While there are those who specialize incontrarian plays, most traders look for equities that move in correlation with their sector and index group. This means that, when theindexor the sector ticks upward, the individual stock's price also increases. This is important if the trader wants to b...
Additionally, the results also show that natural gas is least correlated with other assets in our sample duration, which once again highlight the superior performance of UNG over other ETFs. Next, Fig. 1 illustrates intraday volatility patterns of US financial markets during the sample period. It...
Between May 23 and 27, the equities markets had an impressive run, with the tech-heavy NASDAQ (NASDAQ: QQQ) ETF up over 7% and the S&P 500 (NYSE: SPY) up over 6.50%. However, this week' whipsaws in price action occurred throughout the week and while the J trade session i...
especially at the end of a trading day. Our results show that although the trading volume of component stocks is positively and significantly correlated with the trading volume of leveraged ETFs, the return volatility of component stocks is not affected by the volatility of ETFs during the first ...
Bonds and interest rate performance is inversely correlated. Since July 1, 1981, the 10-year bond yield has essentially been going down thanks to technology, information efficiency, and globalization. As a result, the 10-year bond has performed well during this same time period. ...
“GARP-Aggressive” model as run in a 50-stock quant simulation with a quarterly rebalance. Although the new GARP-GQR model is also correlated during most years, the 50-stock quant simulation with quarterly rebalance is notably less volatile. While displaying a similar cumulative return ...