2016 AR -0.11% AG +8.52% TMG +1.91% SP500 +6.72% R2000 +8.02% GDP +9.17% Commentary Equity markets around the world registered impressive gains in March as follow-through
More informationA Guide to J.P. Morgan U.S. Sector Rotator 5 Index (Annuity Series)
A Guide to J.P. Morgan U.S. Sector Rotator 5 Index (Annuity Series) A Dynamic Investment Strategy That Targets Stable Growth While Managing Market Risk Standard Insurance Company J.P. Morgan U.S. Sector
More informationJanuary 24, Michael Rechenthin, PhD Frank Kaberna
January 24, 2017 This week we provide a list of ETFs that are currently exhibiting some of the most liquid options all with a tastytrade liquidity rating of 3 or 4 stars. To dive deeper into the ETFs and
More informationCommentary. Patience and perseverance have a magical effect before which difficulties disappear and obstacles vanish. - John Quincy Adams
LongRun Monthly Strategy Review Sep 2018 AR -2.0% AG-2.5% TMG -0.3% SP500 +0.6% GDP -0.04% Commentary Last month I pointed out that the S&P 500 large cap stock index had closed higher five months in a
More informationCommentary. "How ridiculous and how strange to be surprised at anything which happens in life." -Marcus Aurelius
LongRun Monthly Strategy Review Aug 2017 AR +0.72% AG +1.64% TMG +0.36% SP500 +0.29% R2000-1.54% GDP +0.67% Commentary After posting new all-time highs the first week of August, US equity markets had a
More informationMarket Recap. TTG Market View. US ETF Index performance (5d): SPY -0.8%, DIA -0.7%, IWM -0.3%, QQQ -1.4%, TLT +1.2%, GLD +1.9%
US ETF Index performance (5d): SPY -0.8%, DIA -0.7%, IWM -0.3%, QQQ -1.4%, TLT +1.2%, GLD +1.9% Market Recap Last week Santa was a no show as equities continue to consolidate and move a bit lower. The
More informationThe Defined Risk Strategy
The Defined Risk Strategy Marc Odo, CFA, CAIA, CIPM, CFP Swan at a Glance FOR ADVISOR USE ONLY Swan is an independent advisory firm based in Durango, CO Founded in 1997 by Randy Swan An SEC-registered
More informationCommentary. "The inevitable may be certain, but it is not always punctual." - Jim Grant - Grant's Interest Rate Observer
LongRun Monthly Strategy Review Nov 2017 AR +2.2% AG +2.1% TMG +2.7% SP500 +3.1% R2000 +2.9% GDP +0.9% Commentary November saw global markets focused on the prospects for US tax reform and Washington managed
More informationReal-time Analytics Methodology
New High/Low New High/Low alerts are generated once daily when a stock hits a new 13 Week, 26 Week or 52 Week High/Low. Each second of the trading day, the stock price is compared to its previous 13 Week,
More informationPrepared By: David Advisor Prepared for: Joe Investor
Prepared By: David Advisor Prepared for: Joe Investor Content Investment philosophy Risk preference Asset mix History performance Portfolio constitution Disclaimer Date: 2009 10 2 RiskFile Porfolio Composer:
More informationCommentary. "How ridiculous and how strange to be surprised at anything which happens in life." - Marcus Aurelius, Stoic philosopher
LongRun Monthly Strategy Review Jan 2018 AR +5.2% AG +5.3% TMG +5.1% SP500 +5.6% R2000+2.6% GDP +2.8% Commentary January took global markets to new heights after a better than expected 2017. Last month
More informationThree Basic Principles of Money Management
Three Basic Principles of Money Management 1. Live within your means - Total expenditures must be lower than total income - Your basic cost of living must be below (not at) your level of income - The golden
