This is a summary of links featured on Quantocracy on Tuesday, 05/02/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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ETF Trading: What’s the best time? [Alpha Architect]The expense ratio aside, the cost of transacting in an ETF depends on the size of the bid/ask spread at any point in time during the trading day. The ETF investor should make evidence-based trading decisions since the bid/ask spread can range from 1 basis point (bp) to several hundred bps. What are some intelligent guidelines for ETF investorsavoid the open, avoid the close, and what about
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Book Review: Volatility Trading [Gautier Marti]A good book for an introduction to volatility from a trading perspective. Some excerpts from Volatility Trading by Sinclair: I am a trader. I am not a mathematician, financial engineer, or philosopher. My success is measured in profits. The tools I use and develop need only be useful. They need not be consistent, provable, profound, or even true. My approach to trading is mathematical, but I am no
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Upside versus Downside Stocks [Finominal]Stocks can be ranked by their upside and downside betas to the S&P 500 Results in strong sector biases and factor exposures Excess returns from upside stocks were negative, zero for downside stocks INTRODUCTION Most capital allocators use correlation to identify strategies that may add diversification benefits to their portfolios. However, average correlations are often misleading. For