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A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 1.5)

In Part 1 of this series I shared a simple strategy which showed outsized performance relative to the SPY ETF since 2009. I made a small error in the implementation. The previous portfolio was not rebalanced according to a risk-parity framework. It was actually the inverse. The strategy was rebalanced such that the ETF responsible for the highest percentage of the portfolio's volatility was weighted more heavily! Surprisingly this error did nothing to substantially alter the performance of the p

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (4/09/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by fol

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/09/2016)

Blog RSS FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE 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) Implied Cost of Capital Estimates Composite ETF Cumulative Return Tables Notable Trends and Observati

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A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 1)

I'm going to share a portfolio with you that has absolutely annihilated the performance of the market (as proxied by SPY) since the recovery began in 2009*. The strategy has not had a down year since. This portfolio maintains constant exposure, has 1 un-optimized parameter and wins on a risk-adjusted basis even after considering reasonable transaction costs. I can't claim credit for the general idea. I found it in the comments section while reading a SeekingAlpha article written by Jonathan Kin

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (4/02/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by fol

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (4/02/2016)

Blog RSS FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE 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) Implied Cost of Capital Estimates Composite ETF Cumulative Return Tables Notable Trends and Observat

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Using ETF Internal Analytics to Identify Mean Reversion Opportunities (python)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE Since I started producing the following graphic for the ETF Internal Analytics product, I found the weekly return bin information compelling. I became curious about whether there was an opportunity to be exploited in the distribution patterns. Blackarbs ETF Internal Analytics Sample for SPY I distilled all the questions I had into two: 1. Does the percentage of ETF component stocks

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/29/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by f

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (3/19/2016)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE 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) Implied Cost of Capital Estimates Composite ETF Cumulative Return Tables Notable Trends and Observations COMP

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/19/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by f

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/14/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smirk is predictive of equity returns up to 4 weeks. Therefore, each week, I will calculate the Long/Short legs of a portfolio constructed by f

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (3/05/16)

#block-yui_3_17_2_2_1457211500463_15952 .social-icons-style-border .sqs-svg-icon--wrapper { box-shadow: 0 0 0 2px inset; border: none; } FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here In the paper that inspired this series ("What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns") the authors' research shows that their calculation of the Option Volatility Smir

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