More informationUS ETF Index performance (5d): SPY -0.9%, DIA -0.5%, IWM -2.0%, QQQ -1.1%, TLT -1.7% GLD -0.3%
US ETF Index performance (5d): SPY -0.9%, DIA -0.5%, IWM -2.0%, QQQ -1.1%, TLT -1.7% GLD -0.3% TTG Market View: Next week earnings will be in the spotlight along with the third presidential debate, and
More informationInformation Circular: VANGUARD Index Funds ETF SHARES
Information Circular: VANGUARD Index Funds ETF SHARES To: From: Head Traders, Technical Contacts, Compliance Officers, Head of ETF Trading, Structured Products Traders PHLX Listing Qualifications Department
More informationHead Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders. Exchange-Traded Fund Symbol CUSIP #
Information Circular: PowerShares ETF Trust II To: From: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders PHLX Listing Qualifications Department
More informationSelective Opportunistic Portfolios December 20, 2016
Selective Opportunistic Portfolios December 20, 2016 Prepared by Morningstar Investment Management LLC on behalf of TD Ameritrade Investment Management, LLC. Economic & Investment Outlook As the S&P 500
More informationJ.P. Morgan Structured Investments
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-177923 Dated October 25, 2013 J.P. Morgan Structured Investments V The J.P. Morgan U.S. Sector Rotator 8 Index Strategy
More informationExchange-traded funds ETF Flows - 2Q15 2 July 2015
ETF Flows - 2Q15 2 July 2015 CIO WM Research David Perlman, ETF Strategist, david.perlman@ubs.com This report highlights quarterly ETF flows by issuer and market segment. Flow estimates are obtained through
More informationInteractive Brokers Webcast. Options on ETFs. February 13, 2013 Presented by Russell Rhoads, CFA
Interactive Brokers Webcast Options on ETFs February 13, 2013 Presented by Russell Rhoads, CFA Disclosure CBOE Disclosure Statement Options involve risks and are not suitable for all investors. Prior to
More informationS&P Day A/D Line
Stocks Above 5-Day The S&P 5 experienced its first 1%+ move in either direction today for the first time in 58 trading days. The 1.4% drop left the index below its 5-day moving average as well. Market
More informationLongRun Monthly Strategy Summary (4/30/2014) Commentary
Commentary As I mentioned in last month s commentary, April was set up to be a dog fight with ARv2 fully invested in US equities and Aggressive Growth and original AR positioned defensively with 67% bonds
More informationORF 307 Lecture 3. Chapter 13, Section 1 Portfolio Optimization
ORF 307 Lecture 3 Chapter 13, Section 1 Portfolio Optimization Robert Vanderbei February 14, 2012 Operations Research and Financial Engineering, Princeton University http://www.princeton.edu/ rvdb Portfolio
More informationUS ETF Index performance (5d): SPY +1.5%, DIA +2.0%, IWM +2.5%, QQQ +1.4%, TLT -3.6%.
US ETF Index performance (5d): SPY +1.5%, DIA +2.0%, IWM +2.5%, QQQ +1.4%, TLT -3.6%. After the SPX has returned a bullish +6.1% over the last three weeks, equities looked a bit exhausted towards the end
More informationThe 25 Essential Investment Secrets I Passed On To My Son. AAII October, 2017
The 25 Essential Investment Secrets I Passed On To My Son AAII October, 2017 Gatis Roze MBA, Stanford Graduate School of Business ( 81) Silicon Valley entrepreneur turned individual investor Author, Tensile
More informationUS ETF Index performance (5d): SPY -1.9%, DIA -1.7%, IWM -1.7%, QQQ -2.1%, TLT -3.0%.
