SPDR S&P Semiconductor ETF (XSD)
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- All Comments on XSD
- General Discussion on XSD
- ETF Update: Materials, Semiconductors, Homebuilders [view article]
- Are Semiconductor ETFs Fueled By Genuine Demand? [view article]
- Semiconductor Shipments: Leading Indicator of Tech Strength? [view article]
- Sharpe Ratios on 2007 ETF Returns [view article]
- Semi Equipment Orders Declining At a Faster Rate [view article]
- Trent Becomes Not-Bearish On Semis [view article]
- DRAM Correction Playing Out Pretty Much As Expected [view article]
- Taiwan Semiconductor Thinking Too Far Ahead [view article]
- Making Sense of Semis: Does the Industry Still Have What it Takes? [view article]
- The Chip Glut Is Beyond Semi-Serious [view article]
- Bad News For Semis: Equipment Orders Continue To Rise [view article]
loading ...Recent XSD Articles
- Semi Equipment: Goldman Warms Up, a Little
- ETF Update: Materials, Semiconductors, Homebuilders
- ETF Update: Plays for Drop in Oil Price, Tech ETFs, Options Available on GLD
- Are Semiconductor ETFs Fueled By Genuine Demand?
- Semiconductor Shipments: Leading Indicator of Tech Strength?
- Broader Tech ETFs Outperform Narrower Sub-Sectors
- Diverging Paths in the Semi Sector
- Semi Equipment Orders Too Strong for Current Downturn
- Outlook for Semis Continues to Improve
- Sharpe Ratios on 2007 ETF Returns
- Full List of Articles »
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ETF Update: Materials, Semiconductors, Homebuilders [view article]
I don't know any "sector rotation" practitioners who can beat the all-sectored S&P 500 over time. Would be interested in hearing all about some successful sector switchers because even the big name guys like Sam haven't beaten the market over any meaningful stretch. ReplyAre Semiconductor ETFs Fueled By Genuine Demand? [view article]
Like semis? USD will get you more. ReplySemiconductor Shipments: Leading Indicator of Tech Strength? [view article]
Have you considered the Feb 09 Digital TV transition. Have been shopping for converter boxes and they are flying off the shelfs at retailers. Other people will opt for new TV's that can directly receive the free off the air digital signals. Combined with the two $40 coupons, the digital TV transition is one heck of a stimulus to the electronics sector. ReplyEditors
General Discussion on XSD
Is this a buy or a sell? 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? ReplySemi Equipment Orders Declining At a Faster Rate [view article]
Cool. Makes sense to me. Thanks for the quick response! ReplyTrent
Semi Equipment Orders Declining At a Faster Rate [view article]
I sync it up the same way I sync up positive comments from any other industry insiders - considering their angle. It is possible that KLAC and NVLS will buck the industry trend, or that for the first time in history there will be no down part of the cycle- just perpetual supply demand balance because for the first time the industry gets it right.The thing is, management at these companies can see the orders coming in, but they typically can't anticipate when those orders are likely to be canceled or pushed out. Often when things look best is when they are about to turn. Reply
Semi Equipment Orders Declining At a Faster Rate [view article]
I am trying to figure out how to sync this analysis up with the supposedly bullish comments made by KLAC and NVLS at SEMICON West last week? Reply