ANALYSIS OF EQUITY MARKETS: A SPEARMAN RANK CORRELATION COEFFICIENT APPROACH
|
|
- Nora Quinn
- 6 years ago
- Views:
Transcription
1 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 author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author. Download date 28/06/ :29:01 Link to Item
2 1 ANALYSIS OF EQUITY MARKETS: A SPEARMAN RANK CORRELATION COEFFICIENT APPROACH By ZHAOREN CHEN A Thesis Submitted to The Honors College In Partial Fulfillment of the Bachelor s degree With Honors in Finance THE UNIVERSITY OF ARIZONA MAY 2016 Approved by: Mr. Arvind Singh Department of Finance
3 2 Contents 1 Abstract Introduction Background on Equity Markets Market Index Sectors ETF in the S&P Assumptions Methods from the Paper (Source [3]) Data Collection Analysis Test Conclusion Reference
4 3 1. Abstract In this honors thesis, I attempted to develop an investment strategy to analyze the U.S. stock market by studying the correlations between nine sectors defined by the Select Sector Standard & Poor s Depository Receipts (SPDR). These funds are a group of exchange-traded funds (ETFs) which are traded worldwide and can adequately represent the performance of the sectors. Through my method, I hope to identify the sector trends in the future by evaluating the sector ETF s most recent short-term period data. This analysis will provide an alternate investment method for investors to avoid short-term investment risk as well as explanations of why I think the approach may not be valid. 2. Introduction As an inspiration from Analysis of Equity Markets: A Graph Theory Approach [1], a paper that my math team completed for our course project, I followed the similar procedures and utilized nine sector ETFs data from January 1, 2008 to December 31, 2015 to compute the correlations between each two sectors. The reason I only analyzed nine sector ETFs instead of normal ten sector ETFs is that the S&P Telecommunications sector ETF does not have trading data before Jan 27, 2011 [2]. From what I learned in my finance courses, many approaches had been developed to evaluate the stock market, such as macroeconomic analysis, fundamental stock analysis, and technical stock analysis. Although people are able to access all the help from different valuation techniques that created for equities markets, it is still an incredibly difficult task to minimize the short-term risk for equity selection. Therefore, more and more people switch to ETF investing because of its low expense ratios, instant diversification, and high tax efficiency. In this honor thesis, by following the method of Shirokikh, Pastukhov et al. [3], which utilized Spearman rank correlation as a measurement of similarity between stocks, I explored an
5 4 efficient way to define the correlations between sector ETFs and tried to discover a new method to analyze the stock market. 3. Background on Equity Markets 3.1 Market Index A market index is an aggregate value produced by combining several stocks or other investment vehicles together [4]. It is intended to represent an entire stock market, and its value is useful for investors to track changes in market values over a long period of time. Some examples are S&P 500, Dow, and Nasdaq. In this honors thesis, I focus on the S&P 500 because it has been widely utilized in stock market valuation, and it is one of the most important leading indicators of the U.S. equities. 3.2 Sectors ETF in the S&P 500 A sector ETF is a marketable security that tracks a basket of stocks in the same sector as an index fund. The advantage of using sector ETFs as the building blocks of a portfolio is that they can provide for finer tuning of a portfolio versus a broad-based ETF [5]. Also, in helping investors save money, sector ETFs offer low turnover and broad diversification. In addition, when people are trading large volumes of sector ETFs, they can redeem them for the shares of stocks that the ETFs track. This arrangement is able to minimize the tax implications for the investor exchanging the sector ETFs because the investor can defer most taxes until the investment is sold [6]. However, compared to the broad-based ETFs of which they are a part, the trading cost tends to be more expensive for sectors ETFs because the bid-ask spread widens on the more thinly traded sector ETFs. Cxoadvisory website [2] provided me a total nine sectors ETFs to analyze, and some examples include in the S&P 500 are Energy, Consumer Discretionary, and Consumer Staples.