US ETF Index performance (5d): SPY -1.9%, DIA -1.7%, IWM -1.7%, QQQ -2.1%, TLT -3.0%. TTG Market View (9/10): What a way to end the week! The SPX falling 2.4% and closing on the lows. This marks the first
More informationMarket Recap. TTG Market View. US ETF Index performance (5d): SPY +1.0%, DIA +1.4%, IWM +1.3%, QQQ +2.0%, TLT -0.3%, GLD -1.4%
US ETF Index performance (5d): SPY +1.0%, DIA +1.4%, IWM +1.3%, QQQ +2.0%, TLT -0.3%, GLD -1.4% Market Recap US Equities broke out of their +1mo sideways pattern last week. QQQs led the SPX for the 4 th
More informationMarket Overview. Sector Overview
September 20, 2010 The Weekly ETF Report is based on ValuEngine Chief Market Strategist Richard Suttmeier's proprietary market analytics. Suttmeier combines his technical analysis expertise with ValuEngine's
More informationANALYSIS OF EQUITY MARKETS: A SPEARMAN RANK CORRELATION COEFFICIENT APPROACH
ANALYSIS OF EQUITY MARKETS: A SPEARMAN RANK CORRELATION COEFFICIENT APPROACH Item Type text; Electronic Thesis Authors CHEN, ZHAOREN Publisher The University of Arizona. Rights Copyright is held by the
More informationKEY ETF REPORT BY ASSET CLASS (US LISTED)
08/05/2015 < Last closing Date TOP/BOTTOM PERFORMERS 1 D (in $bn) 11/05/2015 < Current Date 10:49 PM CET (For US Listed ETF's, "today's" prices reflect last closing prices. For futures and spot FX, "today's"
More informationNavellier Tactical Portfolios
Navellier Tactical Portfolios Defensive ETF Portfolios Designed for All Market Cycles As of December 31, 2017 Please see important disclosures at end of presentation. Please see important disclosures at
More informationCase Study : Portfolio Theory
Case Study : Portfolio Theory Dr. Kempthorne October 24, 2013 Contents 1 Simulation: Two-Asset Portfolios 2 2 US Sector ETFs: 2009-2013 4 2.1 Mean, Variance, Correlation Statistics............... 4 2.2
More informationExchange-Traded Funds
Exchange-Traded Funds NORTH AMERICA MICHAEL JABARA Morgan Stanley Wealth Management Michael.Jabara@morganstanley.com +1 212 296-5101 JOHN DUGGAN Morgan Stanley Wealth Management John.Duggan@morganstanley.com
More informationUS ETF Index performance (5d): SPY -0.1%, DIA +0.4%, IWM +0.1%, QQQ -0.1%, TLT +1.1%.
US ETF Index performance (5d): SPY -0.1%, DIA +0.4%, IWM +0.1%, QQQ -0.1%, TLT +1.1%. US Indices ran out of steam last week as Brexit fears started to take shape. S&P futures (ESM6) hit major resistance
More informationORF 307: Lecture 12. Linear Programming: Chapter 11: Game Theory
ORF 307: Lecture 12 Linear Programming: Chapter 11: Game Theory Robert J. Vanderbei April 3, 2018 Slides last edited on April 3, 2018 http://www.princeton.edu/ rvdb Game Theory John Nash = A Beautiful
More informationThank you For Reading
Thank you For Reading Welcome to the FIFTH issue of the TradingFibz, LLC weekly supplemental newsletter. It is my hope that the newsletter will take on a new look and add in additional features to make
More informationETF Select List. A List of Prescreened Lower-Cost Exchange-Traded Funds. Tax-Loss Harvesting with ETFs HIGHLIGHTS: FOURTH QUARTER 2017
FOURTH QUARTER 2017 Also available at schwab.com/etfselectlist ETF Select List A List of Prescreened Lower-Cost Exchange-Traded Funds Tax-Loss Harvesting with ETFs ETFs have a reputation for tax efficiency,
More informationFocus on preservation of investor capital in down markets. Designed to put investor capital to work during sustained bull markets
A diversified portfolio including domestic equity, international, alternative, and fixed income components. ETF universe is ranked using a quantitative system based on market price anomalies and the direction
More informationHeather Stewart Project Coordinator Admin & Notary 1050 Northgate Dr. Suite 50 San Rafael, CA 94903
