Quanist Investment

SPY and SHY, which is better?

This is a study on the effects of rebalanced threshold on mean daily reutns and the standard deviation.  APP

Rebalanced between cash and SPY seems to be a good strategy. This article is about studying with which threshold does it perform best. Rebalacing with 20% Threshold  Return Distribution Shape Ratio Rebalacing with 10% Threshold  Return Distribution Shape Ratio Rebalacing with 5% Threshold Return Distribution Shape Ratio Rebalacing with 1% Threshold Return Distribution Shape Ratio Conslsion The standard devision of returns decreases with the decrease rebalanced thresholds. The mean returns increases with the increase of  rebalanced thresholds. There is no significant corrlation between rebalanced thresholds and Sharpe ratios.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced threshold is 1%.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced threshold is 10%.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced threshold is 5%.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced threshold is 1%.

SPY and SPHB, which is better?

This is article is studying if rebalanced frequency could affect investment results in terms of annual mean return, annual return standard deviation and Sharpe ratio. Rebalanced Everyday Return Distribution Sharpe Ratio Rebalanced Every 28 Days Return Distribution Sharpe Ratio Rebalanced Every 126 Days Return Distribution Sharpe Ratio Rebalanced Every 252 Days Return Distribution Sharpe Ratio Conclusion All Sharpe ratios in this article assume the risk free rate is 2%. The Sharpe ratio for rebalanced everyday is 0.494. The Sharpe ratio for rebalanced every 28 days is 0.438. The Sharpe ratio for rebalanced every 126 days is 0.453. The Sharpe ratio for rebalanced every 252days is 0.438. The Sharpe Ratios do not have strong relationship with rebalanced frequency.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced frequency is everyday.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced frequency is every 126 days.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The rebalanced frequency is every 252 days.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up IWF's historical average annual return, put in 252 days for investment duration in the following app. 

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days.

This article is about finding SPY/Cash rebalanced portfoilo's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days.

FKINX and a 30% SPY plus 70% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing with a threshold of 5%.

FKINX and a 50% SPY plus 50% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing with a threshold of 5%.

FKINX and a 70% SPY plus 30% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing with a threshold of 5%.

FKINX and a 70% SPY plus 30% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing every 28 days.

FKINX and a 30% SPY plus 70% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing every 28 days.

FKINX and a 50% SPY plus 50% cash rebalanced portfolio, which is better? The rebalancing strategy is rebalancing every 28 days.

 This is an app for comparing investment results of rebalancing and non-rebalancing portfolio of and Rebalancing threshold is the difference of either asset's ratio between target ratio.

 This is an app for comparing investment results of rebalancing and non-rebalancing portfolio of and Rebalancing threshold is the difference of either asset's ratio between target ratio.

 This is an app for comparing investment results of rebalancing and non-rebalancing portfolio of and Rebalancing threshold is the difference of either asset's ratio between target ratio.

SPY and SPHB, which is better?

SPY and SPXS, which is better?

SPXU and SPXS, which is better?

SPY and SDS, which is better?

SPY and SH, which is better?

SH and SPDN, which is better?

SPY and UPRO, which is better?

SPXL and UPRO, which is better?

SPY and SSO, which is better?

SPUU and SSO, which is better?

IWF is about growth, which may inply that the long term return may be better than value stocks with higher volitility. Downside Risk Comparison with SPY Invested at the peak in 2007 on 10/9, IWF's risk was about the same with SPY but with much higher return later on. Invested at the peak before COVID crisis of 2020 on 2/19, IWF's risk was about the same with SPY, but is more volatile later on. Invested right before Fed's rate hikes in 2015 on 12/14, IWF's risk was about the same with SPY. Sharpe Ratio Compared with SPY IWF does not seem to a better Shape ratio than SPY. What are the chaces of IWF beating SPY? Randomly select an investment span of 252 days between 2000-05-26 and 2022-06-17. We see IWF beats SPY by 0.848% in annual return and has a 59.9% chance of beating SPY. Randomly select an investment span of 1000 days between 2000-05-26 and 2022-06-17. We see IWF beats SPY by 1.677% in annual return and has a 72.5% chance of beating S...