6 5 The idea of sectors ETFs is crucial in my project goal because it helps to reduce my analysis to seek which parts of the market are most connected instead of focusing on the relationships between each stock. 4. Assumptions Before analyzing the sector strength, the following two assumptions are necessary to be mentioned: The financial market is efficient, which means market information is available to all participants at any given time, and everything relevant to the value of a sector ETF is discounted and reflected in its share price. This assumption provides me the capability to use technical analysis to analyze each sector. Trends sometimes appear in share price moves and when once started, these trends tend to persist. There is a correlation between the performances of every two sectors. 5. Methods from the Paper (Source [3]) In the Shirokikh, Pastukhov et al. paper [3], the authors use the Spearman Rank correlation coefficient to measure of similarity between stocks, which is denoted rxy, and it is defined in the following way: Figure 1 [7]
7 6 The above correlation is a nonparametric measure of statistical dependence between two variables [8]. In my project, they are two sectors ETFs. The Spearman Rank correlation coefficient assesses how well the relationship between two ranked time series, and it can be described using a monotonic function. If there are no repeated data values, a perfect Spearman correlation takes on any value in the interval [ 1, 1], where a correlation of 1 is a 100% direct correlation, a correlation of 1 is a 100% inverse correlation, and a correlation of 0 represents no correlation [1]. After reading the Shirokikh, Pastukhov et al. paper [3], I decided to use the Spearman correlation since this methodology will provide me a solid groundwork on computing correlations. 6. Data Collection I extracted data from Cxoadvisory website for the nine sector ETFs data that appeared in the S&P 500 from January 1, 2008 to December 31, Then, by using the daily adjust close price, I computed daily percentage return for each sector ETFs. After subtracting the average daily percentage return of sector ETFs from daily percentage return sector ETFs, I received the difference between the average daily percentage return from 2008 to 2015 and the daily percentage return of sector ETFs. Later, I summed the square of the differences and finished calculating half part of the denominator in the Spearman Rank correlation coefficient formula (Figure 2).
8 7 Date Adj Close Percentage Average Adj - Average Square (Adj - Average) Sum 2015/12/ /12/ E /12/ /12/ E /12/ E /12/ E /12/ E /12/ E /12/ /12/ /12/ Figure 2 At the end, I followed the Spearman Rank correlation coefficient formula to calculate the correlations between each sector ETF and received a correlation graph (Figure 3), which provide me a more visual way to see how each sector ETF (the same as each sector) is interacting with each other. Sector/Correlation Energy Industrial Consumer Staples Utilities Financial Technology Consumer Discretionary Health Care Materials Energy Industrial Consumer Staples Utilities Financial Technology Consumer Discretionary Health Care Materials Figure 3
9 8 7. Analysis By following the Spearman Rank correlation coefficient formula in Figure 1, I found an alternative method to reduce short-term investment risk by reverse engineering. In order to demonstrate my approach, I need to find the average percentage return for the nine sectors ETFs (Figure 4). Sector ETF Average Percentage Return (1/1/ /31/2015) Energy (XLE) Industrial (XLI) Consumer Staples (XLP) Utilities (XLU) Financial (XLF) Technology (XLK) Consumer Discretionary (XLY) Materials (XLB) Health Care (XLV) Figure 4 First, assuming I have two sector s (for example energy and finance) daily performance for one month (for example April 1 st, 2016 to April 30 th, 2016), which will be x1, x2 x30 and y1, y2 y30 in the formula. Then, applying the Spearman Rank correlation coefficient formula and using the average percentage return for the energy sector ETF in Figure 4 ( ), I am able to calculate the 30-days short-term average percentage return of ӯ for the finance sector. By comparing ӯ to , I will have a clear understanding of the performance of the finance sector in the future. If ӯ is higher than , it indicates an upward trend for the finance sector and a high potential for investment. Otherwise, it provides a downward trend for the sector performance as well as a negative sign for the investment.
