Quantocracy’s Daily Wrap for 02/03/2023

In a lot of my work, including my new book, I use two different ways of measuring standard deviation. The first method, which most people are familiar with, is to use some series of recent percentage returns. Given a series of prices p_t you might imagine the calculation would be something like this: Sigma_% = f([p_t – p_t-1]/p_t-1, [p_t-1 – p_t-2]/pt-2, ….) NOTE: I am not concerned with the

Many investors, especially those using a cash flow approach to spending, have long known that they prefer cash dividends. From the perspective of classical financial theory, this behavior is an anomaly. In their 1961 paper, Dividend Policy, Growth, and the Valuation of Shares, Merton Miller and Franco Modigliani famously established that dividend policy should be irrelevant to stock returns.

As readers of my books will know, I don't recommend leveraged ETFs as a way to get leverage. Their ways are very dark and mysterious. But like many dark and mysterious things, they are also kind of funky and cool. In this post I will explore their general funkiness, and I will also show you how you can use them to produce a positive skewed return without the general faff of alternative ways

SPX will post a Golden Cross on Thursday afternoon. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition and generally it is. In the 7/9/20 blog post I looked at SPX Golden Crosses dating all the way back to 12/31/1928. I have updated that research tonight with Amibroker Software and Norgate Data. Below is