PowerShares Dynamic MagniQuant Portfolio (PIQ)
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Quant Strategy Broad ETFs [view article]
A good article idea ... comparing the performance of the "quant" funds against the major averages. ReplyJackson
Quant Strategy Broad ETFs [view article]
Update: We added the new First Trust 130/30 ETN to the list, and in the Further Reading section a link to an article about it by Murray Coleman, that quotes Roger Nusbaum. ReplyEditors
General Discussion on PIQ
Is this a buy or a sell? ReplyBest ETF and CEF Absolute Lagged Correlation To the S&P 500 [view article]
I'm stupid. I need words! Do you mean that 25% of the time, the S&P500 correlates exactly to what the RXI did 21 days earlier? Do you mean that 21 days behind the RXI, the S&P500 acts the same with a 25% variance? I doubt that this is what you mean but what can it be? 25% is the BEST? Why bother. And what about the neg.%'s? Is it helpful to know that something is 'off' or at variance at a 14% rate? That still leaves 86% that isn't neccesarily exactly correlating.....I WANT to see a pattern like whatever it is I get a hint of what I THINK you could possibly mean..........but ....just what IS that?!?
Expand. Please. I'm beggin' ya!
Reply
Will 2008 Be the Year of the Quant ETF? [view article]
I noticed that several notable quant commentators in Seeking Alpha went silent last fall, and couldn't help suspecting that their software hadn't handled the current situation very well. For me, the big development in 2007 was not bond ETFs but the release of double-long / short products that are not perfect but do in fact significantly "juice" index exposure, limit downside risk, pay interest, have reasonable expense ratios given the price movement, and give those of us not glued to monitors a standing hedge against falling markets. My guess is there is a very good strategy to adjust double-short ETF exposure based on the VIX volatility trend, but I'll have to keep a damp thumb in the wind and wait for somebody smarter to figure it out. Reply6 Intriguing Asset Classes Available via ETF [view article]
Diversification is good and we don't know about something it means that many other don't - a good sign for possible outperformance in the Long-Term in Brazil and India.Also as one of my favorites Russian strategyst (who is not Russian btw :-) noted - a subscription to Economist (Business Week etc) could cost subscribers millions by telling them to stay away from growing markets. nikitskyfund.com/conte.../
Russia
- election results are real (Putin didn't need Florida like scam)
- GDP growth 1000% over last 8 years - yes 10 times! and less than 30% of the growth is from oil
- FLAT 13% income tax that people are now paying after corrupted "freedom fighters" (read thiefs, murderer and tax avoiders) like Khodorkovsky got what they deserved
Disclosure - long all BRICs
Reply
Bommarito
Best ETF and CEF Absolute Lagged Correlation To the S&P 500 [view article]
Hello Harvey,Lagged correlation here is the correlation between two time series with one shifted so that its dates are lagged by a certain number of periods. For instance, the 1-day lag correlation would be the correlation between DND on day N and the S&P on day N+1. Reply
Best ETF and CEF Absolute Lagged Correlation To the S&P 500 [view article]
Mike, I am really sorry, but could you give a brief explanation of "lagged correlation", I am not quite certain what you are demonstrating although I think it could be an interesting observation. Reply