10 9 8. Test In order to prove the validity of my short-term investment strategy, I planned to test it by extracting data from January 1, 2008 to December 31, 208 from the source 2 for all nine sectors. Then, I inputted 252 daily percentage returns for these nine sectors into Mathematica (Figure 5) and received total 18 different ӯs (Figure 6-13). Figure 5
11 10 ӯ computed from Financial ETF and Energy ETF Figure 6 ӯ computed from Financial ETF and Industrial ETF Figure 7
12 11 ӯ computed from Financial ETF and Consumer Staples ETF Figure 8
13 12 ӯ computed from Financial ETF and Utilities ETF Figure 9 ӯ computed from Financial ETF and Technology ETF Figure 10
14 13 ӯ computed from Financial ETF and Consumer Discretionary ETF Figure 11 ӯ computed from Financial ETF and Health Care ETF Figure 12
15 14 ӯ computed from Financial ETF and Materials ETF Figure 13 In Figure 6 and Figure 13, the values of both ӯs I received are complex numbers, which will not be concerned as valid ӯs in my project. Then, by averaging the other 12 ӯs, I received the difference between the average ӯ and the average financial ETF percentage return: (Figure 14), which indicates an upward trend of financial ETF in yb1 yb2 yb computed from Financial ETF and Industrial ETF yb computed from Financial ETF and Consumer Staples ETF yb computed from Financial ETF and Utilities ETF yb computed from Financial ETF and Technology ETF yb computed from Financial ETF and Consumer Discretionary ETF yb computed from Financial ETF and Health Care ETF Average yb1 and Average yb Average (yb1 and yb2) = A Average Financial ETF Percentage Return (1/1/ /31/2015) = B A - B Figure 14
16 15 In addition, if I only average the ӯs I computed between the Financial sector ETF with another sector ETF, I am able to discover that the average ӯ calculated from the Financial sector ETF and the Hearth Care sector ETF indicates the highest percentage return of the Financial sector ( ). In addition, the average ӯ calculated from the Financial sector ETF and the Consumer Discretionary sector ETF points out the lowest percentage return of the Financial sector ( ) (Figure 15). By taking the absolute value of the difference between the computed ӯ of the Financial sector ETF and other sector ETFs average percentage return (from 2008 to 2016), the difference between the Financial sector ETF and the Hearth Care sector ETF has the highest absolute value ( ), and the difference between the Financial sector ETF and the Consumer Discretionary sector ETF has the lowest absolute value ( ). Moreover, in Figure 3, it shows that Financial ETF and Hearth Care ETF have the lowest correlation (0.6299) among the correlations between the Financial sector ETF and other sector ETFs, and the Financial ETF and the Consumer Discretionary ETF have the highest correlation (0.8095) among the correlations between the Financial sector ETF and other sector ETFs. This observation demonstrates that when two sectors are highly correlated, the difference between their average percentage returns will be low, and vice versa. Yb Computer from Fin ETF Avg Pct Return (yb1 and yb2) = C Other Sector ETF Avg Pct Return = D C - D yb computed from Financial ETF and Industrial ETF yb computed from Financial ETF and Consumer Staples ETF yb computed from Financial ETF and Utilities ETF yb computed from Financial ETF and Technology ETF yb computed from Financial ETF and Consumer Discretionary ETF yb computed from Financial ETF and Health Care ETF Figure 15
17 16 9. Conclusion After researching and looking at the sector performance in 2008 [9], I realized that the annual percentage return on the financial sector declined tremendously during the recession period, which contradicted what I received from my approach. Therefore, it illustrates that my approach may not be valid and further demonstrates the limitation of pure technical analysis for the U.S. stock market. However, if I am able to define which ӯ to choose instead of taking the average of ӯs in each equation, or if I reduce the test period from twelve months to three months (from September 1, 2008 to December 31, 2008), my investment strategy may work.
