The Sharpe Ratio The Sharpe Ratio is one of the more popular ways to evaluate an investment for risk as well as for returns. Assessing the risk of an investment is not easy. The Sharpe Ratio won’t protect you if the provider is dishonest (e.g., Bernie Madoff) or if historical patterns change (e.g., default rates on AAA-rated mortgage-backed securities). However the ratio does factor-in historic …
A week after the Nasdaq’s 3-hour shutdown in August 2013 the exchange published Preliminary Findings on the outage. I’ve extracted some sentences: On August 22, the Securities Information Processor (SIP) received more than 20 connect and disconnect sequences from NYSE Arca, each of which consumed significant resources. Available capacity was further eroded as the SIP received a stream of quotes for inaccurate symbols from NYSE …
First posted September 11, 2013 INTRODUCTION Always interested in alternatives to buy and hold, Vance has generously allowed me to describe my stock market trading method here, and to post its buy and sell signals as they occur in the future. This information is for educational and entertainment purposes only, it will never be a recommendation to buy or sell anything. But I believe that …
The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool. Prices for hundreds of different options with different expiration dates can be involved in the calculation. This single number is very useful, but obviously, lots of information is discarded in the distillation. I’ve wondered if the VIX’s compression is hiding some information …
Update Effective July 2nd, 2020 TVIX stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd, 2020 but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. TVIX is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading relatively close to its IV price, the theoretic value of …
