Quantocracy’s Daily Wrap for 05/07/2019

Jeremy had spent most nights over the previous 30+ years on this earth in search of the next big ETF. After all, you dont aspire to be at the forefront of innovative ways for marrying the benefits of the exchange-traded fund structure with goals that are associated with active managers by sitting around and doing nothing. The problem was for as much as he searched and probed, the same

We did it. We democratized quant for one more year. Last year, we suffered through a 50% drawdown in attendance due to a perfectly timed snow storm. This year the weather cooperated with us and we were able to get everyone there. Full access to presentation videos and the accompanying slides (when available) are available on the following recap website. (content is password-protected as per

Option-based strategies generated better risk-adjusted returns than the S&P 500 over the last 30 years Investors should be wary of buying options and focus on harvesting the volatility risk premium by writing options Option-based strategies are an interesting alternative to long-short equity hedge funds for reducing risk BUYING VERSUS SELLING OPTIONS The investment banking divisions of Goldman

The authors decompose strategy returns into factor alpha, tax alpha, and residual return for 6 tax-managed versus and 6 tax-indifferent factor strategies and for one indexing strategy. In contrast to other studies, where the impact of starting date dependence is eliminated, this research generates a range of outcomes by initiating each strategy at regular intervals over a 10 year investment

In this post we'll look at how the SPX straddle has been performing since I last analyzed its results back in 2015 (here). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 59 DTE – (25:10) / 2 DTE – exit if the trade has a loss of 25% of its initial credit OR if the trade has a profit of 10% of its initial