Ben Stewart Chief Investment Strategist 415-499-1544 Ben@stewartwealthmgt.com Jared Barnecut CERTIFIED FINANCIAL PLANNER 415-499-1559 Jared@stewartwealthmgt.com Heather Stewart Project Coordinator Admin
More informationDYNAMIC ALPHA STRATEGIES
DYNAMIC ALPHA STRATEGIES Upside Participation, Downside Management One International Place, Suite 1400, Boston, MA 02110 Phone: 617-535-7542 Email: info@julexcapital.com Web: www.julexcapital.com 1 1/1/2000
More informationIs It Really Possible To Outperform The Stock Market? Kevin Barry
Is It Really Possible To Outperform The Stock Market? Kevin Barry kevin@tradersandinvestorsclub.co.uk A Rising Tide Lifts All Yachts Warren Buffett What moves the price of a stock? Overall Market 50% Industry
More informationETF Landscape. Global overview of ETFs through the last decade. October 2010
FOR PROFESSIONAL INVESTORS. NOT FOR INVESTORS IN THE US OR CANADA. ETF Landscape Global overview of ETFs through the last decade October 2010 Deborah Fuhr, Managing Director Global Head of ETF Research
More informationThe 2016 Guide to Institutional ETF Ownership Sebastian Mercado, CFA
Deutsche Bank Markets Research North America United States Date Synthetic & Index Strategy Insights The 2016 Guide to Institutional Ownership Sebastian Mercado, CFA Welcome to Deutsche Bank's institutional
More informationFocus on preservation of investor capital in down markets. Designed to put investor capital to work during sustained bull markets
Portfolio A diversified 403(b) portfolio including domestic equity, international, alternative, and fixed income components. ETF universe is ranked using a quantitative system based on market price anomalies
More informationThank you For Reading
Thank you For Reading Welcome to the 7th issue of the TradingFibz, LLC weekly supplemental newsletter. Templates now available for purchase and added video each week. At some point in the near future,
More informationNavellier Tactical Portfolios
Navellier Tactical Portfolios Defensive ETF Portfolios Designed for All Market Cycles As of December 31, 2015 Please see important disclosures at end of presentation. For Financial Consultant Use Only
More informationHigh Probability ETF Trading For All
High Probability ETF Trading For All Version 2.10 Strategy Report Chris White, March 2014 Includes full year results 01/01/2009 to 12/31/13 And Last 3 months results (01/12/13 to 02/28/14) Contents Disclaimer...
More informationRollercoaster Ride Ahead
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 191 201 211 221 231 241 251 Rollercoaster Ride Ahead The Dow Jones Industrial Average reached a new high of 21,115.55 on March 1 st. With
More informationUpdate. UBS Tax-Optimized Active ETF MAP Opportunistic model 3Q2017
Update UBS Tax-Optimized Active ETF MAP Opportunistic model 3Q017 The quarter in review Equity markets broadly posted strong gains in the third quarter, essentially shrugging off North Korea's saberrattling,
More informationFocus on preservation of investor capital in down markets. Designed to put investor capital to work during sustained bull markets
A diversified portfolio including domestic equity, international, alternative, and fixed income components. ETF universe is ranked using a quantitative system based on market price anomalies and the direction
More informationLongRun Monthly Strategy Summary (11/30/2013) Commentary
Commentary U.S. equity markets continued to move higher in November while results were mixed in other areas. As we ve seen most of the year, diversification was a bad thing with the Global Diversified
More informationAre You Smarter Than. Monkey?
Are You Smarter Than Advanced Systems a Group Monkey? Course Syllabus 1 Questions from Last Week? How Are Our Stocks Doing? 2 Question of the Day What s the Difference Between Mid-Cap and Equal-Weight?