This article is about finding IWF's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up IWF's historical average annual return, put in 252 days for investment duration in the following app. 

This article is about finding FKINX's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up FKINX's historical average annual return, put in 252 days for investment duration in the following app. 

Am I referring to alchemy?  No, I am not. A simple way to become richer and richer is not to spend all your passive income and your net worth will actually grow. Concrete Steps to grow money even when retired Calculate maximum daily expense for a year and divided this number by 4%. Add some additional money to the amount obtain at step 1. Work hard, save hard until you accumulate enough index funds such as VTI or VOO. Live happily and watch your wealth grow. Calculate maximum daily expense for a year and divided this number by 4% 4% is pretty safe withdrawal rate for SPY. If you had retired at the worst times possible in the past 20 years, your asset values would actually grow sell 4% of your all-SPY portfoilio living. If your annual living cost is $50,000, you need $50,000/0.04 = $1,250,000 to retire.  Calculator Annual Expense: $ Withdrawal Rate: % Calculate You need $ 12...

Stock returns following a normal distribution is the foundation of most financial engineering. Opting pricing model, Black–Scholes model, is one example.  Stock return following a normal distribution makes sense in a way that economic activities affect economic growth in a geometric manner, or a multiplicative manner. In other world  For example, if I can  invest $100 to buy a factory that can rake in another $100 in a year. The next year I can buy another factory, using the $100 made by the first one. The second year, I can make $200. The third year, I can make $400. The increase in how much I can make is not linear, it is geometric. By the way, this example also explains what happens behind compound returns. Stock return following a normal distribution? Back to how stock returns following a normal distribution. We see from the above example that the increase of how much money I can make doubled every year,...

This article is about finding SHY's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up SHY's historical average annual return, put in 252 days for investment duration in the following app. 

This article is about finding VTI's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up VTI's historical average annual return, put in 252 days for investment duration in the following app. 

This article is about finding SPY's mean return, return standard deviation and Sharpe ratio. The average trading days in a year is 252 days. So if you are interested in looking up SPY's historical average annual return, put in 252 days for investment duration in the following app. 

VOO and VTI, which is better?

A covered call position act like a corporate bond. Both give limited upside gains but also some downside protection. So I would like to explore if I can build a corporate bond position with stocks and the covered call strategy. Face Value Face value of an option is the first thing I am concerned. Although there is no real face value in the covered call positions, we still need to know how many stocks are covered by a short call contract. An option contract covers 100 shares of stock, so if I want to build a covered call position, I need to buy 100 shares of SPY for $373 with a total of $373*100 = $37,300. Already crazy. If I do a covered call once and the call option gets executed, I will have to sell stocks worth of about $37,300. How many times do I get to do this if I am not so rich? The mini-option of XSP, though a smaller contract size than SPX, still has this problem of one contract requires a lot of money for the underlying assets. XSP prices at 37...

SPY, VOO and IVV track the S&P 500 index while VTI tracks the CRSP US Total Market imdex. So before comparing the above 4 ETFs, let's talk about the purpose. Liquidity Liquidity is important if you trade frequently or if you do hedge or arbitrage trading using  options or futures. The higher the liquidity, or the more people are trading, the smaller the bid-ask spread.  Every instant buy and sell is a lost equal to the bid-ask spend. For example, if you buy IVV for $400 and sell for $399.99 because of the bid-ask spread, you lose $0.01 instantly. Therefore, if you trade frequently, you want the big-ask spread s to be as small as possible, which could happen of more people are trading the same thing, making it more liquid. Which has the best liquidity? Below are average trading volumes of the 4 ETFs looked up on June 11, 2022 from Yahoo Finance: SPY: 98,572,973 IVV: 6,249,858 VOO: 5,574,242 VTI:...