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  • Rotation Strategy Using ETFs With Sharpe Ratio Ranking Instead Of Pure Momentum [View instapost]
    Thanks for the article. An interesting read.

    Doesn't calculating the Sharpe already adjust for volatility (by dividing return by SD where SD is already a measure of volatility)? If that is the case, do you really need a volatility factor? Do the results blow up without this factor? If they do then how do you calculate this factor. Kindly let us know.
    Jan 21, 2015. 05:27 PM | Likes Like |Link to Comment
  • Modified GMR Signal: ILF [View instapost]
    Marc, thanks for clarifying. As suggested, I got prices at end of month for SSO and EDV, calculated returns, LN'ed them and correlated them to get -0.99.
    May 7, 2014. 06:46 PM | Likes Like |Link to Comment
  • Modified GMR Signal: ILF [View instapost]
    Maybe I am missing something still.

    I went to yahoo finance and searched for EDV > historical prices > click 'Monthly' radiobutton. This gave me monthly data for EDV which was: 96.96,98.83,101.74, 103.58 for first trading day of months Feb through May (4 months).

    Exactly similar procedure for SSO gives: 103.73, 105.31, 106.61, 106.64.

    Both are moving in the same direction. So their correlation should be positive not negative (even if you consider monthly returns which I dont see why you should).

    Also SSO data above shows May 1 val as 106.64 and Feb 3 val as 103.73 (dividend adjusted). Its 3-mo performance is 2.8% not 11.68% as noted above.

    May 6, 2014. 08:45 PM | Likes Like |Link to Comment