More informationHigh Probability ETF Trading For All
High Probability ETF Trading For All Version 2.7 Strategy Report Chris White, August 2012 Includes results to end of July 2012 Contents Disclaimer... 2 Summary... 3 The High Probability ETF Trading book
More informationHierarchical Hidden Markov Models in High-Frequency Stock Markets
Hierarchical Hidden Markov Models in High-Frequency Stock Markets Luis Damiano with Michael Waylandt and Brian Peterson R/Finance 2018 2018-06-02 R/Finance 2018 Chicago, IL 1/49 R/Finance 2018 Chicago,
More informationLeveling the Playing Field
Leveling the Playing Field Matt Hougan President Analytics & Publications ETF.com Dave Nadig Chief Investment Officer ETF.com 1 The ETF Revolution Is Just Getting Started 2 Bad Things Are Happening 3
More informationPursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 ( Act ), 1 and Rule
This document is scheduled to be published in the Federal Register on 08/03/2016 and available online at http://federalregister.gov/a/2016-18313, and on FDsys.gov 8011-01p SECURITIES AND EXCHANGE COMMISSION
More informationEXCHANGE-TRADED FUNDS (ETFS): NOW INDIVIDUALS CAN INVEST LIKE THE BIG PLAYERS
1 EXCHANGE-TRADED FUNDS (ETFS): NOW INDIVIDUALS CAN INVEST LIKE THE BIG PLAYERS Exchange-traded funds (ETFs) are one of the fastest-growing investments in the United States. Their rapid growth is all the
More informationORF 307: Lecture 3. Linear Programming: Chapter 13, Section 1 Portfolio Optimization. Robert Vanderbei. February 13, 2016
ORF 307: Lecture 3 Linear Programming: Chapter 13, Section 1 Portfolio Optimization Robert Vanderbei February 13, 2016 Slides last edited on February 14, 2018 http://www.princeton.edu/ rvdb Portfolio Optimization:
More informationPursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 ( Act ) 1, and Rule
This document is scheduled to be published in the Federal Register on 03/16/2016 and available online at http://federalregister.gov/a/2016-05854, and on FDsys.gov 8011-01p SECURITIES AND EXCHANGE COMMISSION
More informationPrepared by Jaime Johnson and Robert Miner Tuesday, Sept. 1, 2015
Prepared by Jaime Johnson and Robert Miner Tuesday, Sept. 1, 2015 Today s Video Update provides more detail of the current position and probable future trends and trade strategies. Weekly / Daily Charts
More informationETFs vs Single Stocks
ETFs vs Single Stocks Comparing alpha extraction in ETFs vs individual stocks Gaurav Chakravorty CIO at qplum www.qplum.co/events Disclosures: qplum LLC is a registered investment adviser. Information
More informationW. P. Carey School of Business
AMENTAL W. P. Carey School of Business Undergraduate Semi-Annual Meeting December 3rd, 2010 1 Today s Agenda Undergraduate AMENTAL Team introduction & fund objectives Investment selection performance Risk
More informationUndergraduate Student Investment Management Fund
Undergraduate Student Investment Management Fund Semi-Annual Presentation Friday, April 20, 2012 1 Fund Members Fund Managers Michael Cohn Rima Reddy Steven Kutos Fund Analysts Michael Ham Aaron Baker
More informationNYSE Select Sector Equal Weight Index
NYSE Select Sector Equal Weight Index Version 1.0 Valid from September 29, 2017 Table of contents Version History... 1 1. Index summary... 2 2. Governance and Disclaimer... 3 3. Publication... 5 3.1 The
More informationTop Down Analysis Success Demands Singleness of Purpose
Chapter 9 Top Down Analysis Success Demands Singleness of Purpose Armed with a little knowledge about the stock and options market as well as a desire to trade, many new traders are faced with the daunting
More informationRelative Strength + Systematic Trend Identification = Market Beating, Absolute Returns
Robert W. Colby Asset Management The Relentless Pursuit of Higher Returns Relative Strength + Systematic Trend Identification = Market Beating, Absolute Returns Robert W. Colby, CMT Chief Investment Strategist
More informationW. P. Carey School of Business
W. P. Carey School of Business Undergraduate Fund Semi-Annual Meeting April 29 th, 2011 1 Today s Agenda Team ti Review of Strategy Portfolio Performance s 2 Team Fund Manager Fundamental Analysts Tyler
More informationQuantopian Risk Model Abstract. Introduction
Abstract Risk modeling is a powerful tool that can be used to understand and manage sources of risk in investment portfolios. In this paper we lay out the logic and the implementation of the Quantopian
More informationDynamic. Momentum Trading. Monty Pelerin. Developed by
Dynamic Momentum Trading Developed by Monty Pelerin P a g e 1 Visit Monty Pelerin s World Or Email: montypelerin@gmail.com P a g e 2 TABLE OF CONTENTS SUMMARY AND DISCLAIMER... 4 EXECUTIVE SUMMARY... 4
More informationBig Data Analytics of Financial Strategies
2015 IEEE Symposium Series on Computational Intelligence Big Data Analytics of Financial Strategies Kabaji Egara Department of Computing University of Bradford West Yorkshire, United Kingdom kabajiegara@live.com
More informationA sampling of research & data on exchange traded funds from AltaVista Research
A sampling of research & data on exchange traded funds from AltaVista Research In this week's issue: Chart of the week: Nuclear vs. Clean Energy ETFs Fund Focus: ishares S&P Global Nuclear Energy (NUCL)...
