Why your fund isn’t doing well: understanding the relationship between skill, active weight and fees

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 […]

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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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