Tail


 

I remember reading an article at the start of 2013 that concluded, “This market reeks of euphoria.” The S&P 500 is up around 90% since then. In the financial markets, this makes it harder than ever to gauge investor sentiment.

crash difficult gauge index indicator investors market sentiment tail volatility

 

Trend and Carry Everywhere [0.26]

Posted on July 26, 2017, 10:08 a.m. by Cantab - We think @ [source]

Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system and show how the combination of the two return streams appears very attractive.

attractive fat financial investors patterns performance returns system systematic tail

 

Trend Is Not Your Only Friend [0.26]

Posted on July 26, 2017, 10:08 a.m. by Cantab - We think @ [source]

Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system in which the combination of the two return streams appears very attractive.

attractive fat financial investors patterns performance returns system systematic tail

 

ETF Watch: Aptus Plans 2nd Fund [0.15]

Posted on June 9, 2017, 7:30 p.m. by HOME @ [source]

Aptus Capital Advisors is planning to launch another ETF as a follow-up to its Aptus Behavioral Momentum ETF (BEMO), which launched about a year ago. The Aptus Fortified Value ETF (FTVA), like BEMO, will track a proprietary in-house index.

Aptus BEMO equal equities equity etf FTVA index tail weighted

 

ETF Watch: Aptus Plans 2nd Active Fund [0.15]

Posted on June 9, 2017, 7:30 p.m. by HOME @ [source]

Aptus Capital Advisors is planning to launch another ETF as a follow-up to its Aptus Behavioral Momentum ETF (BEMO), which launched about a year ago. The Aptus Fortified Value ETF (FTVA), like BEMO, will track a proprietary in-house index.

Aptus BEMO equal equities equity etf FTVA index tail weighted

 

Left Tail Stock Market Event [0.06]

Posted on May 4, 2017, 8:22 a.m. by Price Action Lab Blog @ [source]

A left tail event has occurred in the stock market. But the market is smart (we hope) and the left tail event is not in daily returns but in volatility.

algos categorical left logistic market model returns tail uptrend variables

 

If you read my blog regularly, you know that I’m fully transparent in how I invest my own money.

However, I’m adjusting that allocation by reducing my collective Trinity exposure by approximately 10%, and in place, adding Cambria’s new Tail Risk ETF (Ticker: TAIL).

adding hedge market personal portfolio put return stock tail Trinity

 

ETF Watch: Cambria, PowerShares Launch Funds [0.02]

Posted on April 6, 2017, 4 a.m. by HOME @ [source]

Today Cambria Investments is launching an ETF that looks to mitigate the risk of a plunge in the stock market. The Cambria Tail Risk ETF (TAIL) is actively managed and comes with an expense ratio of 0.59%.

fund money of options out prospectus purchase put tail the

 

Measuring Index Tail Risk Using Skew [0.12]

Posted on March 22, 2017, 3:01 p.m. by Blue Sky Asset Management @ [source]

The price of equity and index options are largely determined by their implied or forecasted volatility.

Skew or asymmetry are fancy words that measure the relationship between upside and downside volatility.

call higher option put skew stock strike tail upside volatility

 

The financial crisis of 2008 devastated portfolios far and wide and brought the global economy to the brink of collapse. Yes, according to advocates of extreme value theory (EVT), which is considered a more reliable and robust methodology for estimating the demons that lie in wait in the outliers of the return distributions for assets, markets, and investment portfolios.

empirical EVT losses modeling normal portfolio red returns shows tail

 

Conditional Value at Risk Models [-0.12]

Posted on Feb. 6, 2017, 8:27 a.m. by QUANTITATIVE RESEARCH AND TRADING @ [source]

One of the most widely used risk measures is the Value-at-Risk, defined as the expected loss on a portfolio at a specified confidence level. In other words, VaR is a percentile of a loss distribution.

conditional CVaR focus gaussian percentile seeks subject tail VaR words

 

A Volatility Skew Based Trading Strategy [0.07]

Posted on Jan. 31, 2017, 4:18 a.m. by Relative Value Arbitrage @ [source]

In previous blog posts, we explored the possibility of using various volatility indices in designing market timing systems for trading VIX-related ETFs.

In this article, we will attempt to build a trading system based on the third type of risk premium: volatility skew.

increases option outlier perceived probabilities returns similar skew tail volatility

 

Trim your mean [-0.01]

Posted on Dec. 18, 2016, 9:12 p.m. by Eran Raviv @ [source]

We routinely compute the average as an estimate for the mean. Often times, most of the times I dare say, you can estimate the mean more accurately.

bias closer estimate heavy observations quantile tail times trim trimmed

 

Alexander 2008). For many risk analysts, CVaR makes more sense: if VaR is a “magical” threshold, the CVaR provides us with more intuitive expectation of how much we will lose if the asset drops in trading (over next $h$ days) below a pre-calculated VaR.

asset CVaR fitting left model normal pdf student tail VaR

 

Modeling Tail Behavior with EVT [0.12]

Posted on Sept. 19, 2016, 7:53 a.m. by Eran Raviv @ [source]

Extreme Value Theory (EVT) is busy with understanding the behavior of the distribution, in the extremes.

Risk-management is enjoying a lot of progress in many fronts: in density estimation, in volatility modelling, in quantile estimation (Value at Risk) and I recently started to connect those topics with another strand of literature, that of tail estimation.

bottom convention distributions estimation extremal index extreme extremes kurtosis left tail normal observations package quantile shape shortfall tail tail estimation tails years

 

The Facebook of ecommerce [0.17]

Posted on July 8, 2016, 1:47 a.m. by Home - Benedict Evans @ [source]

Amazon in particular and ecommerce in general is good at search.

More broadly, it strikes me that 15 or 20 years ago people used to try to distinguish in ecommerce between ‘high touch’ and ‘low touch’ products, on the basis that it would be easier to buy online things that you didn’t have to touch first.

amazon brand google middle online physical product selling tail things