What ETFs Really Cost [0.09]

Posted on Aug. 1, 2017, 6:45 p.m. by HOME @ [source]

How much does it actually cost to own an ETF? This metric includes all internal costs of the fund, such as items we sometimes see itemized in a prospectus, like the management fee, which is how much an issuer charges for its fund management services.

asset calculation etf expense expense ratio fee fund management metric ownership


In each case, a simple average of characteristics for Micro cap stocks betrays the universe’s lower quality nature relative to Large Stocks.

By adjusting the micro cap universe, the overall metrics dramatically improve, and in some cases, are actually better than Large Stocks.

asset capital debt growth metric micro cap NOA quality stocks universe


Out-of-sample testing and luck [0.13]

Posted on July 12, 2017, 3:38 p.m. by Alvarez Quant Trading @ [source]

Continuing from the last post, I will show how using different definitions of passing our out-of-sample test can change our results.

Out last metric, “the chart of the top 100 in IS and what decile they end up in OOS looks good.” This is a chart of the count of each decile that our top 100 in IS ended up in OOS.

car chance data decile metric OOS strategy top top decile variation


In light of today’s big Whole Foods acquisition by Amazon, this is a kinda intriguing metric; its worth pointing out that on average, Consumer Staples generates almost 2X the revenue bang per employee than does Consumer Discretionary.

acquisition amazon Big consumer Foods intriguing kinda light metric worth


When you review the performance of a trading model, how do you know it’s worth trading for? When it comes to evaluating your trading model there are many factors to take into account.

confidence interval future metric net produce profit standard deviation system trade trading model


Food for thought: Risk Backtesting? [0.13]

Posted on May 1, 2017, 12:41 a.m. by I AM QUANT BEAR @ [source]

As you are reading this blog you are definitely familiar with the concept of backtesting trading strategies, and probably have done so a significant amount of times. So if you are not backtesting your VaRs and Expected Shortfalls (not a comprehensive list), I hope that this post will show you that it is quite necessary.

age exception implementation market metric obtain post returns VaR volatility


Too many companies are themselves unhappy customers when it comes to building measurement systems.

It’s understandable, then, that executives looking to boost their companies’ competitiveness via superior customer experience have for some time now invested heavily in a farrago of metrics that at times seem to range from the sublime to the ridiculous: metrics that score satisfaction, metrics to gauge willingness to promote a service or detract from it, metrics to judge how effortlessly a company serves its customers, and even metrics to assess how “ideal” a customer’s experience is.

customer experience design journey matter measurement metric operational satisfaction system touchpoint


34 Startup Metrics for Tech Entrepreneurs [0.24]

Posted on April 19, 2017, 7:11 p.m. by Visual Capitalist @ [cached copy]

Today’s infographic comes from Funders and Founders and information designer Anna Vital, and it lists the important metrics to gauge traction and success of new startups.

How do you measure growth and costs in a more meaningful way?

active blessing churn founders growth metric proxy revenue startup user


Only a few days after Trump’s inauguration ceremony, the U.S. National Debt will creep across the important psychological barrier of $20 trillion. The debt is burdensome by pretty much any metric, and the rate of borrowing has exceeded economic growth pretty much since the late 1970s.

borrowing burdensome debt economic exceeded metric money pretty rate years


Doom and the Stock Market [0.00]

Posted on Dec. 2, 2016, 11 a.m. by CXO Advisory @ [source]

Is proximity to doom good or bad for the stock market? To measure proximity to doom, we use the Doomsday Clock “Minutes-to-Midnight” metric, revised occasionally via the Bulletin of the Atomic Scientists, which “conveys how close we are to destroying our civilization with dangerous technologies of our own making.

Clock doom Doomsday metric Midnight minute occasionally proximity revised to


Better Model Selection for Evolving Models [0.15]

Posted on Sept. 26, 2016, 4:58 a.m. by Quintuitive @ [source]

For quite some time now I have been using R’s caret package to choose the model for forecasting time series data. If the model is re-trained often – the approach has significant computational overhead.

caret forecast metric model mtry parameter re single single model subset walk


The Discipline of Value Investing [0.06]

Posted on Sept. 8, 2016, 6:16 p.m. by Investing Research @ [source]

Value has a long history as an investing style, backed up by empirical evidence that portfolios of the cheapest stocks outperform the broad market. The strategy behind value investing is simple: buy stocks with a low price relative to their current financial metrics like earnings, EBITDA or cash flow.

amazon business cap companies earnings ebitda energy expectations expensive flow free investment macy metric metrics oil refiners sales stock stocks universe subindustries times underperformed universe


When is a “Value” Company not a Value? [0.11]

Posted on July 31, 2016, 10:18 p.m. by Investing Research @ [source]

Value has broadly been accepted as an investing style, and historically portfolios formed on cheap valuations outperformed expensive portfolios. In particular, several operating metrics of value, like Earnings and EBITDA, have outperformed the more traditional Price-to-Book ratio.

/book book cheap companies earnings ebitda/ev effective effectiveness equity growth inactive issuance market cap market capitalization median metric operating metrics price ratio reduced shares spread stock


The options to invest our money are increasing all the time, as are the strategies with which to do it.

In trading and investing, these metrics fall into five main areas.

ensure expectancy market metric objectives preference realistic trade trading win rate


Monte Carlo K-Means Clustering of Countries [0.07]

Posted on Feb. 9, 2015, 7 a.m. by Turing Finance @ [source]

In the first part of this three-part series, What Drives Real GDP Growth?, I identified four themes which drive real GDP growth.

In this article the 188 countries are clustered based on those 19 socioeconomic indicators using a Monte Carlo K-Means clustering algorithm implemented in Python.

closest cluster clusters countries data davies demographic dividing euclidean fractional growth heuristic identified illustration initialization inter intra manhattan mean metric partitional pattern potential quantization error random regions sensitive silhouette index similarity south africa spaces steps values