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- General Discussion on PWP
- Market Rewind: Deleveraging Continues [view article]
- Exchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
- January in Review: All the King's Men [view article]
- Sharpe Ratios on 2007 ETF Returns [view article]
- October 2007 Market Rewind: The Fed Beat Rolls On [view article]
loading ...Recent PWP Articles
- Weekly Market Rewind: Deal or No Deal?
- Market Rewind: Deleveraging Continues
- July 2008 Market Rewind: Bazooka Intervention
- June 2008 Market Rewind: Early Summer Swoon
- April 2008 Market Rewind: Earnings Dominance
- March 2008 Market Rewind: Margin Madness
- Industrials and Large Cap and Value, Oh My!
- January in Review: All the King's Men
- Sharpe Ratios on 2007 ETF Returns
- November 2007 Rewind: The Writedown Elevator Ride
- Full List of Articles »
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Market Rewind: Deleveraging Continues [view article]
sell rumor buy fact...rule of da day. Reply
Market Rewind: Deleveraging Continues [view article]
Pietsch's look back is right on target. With oil poised to shoot up, the LEH bailout about to collapse and the thundering herd in deep trouble --watch out! That bottom mentioned in the article appears to bee on the horizon. ReplyMarket Rewind: Deleveraging Continues [view article]
Pietsch's look back is right on target. With oil poised to shoot up next week, the LEH bailout about to collapse and the thundering herd in trouble, watch out! Maybe that bottom mentioned in the article is not that far off. ReplyMarket Rewind: Deleveraging Continues [view article]
Deleveraging continues?My favorite way of deleveraging is looking at market cap compared to 'balance assets' from financial firms.
By all means this way of measuring leverage is still climbing month in month out for the entire US financial sector.
So the 'real deleverage' still has to set in just like the Americans still not understand you have to look at the 'real GDP growth' and not at the funny comics as delivered by the US government.
And, just by the way, why are there still no articles on this website around the total debt position of the US financial sector?
The FED says it is above one GDP and can please anyone explain to me how the financial sector can pay back an amount of debt above one US GDP?
Smart insights are welcome..... Reply
Exchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
can you please update this list? thanks. ReplyEditors
General Discussion on PWP
Is this a buy or a sell? ReplyJanuary in Review: All the King's Men [view article]
I do not understand why this article should have the title 'All the king's men'. It is just like a weather report and adds nothing to what everybody already knows. ReplySharpe Ratios on 2007 ETF Returns [view article]
The line is supposed to slope that way (greater risk - greater return), so I'm not surprised larger amounts of data would support it. These small data sets allow one to get whatever result is desired, which is very nice if you want to "prove" something. :-) Thanks for the clarification on larger data sets, and Happy New Year. ReplySharpe Ratios on 2007 ETF Returns [view article]
Interesting. I've never looked at Sharpe or Sortinos on sub-annual timeframes by taking annual return data for year-ending on each point. Is this an industry norm of some sort, or are you innovating here?When I've looked at ratios on shorter timeframes, I've taken the returns and standard deviations on that timeframe (daily, weekly, monthly, whatever) and calculated the ratios on that data. Of course, when doing it that way, it doesn't translate to an annualized ratio and one has to be consistent in making sure that statistics are only compared to the proper timeframes.
Speaking of translating, what is the correlation between daily year-ending return data Sharpes and non-overlapping year-period Sharpes? It would be interesting to see if what you've done translates to the larger scale.
Perhaps when you're bored over the holidays, you could some of the longer-running sector ETFs with 7-year Sharpes done both ways:
* 7 data points of non-overlapping years
* 7 x 252 data points of year-ending daily returns
... and see if they're consistent with each other. Purely academic, because as discussed previously, I'm not a huge fan of the Sharpes, Sortinos, Alphas, Betas.
Reply
Sharpe Ratios on 2007 ETF Returns [view article]
When you say "annualized daily data" – what exactly do you mean? How many data points of return are evaluated for each ETF, and how many are used in the calculation of standard deviation?I am GUESSING that you have 250-ish data points, each one being a return for the year period ending on each trading day of 2007, with the 3% RF being used for each point. Is that correct?
Persistence of the relationships is indeed the key.
Is your larger dataset also composed of industry (or other) ETFs? I would be curious about the relationship between return and volatility for the universe of exchange-traded stocks, but that would just be academic and not functional curiousity.
Reply
Sharpe Ratios on 2007 ETF Returns [view article]
Hi Fred, you comment on the slope of the data set is correct! However, I have performed the same analysis on a larger data set and found the same thing. So the shown regression result is indeed rubbish per se, but the point of the finding will hold to further scrutiny. Happy New Year, Gang! ReplySharpe Ratios on 2007 ETF Returns [view article]
The slope is meaningless for this small data set because the single XLM outlier exerts so much leverage. Drop that one point and the line has the opposite slope.For this data the regression line is misleading noise that should either be omitted, or calculated with a more robust means that isn't subject to outlier distortions. Reply
Sharpe Ratios on 2007 ETF Returns [view article]
The slope is meaningless for this small data set because the single XLM outlier exerts so much leverage. Drop that one point and the line has the opposite slope.For this data the regression line is misleading noise that should either be omitted, or calculated with a more robust means that isn't subject to outlier distortions. Reply
Sharpe Ratios on 2007 ETF Returns [view article]
Excellent analysis. Id be curious about how the international ETF's would look under the same analysis. ReplySharpe Ratios on 2007 ETF Returns [view article]
Excellent analysis. What would the international ETF's look like? Reply