18 17 References [1] Abrams, R., Alcala, J., Baldwin, D., Gonda, R., and Chen, Z. (2016, May). Analysis of Equity Markets: A Graph Theory Approach. 4. [2] (2016, January 5). Sector Performance by Calendar. Retrieved from [3] Shirokikh, O., Pastukhov G., Boginski V., and Butenko, S. (2013, January 8). Computational study of the US stock market evolution: a rank correlation-based network model. Computational Management Science Comput Manag Sci, 10, [4] Market Index. Retrieved from [5] Hawkins, K. An Introduction To Sector ETFs. Retrieved from [6] McWhinney, J. The Benefits Of ETF Investing. Retrieved from [7] Correlation. Retrieved from [8] Spearman's rank correlation coefficient. Retrieved from [9] SECTOR RETURNS by Year *. Retrieved from sources/10%20year%20sector%20returns
Head 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 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 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 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 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 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 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 informationVANECK VECTORS BIOTECH ETF (BBH)
VANECK VECTORS BIOTECH ETF (BBH) $132.32 USD Risk: High Zacks ETF Rank 1 - Strong Buy Fund Type Issuer Benchmark Index Health Care ETFs VAN ECK MVIS US LISTED BIOTECH 25 INDEX BBH Sector Weights Date of
More informationVANGUARD DIVIDEND APPREC ETF (VIG)
VANGUARD DIVIDEND APPREC ETF (VIG) $112.45 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Large Cap ETFs VANGUARD NASDAQ US DIVIDEND ACHIEVERS SELECT INDX VIG Sector Weights Date
More informationEvaluating S&P 500 Sector ETFs Using Risk-Adjusted Performance Measures
Journal of Finance, Accounting and Management, 5(1), 48-62, Jan 2014 48 Evaluating S&P 500 Sector ETFs Using Risk-Adjusted Performance Measures Onur Arugaslan Associate Professor of Finance State Farm
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 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 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 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 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. 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 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 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 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 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 informationISHARES INTERNATIONAL SELECT DIV ETF (IDV)
ISHARES INTERNATIONAL SELECT DIV ETF (IDV) Risk: Med Zacks ETF Rank NA $31.19 USD Fund Type Issuer Benchmark Index Broad Developed World ETFs BLACKROCK DOW JONES EPAC SELECT DIVIDEND INDEX IDV Sector Weights
More informationISHARES NASDAQ BIOTECHNOLOGY ETF (IBB)
ISHARES NASDAQ BIOTECHNOLOGY ETF (IBB) $109.44 USD Risk: High Zacks ETF Rank 2 - Buy Fund Type Issuer Benchmark Index Health Care ETFs BLACKROCK NASDAQ BIOTECHNOLOGY INDEX IBB Sector Weights Date of Inception
More informationUTILITIES SELECT SECTOR SPDR FUND (XLU)
UTILITIES SELECT SECTOR SPDR FUND (XLU) $53.06 USD Risk: Med Zacks ETF Rank 5 - Strong Sell Fund Type Issuer Benchmark Index Utilities/Infrastructure ETFs STATE STREET GLOBAL ADVISORS UTILITIES SELECT
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 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 informationISHARES GLOBAL 100 ETF (IOO)
ISHARES GLOBAL 100 ETF (IOO) $46.23 USD Risk: Low Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index World ETFs BLACKROCK S&P GLOBAL 100 INDEX IOO Sector Weights Date of Inception 12/05/2000 AUM
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. 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. 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. 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 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 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 informationVANGUARD HIGH DIVIDEND YIELD ETF (VYM)
VANGUARD HIGH DIVIDEND YIELD ETF (VYM) $87.98 USD Risk: Med Zacks ETF Rank 2 - Buy Fund Type Issuer Benchmark Index Large Cap ETFs VANGUARD FTSE HIGH DIVIDEND YIELD INDEX VYM Sector Weights Date of Inception
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 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 informationISHARES MSCI GERMANY ETF (EWG)
