SAA

Conceptualizing The Volatility Decay Of Leveraged Funds

In this article I will walk you through the commonly used but wrong way to think about volatility decay.We'll then walk through an example of volatility decay with realistic numbers.Afterwards, we'll build a simple mathematical model to calculate volatility decay from first principles.We'll compare the model with back-test simulations done on portfoliovisualizer.com.

Don't Hold Your Breadth Waiting For The So-Called Small-Cap Effect To Reassert Itself

Led by Fama-French and the quant community, Wall Street has long considered small caps to be a significant factor in and of itself.Not so! Fundamental assessment of businesses shows that large and small companies are structurally different and that all else being equal, smaller firms are riskier.Aiming at small-cap per se is a risk-on choice; the idea of emerging growth should be pursued in a market-capitalization-neutral manner.

Either Lumber Is Wrong, Or Small Caps Are

Lumber is screaming that small caps should be outperforming, consistent with my 2015 NAAIM award white paper.Lumber’s vertical move explains why housing is vertical, and domestic small caps should be the biggest beneficiaries – but aren't at the moment.A look at the disconnect between large and small caps.