Case Study: Leveraging Risk Efficient Portfolios for enhanced returns

Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and the like. The goal of the experiment here is to see […]

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A deep dive into the Overnight Returns vs Intra Day Returns of the S&P500 Sector ETFs

This is from a talk I gave at r/finance 2016. To start, I define the Overnight Effect as buying at the close and selling at the open, and the intraday as buying at the open and selling at the close. I applied the above strategy using the 9 sector SPDRs and assuming 2bps roundtrip transaction […]

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Post Preview: The Overnight Returns of the S&P500 vs Day Returns

Quick preview I will be expanding on this in the days to come.

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The Current and Changing relationship between Oil and the U.S. Dollar

In this quick data-tidbit we aim to explore the hypothesis that current Oil Price decreases are driven by US dollar strength. First let’s define some data, when I say Oil I am referring to the WTI Crude Futures, Continuous Contract #1 and for the U.S.D. I am using the Trade Weighted U.S. Dollar index (https://research.stlouisfed.org/fred2/series/DTWEXM). Let’s […]

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