ISHARES MSCI GERMANY ETF (EWG) $27.48 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index European Equity ETFs BLACKROCK MSCI GERMANY INDEX EWG Sector Weights Date of Inception 03/12/1996
More informationRelative Rotation Graphs (RRG Charts)
Relative Rotation Graphs (RRG Charts) Introduction Relative Rotation Graphs or RRGs, as they are commonly called, are a unique visualization tool for relative strength analysis. Chartists can use RRGs
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 informationMUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008
MUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008 by Asadov, Elvin Bachelor of Science in International Economics, Management and Finance, 2015 and Dinger, Tim Bachelor of Business
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 informationISHARES NASDAQ BIOTECHNOLOGY ETF (IBB)
ISHARES NASDAQ BIOTECHNOLOGY ETF (IBB) $106.77 USD Risk: High Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Health Care ETFs BLACKROCK NASDAQ BIOTECHNOLOGY INDEX IBB Sector Weights Date of Inception
More informationHEALTH CARE SELECT SECTOR SPDR FUND (XLV)
HEALTH CARE SELECT SECTOR SPDR FUND (XLV) $85.30 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Health Care ETFs STATE STREET GLOBAL ADVISORS HEALTH CARE SELECT SECTOR INDEX XLV
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 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 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 informationUse of ETFs in Active Investing
Use of ETFs in Active Investing Hardik Patel QPLUM www.qplum.co Disclosures: qplum LLC is a registered investment adviser. Information presented is for educational purposes only and does not intend to
More informationGUGGENHEIM S&P 500 PURE VALUE ETF (RPV)
GUGGENHEIM S&P 500 PURE VALUE ETF (RPV) $67.70 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Large Cap ETFs GUGGENHEIM FUNDS S&P 500 PURE VALUE INDEX RPV Sector Weights Date of
More informationRisk: N/A Zacks ETF Rank N/A - BIB Sector Weights. Price Chart
November 24, 2016 PROSHARES ULTRA NASDAQ BIOTECHNOLOGY (BIB) $45.89 Risk: N/A Zacks ETF Rank N/A - Fund Type Issuer Healthcare - Biotech PROFUNDS GROUP BIB Sector Weights Benchmark Index NASDAQ BIOTECHNOLOGY
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 informationVantage 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 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 informationSPOTTING TRENDS. Sectors & Industries
Sectors & Industries SPOTTING TRENDS Q4 2017 With each ebb and flow in the market, trends emerge that present opportunities for investors provided they have the necessary tools for action. Because firms
More informationVANGUARD INFORMATION TECH ETF (VGT)
VANGUARD INFORMATION TECH ETF (VGT) $166.30 USD Risk: Med Zacks ETF Rank 2 - Buy Fund Type Issuer Benchmark Index Technology ETFs VANGUARD MSCI US INVESTABLE MRKT INFO TECH 25/50 VGT Sector Weights Date
More informationISHARES RUSSELL 2000 ETF (IWM)
ISHARES RUSSELL 2000 ETF (IWM) $159.81 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Small Cap ETFs BLACKROCK RUSSELL 2000 INDEX IWM Sector Weights Date of Inception 05/22/2000
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 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 informationDIREXION DAILY SMALL CAP BULL 3X SHARES (TNA)
DIREXION DAILY SMALL CAP BULL 3X SHARES (T) $78.96 USD Risk: High Zacks ETF Rank Fund Type Issuer Benchmark Index Leveraged Equity ETFs DIREXION RUSSELL 2000 INDEX T Sector Weights Date of Inception 11/05/2008
More informationIEO Sector Weights. Price Chart
December 02, 2016 ISHARES US OIL-GAS EXPLORATION- PRODUCTN (IEO) $65.87 Risk: High Zacks ETF Rank 3 - Hold 3 Fund Type Issuer Energy - Exploration BLACKROCK IEO Sector Weights Benchmark Index DJ US SELECT
More informationCEO Cash Compensation and Earnings Quality
CEO Cash Compensation and Earnings Quality Item Type text; Electronic Thesis Authors Chen, Zhimin Publisher The University of Arizona. Rights Copyright is held by the author. Digital access to this material
More informationVANGUARD TOTAL WORLD STOCK ETF (VT)
VANGUARD TOTAL WORLD STOCK ETF (VT) $71.53 USD Risk: Low Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index World ETFs VANGUARD FTSE GLOBAL ALL CAP INDEX VT Sector Weights Date of Inception 06/24/2008
More informationThe Role of Industry Affiliation in the Underpricing of U.S. IPOs
