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 …
I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through the end of the most recent quarter. See this table for specifics. +1.5X UVXY ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX Barclays S&P 500 VIX Short-Term Futures ETN VXZ Barclays S&P …
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 …
