Tag Archives: S&P

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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Trading E Mini S&P Futures & 10 Year Notes |

Trading E Mini S&P Futures & 10 Year Notes |

Great video on trading the largest futures contracts out there

Join my FREE newsletter to learn more about these good resources for automated trading

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#trading Halts in #Shanghai headed to turmoil week for #SP 500

Halts in headed to turmoil week for 500

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2016/01/trading-Halts-in-Shanghai-headed-to-turmoil-week-for-SP-500.jpg” size=”large”]
#trading Halts in #Shanghai headed to turmoil week for #SP 500

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S&P Downgrades Russia Foreign Currency Rating to Junk: Poor Vlad Poor Poor Vlad

S&P Downgrades Russia Foreign Currency Rating to Junk: Poor Vlad Poor Poor Vlad

My most sucessful trader says: pahahahahaha!

http://www.wsj.com/articles/s-p-downgrades-russia-foreign-currency-rating-to-junk-1422297409

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The S&P Closed At 2,070 On Friday — Here’s What Wall Street Predicted In January Serious? Predict with your data and brain please

The S&P Closed At 2,070 On Friday — Here’s What Wall Street Predicted In January Serious? Predict with your own data and brain please

WTF When I read this, I now know why indie traders are medicre at best. Unless you are predicting based on your data to verify with your own brain, why do you need these talking pinheads witha tie?  You ever watch CNBC with them yelling at each other? Sounds fun. The real secret is what I just told you otherwsie save yourself time by betting in a casino. You got better odds so don’t whine about bad performance or with your finger up your ass ’cause you don’t got nitiative to do it yourself.  Just saying and get real. Otherwise go to your shrink to get pills so you can live in your little bubble otherwise known as la la milk and Oreo honey infested world.  Your choice.

http://finance.yahoo.com/news/p-closed-2-070-friday-225414208.html

Thanks to NYC Contact for sending

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S&P downgrades India to BBB- (negative) from BBB- (stable). #fx #forex

S&P downgrades India to BBB- (negative) from BBB- (stable). #fx #forex

was surprised when they dint do it last year ..in fact if i remember they upgraded it ..

 

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S&P Target 1600: The P/E Decompression Stampede

S&P Target 1600: The P/E Decompression Stampede

seekingalpha.com

What I am smoking? Did I say S&P 1600? Fine, I said it, but I did not say when. Let me guess, 2014? A number of things need to happen by then, and they may not. However, now that my major pivot point of 1194 has been reached…

 

We will bounce back from 1215-ish on SP500 today down really hard.

 

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Thank you for sharing… Very interesting article

 

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I think we smoked the same pot. My annual analysis – currently – indicates 5 years of uptrend.

 

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Oops! I did it again! I was right! By the way, I smoke those violet ones. Those 5 fingers? I have a pot of it here at home. I did something on twitter last August. My models were ELI and GE. Yahoo! I got it right again! Calls for a celebration!

 

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But given the huge volatility, perhaps only few investors have made long-run bets and most of them emphasize the short-term return at this moment. Obviously the stimulus package has not been digested efficiently in industrial and consumption sector. I would say it’ll still range between 1080 – 1390 (at most) in the next 12 months.

 

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I got it right in less than 3 months last Thursday, October 27, 2011.

 

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you mean so much yet so say so little. Great insight.

 

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I would second your trading range, but I think there now is a strong support in the 1190-1220 area. On the upside, as I said, politics are holding me back.

 

 

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S&P downgrades U.S. credit rating

S&P downgrades U.S. credit rating

In your opinion, how does this affect the leading economies of the world and what will the effect be on currency and equities markets in the coming month because of this decision?

money.cnn.com

Standard & Poor’s rating agency served the Obama administration with notice Friday afternoon that it planned to downgrade the US government’s AAA credit rating, according to an administration official.

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The downgrade is the “domino effect” that has been building since the financial crisis in 2008. U.S. and Euro..weigh out your options as an investor…which economy would you prefer to purchase their Treasuries? Will the Fed now come in and have QE3 then QE4….how long can the Treasury increase their supply of USD. Overall, the coming months…expect 2 things to happen…if the Fed comes in…and brings another stimulus…weakness for the USD..on a short term..if no resolve..we will see the USD..continually rise. The choppy ranges we have seen in the equity markets …will continue….this will be the new “norm” for the end of 2011 and 2012.

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can you say OMG and actually believe it? this is a disaster and its obviously Congress’ fault. Just imagine how many portfolios will have to sell Treasuries because of the AAA clause and I m sure China is not going to stand by idly. Yes, US treasuries are still the most “secure” investment but people have to actually move back from their planet and join some of us on “Reality”.

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I believe all that is happening is being carefully orchestrated so the prominent families can increase their positions in world dominance, I know that may sound off the wall like a conpiracy theory fanatic, but I can’t help but think this based on the domino effect that has been happening around the world. One crisis after another leads me to believe there are forces at work behind the governments and it all comes down to money and assets. Babylon the great has fallen, the shameless luxury and fine silk and gold will be stripped away, the kings and the merchants will stand by and let it happen. This has to take place and will take place. So the question is who is Babylon the Great? Here’s a clue it’s not the kings or the merchants. because they standby to watch. So when this takes place some group will have more gold and assets than the Kings and Merchants hmmm who could that be? Now what group or organizations have killed in the name of God (no matter what name they use) and have sins amassed to the heavens and have shamless luxury and fine linen, silk, gold,and assets that are not Kings or merchants? Let the one who has reason, reason. What does this have to do with the credit rating? Well if there is not going to be a stimilus by the FED then how will they get paid back? Credit rating drops debt ceiling is close to getting hit again so the money has to come from somewhere and one of those somewheres is babylon the great. The people will be outraged and their will be a great tribulation that no man has ever seen. when this occurs the confidence of the people will be none and currencies will be worthless and the they will throw their Gold and Silver in the streets (because they will be worthless). Impossible you say. If there is nobody to buy gold and silver then it will be worthless. Of course this wont happen right away it is building up to that. So the best asset to hold right now I think is the US Dollar for the short term against the EURO and the Yen, but the right assets are food(dehydrated), water purification system, Solar panels survival of the fittest. India, China have the right idea with solar energy right now. Look at Nasa’s website at their solar storm predictions and see what they say about 2012 and electricity. This will happen, wait until the signs of assets being confiscated and Taxation of Religious organizations.