The Role of Industry Affiliation in the Underpricing of U.S. IPOs Bryan Henrick ABSTRACT: Haverford College Department of Economics Spring 2012 This paper examines the significance of a firm s industry
More informationTECHNOLOGY SELECT SECTOR SPDR FUND (XLK)
TECHNOLOGY SELECT SECTOR SPDR FUND (XLK) $63.35 USD Risk: Med Zacks ETF Rank 2 - Buy Fund Type Issuer Benchmark Index Technology ETFs STATE STREET GLOBAL ADVISORS TECHNOLOGY SELECT SECTOR INDEX XLK Sector
More informationSPDR S&P DIVIDEND ETF (SDY)
SPDR S&P DIVIDEND ETF (SDY) $96.36 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Large Cap ETFs STATE STREET GLOBAL ADVISORS S&P HIGH YIELD DIVIDEND ARISTOCRATS INDE SDY Sector
More informationINFORMATION CIRCULAR: INNOVATOR ETFS TRUST
INFORMATION CIRCULAR: INNOVATOR ETFS TRUST TO: FROM: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders Nasdaq / BX / PHLX Listing Qualifications Department
More informationActively Managed Exchange Traded Funds: Risk Modeling As An Enabling Technology
Actively Managed Exchange Traded Funds: Risk Modeling As An Enabling Technology ABSTRACT BACKGROUND Mutual funds allow investors to trade in a variety of assets in a single investment vehicle. For example,
More informationISHARES TRANSPORTATION AVERAGE ETF (IYT)
ISHARES TRANSPORTATION AVERAGE ETF (IYT) $190.19 USD Risk: High Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Industrials ETFs BLACKROCK DOW JONES TRANSPORTATION AVERAGE INDEX IYT Sector Weights
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 informationSPDR GOLD SHARES (GLD)
SPDR GOLD SHARES (GLD) $118.48 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Precious Metals ETFs WORLD GOLD TRUST SRVS GOLD BULLION GLD Sector Weights Date of Inception 11/18/2004
More informationVANGUARD REAL ESTATE ETF (VNQ)
VANGUARD REAL ESTATE ETF (VNQ) $81.68 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Real Estate ETFs VANGUARD MSCI US INVESTABLE MKT REAL EST 25/50 ID VNQ Sector Weights Date of
More informationSharpe-optimal SPDR portfolios
Sharpe-optimal SPDR portfolios or How to beat the market and sleep well at night by Vic Norton Bowling Green State University Bowling Green, Ohio 43402-2223 USA mailto:vic@norton.name http://vic.norton.name
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 informationOptimal Debt-to-Equity Ratios and Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2014 Optimal Debt-to-Equity Ratios and Stock Returns Courtney D. Winn Utah State University Follow this
More information20,000 - Check, What s next?
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 20,000 - Check, What s next? The Dow Jones Industrial Average crossed the psychological 20,000 barrier on January
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 informationSelecting Portfolios for SectorSurfer Strategies
Selecting Portfolios for SectorSurfer Strategies Don Kinell September 16 th, 2013 1 Review How SectorSurfer is Useful to an Investor 1. Demonstrates the effects of : Rotation to best trending Mutual Fund,
More informationMinimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired
Minimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired February 2015 Newfound Research LLC 425 Boylston Street 3 rd Floor Boston, MA 02116 www.thinknewfound.com info@thinknewfound.com
More informationInvestment Plan for SPA3ETF USA Equal Weighting Public Portfolio
Investment Plan for SPA3ETF USA Equal Weighting Public Portfolio 1 MISSION STATEMENT To actively continue to manage a SPA3ETF USA Equal Weighting Public Portfolio with limited drawdown and maximum portfolio
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 informationDIREXION DAILY SMALL CAP BULL 3X SHARES (TNA)
DIREXION DAILY SMALL CAP BULL 3X SHARES (T) $88.65 USD Risk: High Zacks ETF Rank Fund Type Issuer Benchmark Index Leveraged Equity ETFs DIREXION RUSSELL 2000 INDEX T Sector Weights Date of Inception 11/05/2008
More informationUsing Sector Information with Linear Genetic Programming for Intraday Equity Price Trend Analysis
WCCI 202 IEEE World Congress on Computational Intelligence June, 0-5, 202 - Brisbane, Australia IEEE CEC Using Sector Information with Linear Genetic Programming for Intraday Equity Price Trend Analysis
More informationVANGUARD REIT ETF (VNQ)
VANGUARD REIT ETF (VNQ) $78.71 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Real Estate ETFs VANGUARD MSCI US REIT INDEX VNQ Sector Weights Date of Inception 09/23/2004 AUM (million)
