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Backtesting the Implied Volatility Strategy with Quantopian (2/17/16)

#block-yui_3_17_2_3_1455744353210_9420 .social-icons-style-border .sqs-svg-icon--wrapper { box-shadow: 0 0 0 2px inset; border: none; } To see the origin of this series click here. I've been tracking this strategy for ~7 weeks now and it appears to have substance. To summarize, the strategy calculates a SKEW measure using ATM calls and OTM puts for a collection of ETF symbols. It then sorts the symbols into quintiles based on the SKEW metric. Using daily close/close return calculations for th

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (2/13/16)

#block-yui_3_17_2_4_1455397888451_24737 .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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COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/13/2016)

#block-yui_3_17_2_4_1455394346404_17847 .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 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

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (2/06/16)

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 following their criteria as closely as possible. However this study will focus on ETF's as opposed to single name

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (2/06/2016)

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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Implied Volatility Skew Strategy Mid-Week Update Using Python (2/03/2016)

To see this weekend's prediction click here. Overall this strategy has been impressive in its trial run over the last 4.5 weeks. I figured, given the volatility and uncertainty in the broad markets this week I'd like to see a mid-week update of the strategy using Python and the BarChart OnDemand API. To see my original article on the basics of using the BarChart OnDemand API click here. First I import the basic modules needed to execute the script: From there I define a couple convenience fun

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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (1/30/16)

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 following their criteria as closely as possible. However this study will focus on ETF's as opposed to single name

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COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/30/16)

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 (1/30/2016)

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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USING IMPLIED VOLATILITY TO PREDICT ETF RETURNS (1/23/16)

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 following their criteria as closely as possible. However this study will focus on ETF's as opposed to single name

READ MORE →

COMPOSITE MACRO ETF WEEKLY IMPLIED COST-OF-CAPITAL ESTIMATES VS. CUMULATIVE RETURNS (1/23/16)

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 (1/23/2016)

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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