Category Archives: ETFs

Investing in Leveraged ETFs – Theory and Practice

May. 5, 2015 11:48 AM ET  |  44 comments  |  Includes: DUST, ERX, ERY, FAS, FAZ, GDX, NUGT, SPXL, SPXS, TNA, TZA Summary Leveraged ETFs suffer from decay, or “beta slippage.” Researchers have attempted to exploit this effect by shorting pairs of long and inverse leveraged ETFs. The results of these strategies look good if … Continue reading

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Volatility ETF Strategy Apr 2015: +4.41% YTD: +12.02% Sharpe: 3.02 YTD

HIGHLIGHTS 2015 YTD: + 12.02% CAGR over 40% Sharpe ratio in excess  of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% STRATEGY … Continue reading

Posted in Algorithmic Trading, ETFs, VIX Index, Volatility ETF Strategy, Volatility Modeling | Comments Off

Developing Long/Short ETF Strategies

Recently I have been working on the problem of how to construct large portfolios of cointegrated securities.  My focus has been on ETFs rather that stocks, although in principle the methodology applies equally well to either, of course. My preference … Continue reading

Posted in Cointegration, ETFs, Johansen, Long/Short, Portfolio Management, Statistical Arbitrage | Comments Off

Volatility ETF Strategy – Sept 2014 Update

HIGHLIGHTS CAGR over 40% annually Sharpe ratio in excess  of 3 Max drawdown -4.3% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% VALUE OF $1,000 2012-2014 … Continue reading

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How to Bulletproof Your Portfolio

Summary How to stay in the market and navigate the rocky terrain ahead, without risking hard won gains. A hedging program to get you out of trouble at the right time and step back in when skies are clear. Even … Continue reading

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A Practical Application of Regime Switching Models to Pairs Trading

In the previous post I outlined some of the available techniques used for modeling market states.  The following is an illustration of how these techniques can be applied in practice.    You can download this post in pdf format here. The chart … Continue reading

Posted in ARMA, Econometrics, ETFs, Markov Model, Mean Reversion, Pairs Trading, Regime Switching, Statistical Arbitrage | Tagged , , , , , | Comments Off