Articles from this Category
Month upon month, we see that articles and studies out about active management under performing their benchmarks, some say it due to fees and others due to managers having no skill. Personally I think it’s a bit of both, I will demonstrate mathematically how fund constraints combined with fees can make outperformance very difficult. First […]
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 […]
Quick preview I will be expanding on this in the days to come.
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 […]