In the next month expect the Dollar to rise against YEN and Euro dramatically. Equities to fall sharply s&P could hit 1025 50% retracement from 2009 low to high. Especially with debt concerns and credit rating drop, 2nd recession is likely, this will occur to get the majority of people to want a regime change in America and to be fearful and look to someone that can be a savior(and they will say who can do battle with the beast and they will worship the beast and receive it’s mark on their forehead{where thinking comes from-not to be taken literal} their thought will reflect the way the beast wants them to think and believe). The majority of people will have faith in their government to pull them out of the tribulation and pride of nation will be prevalent hmmm sound familiar. Those with this number on their forehead represent the nation (the World)not God a seperation of people is taking place now that’s why people preach the truth about God’s Kingdom so their hearts are judged.

In any case this is our future in a nut shell, sure there will be oppurtunities to make crazy dough but that will be short lived, so get in get out buy survival items and altenative energy options for your home to be prepared for a great depression oops I mean reccession no I really mean great tribulation!

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Q4 to Q10 – how is this being financed? Is the US now tapping Fort Knox to finance a direct investment for increasing the growth in their economy? It would be about time and at the same time stopping with their being neglecting $ policy (that nobody believes – if you see against CHF and other currencies). The entire global asset allocation is under turmoil. Any QE means more money and CRA’s are downgrading investment opportunities. Whats left – stocks of good quality run corporates! Commodities in a recession will go down!
Take the liquidity out of the market – then the investing problem is solved and the economy will grow when brought in balance.

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you forgot to add farmland to your list but gold being worthless not sure about that forecast !!!???

 

 

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use Ninja Trader or Trade Station to trade Oil, Russell and S&P with the fastest execution spee

Hello, Which is better to use Ninja Trader or Trade Station to trade Oil, Russell and S&P with the fastest execution speed possible to eliminate or reduce slippage as much as possible. Thanks.
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It’s not so much the software as it is the data feed, and you close proximity to the exchanges – which is going to depend on which markets you’re trading. I’d suggest using NinjaTrader with the Rithmic data feed if you’ll be trading futures.
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ninja is faster connection but your stop orders sit on the platform not the exchange just so you know. XTRADER is the fastest platform out there….
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You need to co-lo whatever system you decide upon to reduce latency and increase effeciency.
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If you are going through somebody’s router you are going to be slow. you need a co-located server and somebody who will sponsor your access and get an ilink. that way, you will direct connect and minimize latency…..otherwise, you are a customer.

i can help.
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For the retail trading both NT and TS are ok. All of the comments above are for the algo trading which may not be what you are after.
There are other platforms that are as good or better for retail trading, you may want to check with your broker or FCM for recommendation.
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As far as I know, NinjaTrader is not a broker (but an interface to other brokers). That in itself might increase latency. Anyway, your speed will depend on the specific broker, so compare access to their servers [with TradeStation, if that’s what you’re considering].
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Ninja is faster with the right feed. If you use the Trading Technologies (the fastest) or Zen-Fire/ Rithmic (close second) and compare super dom against the Matrix in TradeStation you will visually see the difference. You can test this at any time. You will see Ninja update faster. Also the stop orders are sent directly to the market. It is the OCO logic (used for ATM strategies / Bracket Orders) that is kept on the platform.
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aren’t you confusing data feed with execution? Of course you [or your algo] need to “see” the data before sending orders, but asked specifically about execution speed, which otherwise has nothing to do with your feed.
Also, if you are able to actually see the difference between two feeds, than you have one feed [at least] which is very slow.
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I am not confusing them at all. Ninja has faster data (so you can make your decisions faster) and faster execution. Zen-fire / Rithmic and most Trading Technologies installations are co-located at the exchange (equinix data center) with fiber optic cross connects. That is the highest level of connectivity that the CME Group and EUREX offer.
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Are you doing algorithmic trading? Or point-and-clicking? Or trading spreads where your platform sends a new order on getting a fill?

If you are manually entering orders, I wouldn’t worry about colocation, execution speeds or the like.

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Which is better to use Ninja Trader or Trade Station to trade Oil, Russell and S&P with the fastest execution speed

Which is better to use Ninja Trader or Trade Station to trade Oil, Russell and S&P with the fastest execution speed possible to eliminate or reduce slippage as much as possible
—-
It’s not so much the software as it is the data feed, and you close proximity to the exchanges – which is going to depend on which markets you’re trading. I’d suggest using NinjaTrader with the Rithmic data feed if you’ll be trading futures.
—–
ninja is faster connection but your stop orders sit on the platform not the exchange just so you know. XTRADER is the fastest platform out there
—-
You need to co-lo whatever system you decide upon to reduce latency and increase effeciency

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!