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Using Implied Volatility to Predict Equity/ETF Returns

During a discussion with an knowledgeable options trader, I was told the significance of interpreting the "Implied Volatility Skew" for stocks and given a paper to read for homework. To get a basic understanding of Implied Volatility Skew see this link here. The paper I was told to read was "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. In their paper they show empirically, using their SKEW measure, allowed one to p

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/02/16)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (1/02/2016)

LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/26/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/26/2015)

LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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GET FREE FINANCIAL DATA W/ PYTHON (EARNINGS ESTIMATES-FROM YAHOO FINANCE)

Today I present a simple function to extract Earnings Estimates from Yahoo Finance. If you have any questions feel free to leave it in the comments. This code uses Python 3 on Windows 8.1 but could be easily adapted for Python 2 by changing the 'urllib' import. First we import the necessary packages into our programming environment. I also suppress warnings for the deprecation warning for the Pandas "Dataframe.convert_objects()"method within the scraper function that follows. This function t

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/19/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/19/2015)

LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: LAST 252 TRADING DAYS Click here for help understanding this chart Click here for help understanding this chart Click here

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/13/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/13/2015)

LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) Composite ETF Cumulative Return Tables Notable Trends and Observations COMPOSITE ETF COMPONENTS: YEAR-TO-DATE LAST 247 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Char

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (12/06/15)

WHAT IS THE "IMPLIED COST OF CAPITAL (ICC)" MODEL? “In accounting and finance the implied cost of equity capital (ICC)—defined as the internal rate of return that equates the current stock price to discounted expected future dividends—is an increasingly popular class of proxies for the expected rate of equity returns. ” — CHARLES C. Y. WANG; an assistant professor of business administration in the Accounting and Management Unit at Harvard Business School The basic concept of the ICC model is

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (12/06/2015)

LAYOUT (Organized by Time Period): Composite ETF Cumulative Returns Momentum Bar plot and associated Tables Composite ETF Cumulative Returns Line plot Composite ETF Risk-Adjusted Returns Scatter plot (Std vs Mean) Composite ETF Risk-Adjusted Return Correlations Heatmap (Clusterplot) COMPOSITE ETF COMPONENTS: YEAR-TO-DATE LAST 242 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart Clic

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