PowerShares Dynamic Large Cap Value (PWV)
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PWV Forum Topics
- All Comments on PWV
- General Discussion on PWV
- 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]
- Will 2008 Be the Year of the Quant ETF? [view article]
- Sharpe Ratios on 2007 ETF Returns [view article]
- October 2007 Market Rewind: The Fed Beat Rolls On [view article]
- Look For Large Caps to Outperform (ETFs: JKD, JKE, JKF, PWB, PWV, VV) [view article]
loading ...Recent PWV Articles
- July 2008 Market Rewind: Bazooka Intervention
- June 2008 Market Rewind: Early Summer Swoon
- ETF Update: Quant ETFs, CEFs
- 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
- Will 2008 Be the Year of the Quant ETF?
- Sharpe Ratios on 2007 ETF Returns
- November 2007 Rewind: The Writedown Elevator Ride
- Full List of Articles »
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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 PWV
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. ReplyWill 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. 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
ail.com
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? Replyail.com
October 2007 Market Rewind: The Fed Beat Rolls On [view article]
A quick correction to my article, the magnitude of the back to back cuts are equivalent to 2001, the absolute level of 4.5% was last seen in January '06 -- Cheers. ReplyExchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
Are there any EFT funds that are purelt composed of vietnam companies? lasmatas@yahoo.com Reply