Tag: equity

Institutional Level Long/Short Strategies in Quantopian (OCF/EV)

Post Outline * Background * Strategy Summary * Implementation Details * Strategy Results and Analysis * References (Notes) Background Recently I was blessed with an introduction to S&P Global-Market Intelligence's Director of Business Development, Matt Morrissy and gifted a trial membership to the S&P Capital IQ platform [1]. Specifically, I was given an opportunity to review and provide feedback for their "Alpha Factor Library." Their team, the Quantamental Group [2], has researched an

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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 ANALYTICS (11/28/2015)

NEW 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 237 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/21/2015)

NEW 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 232 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/14/2015)

NEW 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 227 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (11/07/2015)

NEW LAYOUT: 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) YEAR-TO-DATE LAST 222 TRADING DAYS Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart Click here for help understanding this Chart LAST 63

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/31/2015)

NEW LAYOUT: Going forward I will be testing a new organizational format for the charts. I have created a chart description page which details how each plot type is commonly interpreted (used). I will provide a link to the chart description page in the caption of each chart. The primary change is all the chart types will be grouped by the referenced time period. It is my hope that grouping the data this way will allow for easier analysis. Each time period grouping will display the charts in the

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/25/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/18/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/10/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (10/04/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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Could SPY ETF Component Participation Have Alerted Us to Sell (Hedge) Prior to the Recent Market Downturn?

This is the Python Code version of a guest post presented here on RectitudeMarket.com. If you would like to read the analysis without the Python code please click the link above. To market pundits and casual observers the recent correction in equity markets appeared as a surprise. Overall headline economic data was positive at best and mixed at worst. Domestically, capital markets had been looking ‘ok’ while most of the major volatility was taking place abroad in emerging markets, and commodity

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (9/28/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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Guest Post Previously Featured on RectitudeMarket.com (09/02/2015)

**Note: This post already appeared as a guest post on rectitudemarket.com. The reason I'm posting this article when it is 'outdated', is twofold. 1) I think it's beneficial to review previous works especially when one has the benefit of hindsight. This helps us determine the accuracy and bias of the research presented. 2) I further introduce the concept of conditional cumulative returns, which adds insight to what happens to our securities' returns given some other event occurring. In this case,

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (9/20/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF WEEKLY ANALYTICS (9/14/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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Composite Macro ETF Weekly Analytics (8/30/2015)

COMPOSITE ETF CUMULATIVE RETURN MOMENTUM These charts show the sum (cumulative) of the daily returns of each composite ETF over the specified period. The daily return is calculated as the log of the percent change between daily adjusted close prices. These charts help determine asset class return momentum. This is important because momentum is arguably the strongest and most persistent market anomaly. Poorly performing asset classes are likely to continue under performing while outperforming a

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COMPOSITE MACRO ETF CUMULATIVE RETURN MOMENTUM (08.23.2015)

Here is the updated list of composite ETF components. LAST 1260 TRADING DAYS (5 YEARS) Source: Yahoo Finance LAST 504 TRADING DAYS (2 YEARS) Source: Yahoo Finance LAST 252 TRADING DAYS (1 YEAR) Source: Yahoo Finance LAST 126 TRADING DAYS (6 MONTHS) Source: Yahoo Finance LAST 63 TRADING DAYS (3 MONTHS) Source: Yahoo Finance LAST 21 TRADING DAYS (1 MONTH) Source: Yahoo Finance LAST 10 TRADING DAYS Source: Yahoo Finance Blog RSS #block-yui_3_17_2_2_1440420671029_16964 .social-i

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Composite Macro ETF Cumulative Return Momentum (08.16.2015)

Here are the updated ETF components I'm using to construct the ETF composites. Last 504 Trading Days Composite ETF Cumulative Returns Last 252 Trading Days Composite ETF Cumulative Returns Last 126 Trading Days Composite ETF Cumulative Returns Last 63 Trading Days Composite ETF Cumulative Returns last 21 Trading days Composite ETF Cumulative Returns Last 10 Trading days Composite ETF Cumulative Returns Blog RSS #block-yui_3_17_2_4_1439677863749_22267

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Composite Equity ETF Analysis (8/10/2015)

While I continue to update the ICC Valuation methodology I plan to post more of the custom charts I use to gain insight into current market structure, momentum, and relative value. Updated Composite ETF List Best vs Worst Performing ETF Composite L/252 Days Best vs Worst Performing ETF Composite L/63 Days Best vs Worst Performing ETF Composite L/21 Days BarPlot Cumulative Returns L/4 Weeks Z - Score Average Risk-Adjusted Returns L/21 Days