More informationModern Portfolio Theory The Most Diversified Portfolio
WallStreetCourier.com Research Paper Modern Portfolio Theory 2.0 - The Most Diversified Portfolio This article was published and awarded as Editor's Pick on Seeking Alpha on Nov. 28th, 2012 www.wallstreetcourier.com
More informationQuantitative Strategy Development in R. R/Finance Chicago 2011 Brian G. Peterson
Quantitative Strategy Development in R R/Finance Chicago 2011 Brian G. Peterson brian@braverock.com Trade Simulation Tool Chain Manage Data Evaluate Data Determine Trades Size Trades Performance Analyze
More informationReality Shares DIVCON Leaders Dividend ETF LEAD (Cboe BZX Exchange)
Reality Shares DIVCON Leaders Dividend ETF LEAD (Cboe BZX Exchange) SUMMARY PROSPECTUS February 28, 2018 Before you invest in the Fund, as defined below, you may want to review the Fund s prospectus and
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 informationISHARES MORTGAGE REAL ESTATE ETF (REM)
ISHARES MORTGAGE REAL ESTATE ETF (REM) $43.14 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index Real Estate ETFs BLACKROCK FTSE NAREIT ALL MORTGAGE CAPPED INDEX REM Sector Weights
More informationVANGUARD FTSE EUROPE ETF (VGK)
VANGUARD FTSE EUROPE ETF (VGK) $52.63 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index European Equity ETFs VANGUARD FTSE DEVELOPED EUROPE ALL CAP INDEX VGK Sector Weights Date of
More informationLIQUIDITY EXTERNALITIES OF CONVERTIBLE BOND ISSUANCE IN CANADA
LIQUIDITY EXTERNALITIES OF CONVERTIBLE BOND ISSUANCE IN CANADA by Brandon Lam BBA, Simon Fraser University, 2009 and Ming Xin Li BA, University of Prince Edward Island, 2008 THESIS SUBMITTED IN PARTIAL
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 informationSwan Defined Risk Fund. Swan Defined Risk Emerging Markets Fund
Swan Defined Risk Fund Class A Shares SDRAX Class C Shares SDRCX Class I Shares SDRIX Swan Defined Risk Emerging Markets Fund Class A Shares SDFAX Class C Shares SDFCX Class I Shares SDFIX PROSPECTUS December
More informationSPOTTING TRENDS. Sectors & Industries
Sectors & Industries SPOTTING TRENDS Q1 2019 With each ebb and flow in the market, trends emerge that present opportunities for investors provided they have the necessary tools for action. Because firms
More informationChapter 18: The Correlational Procedures
Introduction: In this chapter we are going to tackle about two kinds of relationship, positive relationship and negative relationship. Positive Relationship Let's say we have two values, votes and campaign
More informationFAS Monthly Economic & Market Update
FAS Monthly Economic & Market Update December 2016 As of Nov 30, 2016 Copyright 2016 Financial Advisory Service, Inc. 1 Contents Economic Conditions 3 Market Conditions 4 A Leg-Up for Active Management?.....
More informationQ U.S. Sector. (888)
Q1 2018 U.S. Sector www.westendadvisors.com info@westendadvisors.com (888) 500-9025 1 WestEnd Advisors Overview The cornerstone of our investment process is that the macroeconomic environment is a key
More informationQ U.S. Sector. (888)
Q4 2018 U.S. Sector www.westendadvisors.com info@westendadvisors.com (888) 500-9025 1 WestEnd Advisors Overview The cornerstone of our investment process is that the macroeconomic environment is a key
More informationSPDR S&P 500 ETF (SPY)
SPDR S&P 500 ETF (SPY) $276.18 USD Risk: Med Zacks ETF Rank 2 - Buy Fund Type Issuer Benchmark Index Large Cap ETFs STATE STREET GLOBAL ADVISORS S&P 500 INDEX SPY Sector Weights Date of Inception 01/29/1993
More informationInternational Comparisons of Corporate Social Responsibility
International Comparisons of Corporate Social Responsibility Luís Vaz Pimentel Department of Engineering and Management Instituto Superior Técnico, Universidade de Lisboa June, 2014 Abstract Companies
More informationThe Yield Curve WHAT IT IS AND WHY IT MATTERS. UWA Student Managed Investment Fund ECONOMICS TEAM ALEX DYKES ARKA CHANDA ANDRE CHINNERY
The Yield Curve WHAT IT IS AND WHY IT MATTERS UWA Student Managed Investment Fund ECONOMICS TEAM ALEX DYKES ARKA CHANDA ANDRE CHINNERY What is it? The Yield Curve: What It Is and Why It Matters The yield
More informationINFORMATION CIRCULAR: ALPS ETF TRUST
INFORMATION CIRCULAR: ALPS ETF TRUST TO: FROM: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders BX / PHLX Listing Qualifications Department DATE:
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 information