Tag Archives: Dow Jones

Performance Attribution – getting under the hood with s&p dow jones indices links

 

This is from the latest guest blog I posted yesterday. Here some highlights where you can read this entire article including s&p dow jones indices here:

Understanding where returns really come from and what they mean

Attribution analysis involves comparing a portfolio’s performance against a set benchmark and unpacking the excess return to examine the impact of various investment decisions. We list below our selection of the best reports on the subject.

In our first two papers, we focus specifically on risk-adjusted returns, recognising that Modern Portfolio Theory assumes that higher risk should be compensated by higher returns. Register today for free and immediate access to the papers below – and 20,000 others!

SPIVA® Through a Risk-Adjusted Lens (S&P Dow Jones Indices, July 2018)

Modern portfolio theory purports that greater risks should be compensated with higher returns. S&P Dow Jones Indices examines actively managed funds and evaluates their risk-adjusted performance.

How Sharp is the Sharpe-Ratio? Risk-Adjusted Return Measures (StatPro, 2016)

This StatPro paper compares the Sharpe Ratio with a number of competing and complementary rations for assessing risk-adjusted returns.

Performance Attribution through a Factor Lens (Invesco Risk & Reward, July 2018)

Turn to p42 of Invesco’s quarterly Risk & Reward magazine for a six-page discussion of how standard attribution analysis techniques can be adjusted to develop a factor attribution which reconciles realistically with the investment process.

Total Portfolio Performance Attribution Methodology (Morningstar, 2015)

Morningstar reviews methods for analysing and attributing portfolio performance, decomposing returns into decisions that stem from the plan sponsor versus those that stem from the investment manager.

Only HOT bitcoin Ethereum is profitable crypto currency today. LAToken anyone?

If not, check out this article:

https://quantlabs.net/blog/2018/08/hot-btc-eth-profitable-crypto-currency-today

I have posted a new video to showcase in a slide presentation on the benefits of this membership. You an always join here if interested. (This was posted yesterday)

https://quantlabs.net/blog/2018/08/what-top-quant-grads-make-on-wall-st-huge-20-upper-moves-on-crypto/

 

Get your analytics info here

http://quantlabs.net/academy/quant-analytics/

Thanks Bryan

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Special notes on Deltix for server components with Java and Microsoft .NET C# development with Dow Jones news service API

Special notes on Deltix for server components with Java and Microsoft .NET C# development with Dow Jones news service API

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I am going through various Deltix Quant Server docs and help

Here are some very beneficial highlights:
You can work the server components in java. There is a very extensive API revolving these.

There is a special way API to retrieve news from Dow Jones in Quant Office
For multi user mode with Quant Derver, you need a server with 16 gb running on a Windows os preferably Server 2008. This for the .net strategies developed on Quant Office.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

reason why the EUR/USD moves with the Europe stock index and Dow Jones average index?

Can somebody explains me the reason why the EUR/USD moves with the Europe stock index and Dow Jones average index?

I do get it that the EUR/USD index moves same direction with the EURO STOXX 50 or DAX because, the Euro STOXX 50 and DAX are based on the euro currency. But, then why the EUR/USD also moves same direction with the Dow Jones that is based on the US dollar market?

I know that the Dow mostly moves same way with the EURO STOXX 50 and DAX but then as the euro gains against the dollar when the European stock index is up, shouldn’t the USD gains as the Dow goes up (the EUR/USD moves opposite direction to the Dow average index)?

 

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after the crisis and after the fears out of the European debt circus, many correlations completely changed. Moving the market into a risk on or risk off environment. The USD, US treasuries and Gold benefit in a risk off scenario. The opposite goes for the world stock indices and pretty much any currency against the USD, probably with the exception of the Yen. Be very cautious when trading if you don’t notice these things, you can really hurt your positions going the opposite direction. Look for these correlations to continue until US treasury yields normalize and other major sovereign yields stabilize, which may be another 2 yrs. Good luck!.

 

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I think more generally the correlation your looking at works via volatility and is related to monetary policy as high(er) interest rate currencies tend to appreciate against low(er) interest rate currencies in times of low volatility and vice versa in times of high volatility (as an example, plot the NZD/JPY – the highest-lowest interest rate currency pair within the G10 – against the VIX). Among practitioners it’s well known that the carry trade loses in times of high volatility, for some academic research see, e.g., Clarida, Davis and Pedersen (2009). Note that the carry trade exploits the forward premium puzzle, which has been related to monetary policy, see e.g., Faust and Rogers (2003). Since volatility is on average higher in down markets, there is also a negative relation between the VIX and stock indices.

refs:
Faust, J., and J. Rogers, (2003), ‘Monetary policy’s role in exchange rate behavior’, Journal of Monetary Economics, 50, 1403–1424

Clarida, R., Davis, J., and N. Pedersen, (2009), ‘Currency carry trade regimes: Beyond the Fama regression’, Journal of International Money and Finance, 28, 1375–1389

 

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Thanks to both of you for shedding light via your perspectives on these various macro drivers. Rutger, welcome to the group, and thanks also for providing specific research references to back up your argument. If only more people would take the trouble sometimes…

Gihyun, while I think your question has already been answered, let me point out the now-obvious flaw in its underlying assumption: you note that the EUR appreciates when European indices rise, and drops when those indices fall, and wonder why the USD doesn’t also move in sympathy with U.S. equity indices. However, you also observe that the various global indices tend to move in concert. Therefore, if the behavior of a particular currency were driven primarily by performance of its local equity market, wouldn’t it then hold that we’d rarely get movement in EUR/USD, since both legs would want to move in the same direction most of the time? As Ramzi noted, the USD benefits from a risk-off climate, while the EUR benefits from risk-off. Rutger provided the explanation for why that happens

Thanks for asking your question, and stimulating a good discussion.

 

 

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Dec Poll: What is the correlation between the S&P500 and the Dow Jones?

Dec Poll: What is the correlation between the S&P500 and the Dow Jones?

(i) Greater than 0.8; (ii) 0.5 to 0.8; (iii) 0 to 0.5; (iv) Negative; (v) Insufficient Information.

Dec Poll: What is the correlation between the S&P500 and the Dow Jones? (i) Greater than 0.8; (ii) 0.5 to 0.8; (iii) 0 to 0.5; (iv) Negative; (v) Insufficient Information.
Please vote at: http://www.statmanadvisors.com.
Last month’s Poll Results on Volatility and Explanation:http://www.statmanadvisors.com/Poll_Nov11.html

 

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(v) Insufficient. Correlation for what period?

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!