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gaj


Total Posts: 115
Joined: Apr 2018
 
Posted: 2019-07-04 16:28
According to CBOE, PutWrite outperformed S&P 500 with lower volatility from 1986 to 2016. Looks pretty good. The ETF expense ratio of 0.4% is not negligible though.

Strange


Total Posts: 1670
Joined: Jun 2004
 
Posted: 2019-07-04 17:45
You mean on the ETF? I have not looked at it, but like all programatic ETFs it's probably a ripoff.

You can replicate it yourself for about 25% of the cost. It's a pain but on the other hand, doing it yourself allows you to add all sorts of little alphlets into it, like picking different indices based on expected return (i.e. overlay stuff like momentum or what not) and level of vol, IV/RV etc. It's about an hour or two a month of work and you might be able to automate some of it.

'Progress just means bad things happen faster.’

Maggette


Total Posts: 1269
Joined: Jun 2007
 
Posted: 2020-11-05 10:37
Hi.
I wanted to ask the gods of quant trading a couple of questions on managing you personal account.

My over engineered ETF portfolio needs some help. It's still not complicated enough. :).

I am a bit concerned regarding my level of diversification in equity. Let's say US equity to be more specific.

We all know how market share weighted indices tend to cluster around a couple of stocks . FAANG in the US equity case. I will keep an SP500 ETF. But I would like to split my exposure into another ETF

Of course you could just go bigger (some ETF on the Russel 500 000 or whatever the largest index is). So basically dabbling nto small caps.

Or I could buy my own basket of stocks creating my own index.

Then of course there is the price weighted stuff DJIA-

I didn't research it, but I think I would like to stay away from the smart beta ETF stuff.

Are you aware of an ETFs that replicate other indices? Any other ideas how to create another non-cap weighted index?


Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

ronin


Total Posts: 610
Joined: May 2006
 
Posted: 2020-11-05 15:11
@magette,

I think the keyword you are looking for is "volatility weighted etf". Not to be confused with "minimum volatility etf" or "equally weighted etf", which are different things.

But you get what you pay for. SPX did well because it's concentrated. Diversify it away, and you give it all up.

"There is a SIX am?" -- Arthur

Maggette


Total Posts: 1269
Joined: Jun 2007
 
Posted: 2020-11-05 17:38
Yeah. Somehow forgot volatility weighted. Thanks!!!

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
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