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How I use Implied Cost of Capital (ICC) as a market valuation tool

What is Implied Cost of Capital? I love the intuition behind the model although I don't use it as proxy for expected returns. I use it as a relative value measure to identify analyst/institutional sentiment between different market sectors at a point in time. The actual calculation of the measure can be somewhat complex and involved. The below equation is the common form of the ICC model. As an active trader my primary concern is practical application and implementation so I simplified an

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What I Saw ( Week of 12.1.14 )

1. Do the airline stocks and oil continue to trend strongly in opposite directions? ANSWER: Simply put, mostly yes. The below chart shows the following stocks ( OIL, AAL, ALK, JBLU, UAL ) relative to the broader market ( SPY ) over the last 5 days. Out of the 4 airline stocks chosen here, only ALK underperformed the market. Using OIL as a proxy for oil, investor sentiment is still negative, and some airlines stocks are continuing to benefit from the plunging price. 2. Do we see a continuation

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Stocks - Post Earnings UPDATE (week of July 21, 2014)

Let's take a look at how the previously graded stocks have performed over the last ~10 days. Please note this is a raw analysis in that these stocks reported at different times last week, so cumulative performance may be affected by the date they reported in addition to other factors. returns comparisons The key take away for me regarding this chart is that most of the returns on this extremely short time scale cluster between +/- 5%. There are a couple relatively 'extreme' movements by this

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Stocks - Pre Earnings Equity Grade (week of 07.21.14)

With the iVC reports showing some preliminary promise, I thought it would be worthwhile to begin tracking any potential predictive ability of the grading system. It's late so it's likely I'll have to update this post with better prose after I get some sleep. See this week's pre-earnings grades below. The reports are available for sale through the shop.

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Why I'm Bullish on Facebook (FB) Long Term

I am bullish on FB because I believe the firm's strategic vision is sound and recent moves have put FB in a position to build on and maintain a competitive advantage well into the future. There are 4 keys to my thesis: 1. FB is the current market leader in the social networking space 2. FB has just begun to monetize its user base and ad platform 3. Whatsapp's potential value is much greater than 19 billion paid 4. Mobile technology industry will continue to grow globally Facebook is the un

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The Return

It's been a while since I've updated the blog and with good reason. Like any worthwhile business the foundation on which it's built must be thoroughly researched, well planned, and ruthlessly executed. With that in mind, I've been away building other pieces of the foundation which I will be unveiling over the next week or so. Be on the lookout for the upcoming BlackArbs flagship product titled the "iVC Report" (Identify Value Creators). This report is designed to assist retail and professional i

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3d Systems_Follow the Leader

I'll keep this short and sweet. 3d systems is still the undisputed king of the mountain in the 3d printing industry. They generate more revenue, more gross profit, more operating profit and more net income than all their competitors. See my updated report which includes their most recent 3rd quarter results and additional analysis. 3d Systems (DDD)_updated for Q32013 from Brian Christopher

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Bubble Bubble Toil and Trouble

We had a perfect recipe for the “abrupt” correction that global asset markets have experienced. A quick look at the factors shows observant investors that caution was necessary leading up to the most recent FED meeting. 1) Leverage as measured by NYSE margin debt released in May showed levels greater than that of 2007 and close to all time highs. This excessive risk appetite can be attributed to an extremely low interest rate environment and low volatility in the broader market. Said simply – le

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Chipotle Mexican Grill (CMG)_Part 2

Early January 2013, I did a write-up of Chipotle Mexican Grill and my thoughts on its value and whether I would buy it at that level for a long term investment. Based on my initial analysis I concluded that CMG was expensive as a growth company due to several factors. Data trends indicated that operating margins and revenue growth (while still growing) were beginning to level off. Additionally, earnings surprise momentum showed a negative trend indicating positive earnings surprises were less fr

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Chipotle Mexican Grill (CMG)_Part 1

Here is a presentation I produced in early January, where I evaluated the value of buying Chipotle (CMG) stock as a long term investment. It is here for reference for my follow up post in which I update my thesis. Check it out. As always feedback is welcomed. Chipotle Equity Analysis_An Expensive Burrito? from Brian Christopher

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My First Stock Call

2010 - A year or so after my first "professional" foray into finance failed I had been upset, disillusioned and burned out. At the time I questioned my whole interest in capital markets. Was my B.S. in Economics (no pun intended) worth it? Why did I bother with such a specialized degree? I had grown up with a passionate interest in what I commonly refer to as the ‘greatest game on earth’. As a developing youth I had innumerable questions about the ‘game’-- how it was played, who were the player

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