More informationMulti-Asset Income. Newfound Case ID: December 2015
Multi-Asset Income Newfound Case ID: 4173689 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound Research was founded based on a simple, but powerful, premise:
More informationTACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM
TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM FEBRUARY 2, 2015 LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye
More informationTactical Investing Basics: Absolute Return Strategies, Over a Full Market Cycle
Tactical Investing Basics: Absolute Return Strategies, Over a Full Market Cycle Presented by: Laif E. Meidell, CMT President American Wealth Management laif@financialhealth.com 775-332-7000 Disclaimers
More informationJanuary 31, 2015 (as amended October 8, 2015)
Prospectus The Consumer Discretionary Select Sector SPDR Fund (XLY) The Consumer Staples Select Sector SPDR Fund (XLP) The Energy Select Sector SPDR Fund (XLE) The Financial Select Sector SPDR Fund (XLF)
More informationAlpha/Beta Series: Sector Strategies
Alpha/Beta Series: Sector Strategies Live Webinar June 14 2PM EST Sponsored by: Today s Webinar: Alpha/Beta Mebane Faber Chief Investment Office Cambria Matt Hougan President, ETF Analytics Global Head
More informationProspectus. January 31, 2012
Prospectus The Consumer Discretionary Select Sector SPDR» Fund (XLY) The Consumer Staples Select Sector SPDR» Fund (XLP) The Energy Select Sector SPDR» Fund (XLE) The Financial Select Sector SPDR» Fund
More informationHead Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders. Exchange-Traded Fund Symbol CUSIP #
Information Circular: Fidelity Covington Trust To: From: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders NASDAQ / BX / PHLX Listing Qualifications
More informationVanguard Financials ETF
Vanguard Financials ETF Supplement to the Prospectus Dated December 15, 2010 Prospectus Text Changes The text and table under the heading Fees And Expenses are replaced with the following: The following
More informationSELECT YOUR SECTORS. Respond to Market Cycles with Agility and Precision
SELECT YOUR SECTORS Respond to Market Cycles with Agility and Precision ECONOMIC CYCLES & SECTORS The economy moves in cycles. Specific sectors may outperform or underperform during different phases, driven
More informationUS Index performance (5d): SPX +2.3%, DJIA +2.1%, RTY +3.4%, NDX +3.4%, TLT -0.2%.
US Index performance (5d): SPX +2.3%, DJIA +2.1%, RTY +3.4%, NDX +3.4%, TLT -0.2%. The week ended with Fed Chair Janet Yellen confirming during an interview at Harvard University that a rate increase may
More informationTACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM
TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM JANUARY 15, 2015 LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye
More informationTACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM
TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM JANUARY 8, 2015 LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye
More informationBuilding a Portfolio of ETFs to exploit negative Autocorrelation. Chrilly Donninger Chief Scientist, Sibyl-Project Sibyl-Working-Paper, September 2016
Building a Portfolio of ETFs to exploit negative Autocorrelation. Chrilly Donninger Chief Scientist, Sibyl-Project Sibyl-Working-Paper, September 2016 http://www.godotfinance.com/ Both cheap value stocks
More informationTACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM
TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM JANUARY 7, 2015 LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye
More information