Quanist Investment

LQD and PFF, which is better?

SPY and PFF, which is better?

PFF and FPE, which is better?

This article is about risk analysis of HYG. First, I will build an app that will randomly generate investment start date and end date given an investment span. The user has the freedom to set a tax rate on dividends.

This article is about risk analysis of LQD. First, I will build an app that will randomly generate investment start date and end date given an investment span. The user has the freedom to set a tax rate on dividends.

The Fed dropped the Fed funds rate to floor on 2008/12/8 for the 2008 housing bubble crisis and started to raise rates on 2015/12/14. On the 2019/7/30, the Fed started to lower rates.  In this article, I want to explore performance of some investment vehicles during the following periods to see if there is anything interesting during the 2015 rate hikes: 2008/12/8 to 2019/7/30 2015/12/14 to 2019/7/30 2008/12/8 to 2019/7/30 Return of SPY : 312.514%. Return of FKINX : 184.243%. Return of HYG : 165.937%. Return of LQD : 102.573%. Return of GLD: 77.139% Return of AGG: 51.946%. Return of UUP: 3.385% 2015/12/14 to 2019/7/30 Return of SPY : 59.707%. Return of FKINX :36.079%. Return of HYG : 33.550%. Return of GLD: 32.606% Return of LQD: 22.624% Return of AGG: 12.843% Return of UUP: 5.836% Worse Loss Analysis I look for some of the worst loss during 2008/12/8 to 2018/7/29 to see if bonds are heavily affected by...

SPY and UUP, which is better?

SPY and GLD, which is better?

This article is about risk analysis of AGG. First, I will build an app that will randomly generate investment start date and end date given an investment span. The user has the freedom to set a tax rate on dividends.

This article is my study on whether I could model stock prices changes when the risk free rate chages. The followings are the setup of this study: Stock valuation is based on the dividend discount model (DDM). The stock pays quarterly dividends. The risk free rate is constant for all investment time horizon. I frist assume a annual risk free rate which is divided by 4 to get quarterly rate that matches the divided paying date for stock pricing based on DDM. The stock price is the real trading price which is used in DDM to get implied dividend amounts. Stock pays constant dividends. They don't increase or decrease. Apply DDM again with a different annual rate and the implied dividends to get new stock price. APP Current Stock Price: $ Current Annual Rate: % Change in Rate: % Calculate Rate of Stock Price Change at Different Yield We see the lower the yield, the greater its change has...

In this article I want to study if the longer the investmnet time horizon, the hgher the Sharpe ratio. This is based on the assumption that the standard deviation does not increase as fast as the ecpected returrn does and the risk free rates increase linearly. Growth of the Expected Return and Standard Deviation First, based on what most finanicl mathematics, the expected return grows linearly with investment time horizen while the standard deviation grows linearly with the squared root of the imvestment time horizon. Making the value of mean over standard deviation bigger with longer investment time horizon.  Check Real World Data with SPY ETF This is the data I got when I was doing experiment on the risk of SPY in terms of imvestment time horizon. Expected Return The data from the real world SPY data appears to follow the assumption that the expected return grows linearly with time. Return Standard Deviation The data from the real world SPY data...

This article is about risk analysis of SPY. First, I will build an app that will randomly generate investment start date and end date given an investment span. The user has the freedom to set a tax rate on dividends.

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

 In this article, I want to explore which asset, ETFs, MFs, Stocks, did best during the 2008 financial crisis. I will compare the investment results against the result of SPY, since it represents the overall market. The scenario is investing right at the highest point of S&P 500 index right before it crashed during the crisis. The date is March 24, 2000  what when the index reached 1,527.46. I will compare the returns of each asset against SPY in the following order: Investing until the bottom of the crisis at 776.76 on Oct 09, 2002  in order to simulate downside risk. Investing until the S&P 500 index closed above the previous high at 1,530.23 on May 30, 2007  in order to simulate recover ability. Investing until the bottom of the 2008 financial crisis at 676.53 on Mar 09, 2009 . Investing until the bottom of the Covid crisis at 2,304.92 on Mar 20, 2020 , in order to simulate a series of financial crisis. FKINX VS. SPY SPY return is -47.503% a...

SPY and AGG, which is better?

In this article, I want to explore which asset, ETFs, MFs, Stocks, did best during the 2008 financial crisis. I will compare the investment results against the result of SPY, since it represents the overall market. The scenario is investing right at the highest point of S&P 500 index right before it crashed during the crisis. The date is Oct 9, 2007  when the index reached 1,565.15. I will compare the returns of each asset against SPY in the following order: Investing until the bottom of the crisis at 676.53 on Mar 09, 2009 in order to simulate downside risk. Investing until the S&P 500 index closed above the previous high at 1,568.61 on Apr 09, 2013 in order to simulate recover ability. Investing until the bottom of the Covid crisis at 2,304.92 on Mar 20, 2020 in order to simulate a series of market crashes. Performance By Ranks Oct 9, 2007 to Mar 09, 2009 SHY  return is 8.848% AGG  return is 7.390% LQD  return is -6.793% HYG  return i...

Some of most famous high yield ETFs include VWEHX, HYG and PHB . Here is their performance comparisons. VWEHX stands for Vanguard High-Yield Corporate Fund Investor Shares. HYG stands for iShares iBoxx $ High Yield Corporate Bond ETF. PHB stands for Invesco Fundamental High Yield Corporate Bond ETF. Fundamentals Comparison Item VWEHX PHB HYG Expense Ratio 0.23% 0.50% 0.48% Inception 1978/12/27 2007/11/15 2007/4/4 Performance Comparison Randomly Select An Investment of 252 Days, 1 year VWEHX average return: 6.311%, VWEHX has a 61.6% chance of beating HYG. HYG average return: 5.597%, HYG has a 67% chance of beating PHB. PHB average return: 4.603%. Randomly Select An Investment of 504 Days, 2 year VWEHX average return: 14.894% VWEHX has a 79% chance of beating HYG. HYG average return: 13.299%, HYG has a 68.8% chance of be...

HYG and PHB, which is better?

VWEHX and PHB, which is better?

HYG and FKINX, which is better?