Search results

Right, so there is obvious positive mean. My guess is that it's going to be about 3-4 basis points on average with a significant negative skew (e.g. like 3 bps mean, 4 bps median) and a Sharpe from 0.7 to 1.1. I can run the study, but I am too lazy :) That's not what I am saying, though. I...

Could you go back 10 years? :) in fairness, all of these studies assume a perfect MOO and MOC fill and, as I said before, once you start looking at anything tradeable the effect is really thin.

You probably would get even more "pickup" if you are only holding it over the weekend (Friday close to Monday open). This said, we are probably talking about Sharpe ratios of 0.9 or something like that. Also, since it's a risk premium effect you get better pnl/tradeval if you use more volatile...

There is a good academic explanation for it, too. Most of the news and economic releases occur before the equity open, so predictably most equity risk premium accrues overnight.

The effect is there, but it's very thin if you test it on stocks or ETFs as opposed to an index that effectively averages the open and the close. E.g. run it on SPYs and see what is the average per trading day?

It really depends, a lot of times the skew would flatten in a sell-off. It's only natural, as people who are long protection are selling it and buying the upside. Also, as the absolute level of volatility goes up, downside vol premium is less pronounced (vol can't go up to infinity so cost of...

You do realize that there is no theta there really, it's all about forward roll?

While I mostly agree, there is an argument there. The transitional government was a bunch of thieves and I am pretty sure all property deals were based on bribes. This is equivalent of letting your junkie neighbor to housesit only to discover that he sold all the furniture - would you consider...

Not to say that @dozu888 is wrong, you can become millionaire this way but it's much harder than the media says it is. A guy making 50k a year would have a fairly hard time setting aside a grand a month, I'd think.

Oh, okay, so we are talking about different things. I thought you means 241 thousand is the total investment over the years to have a million dollars today which is about right. The monthly investment is about a thousand dollars - plug that into the calculator :D PS. In fairness, 12%-13% return...

yeah, I'd recon 241 is with div reinvestment. So the rate of return is ln(1mm/241)/20 which makes it roughly 6.5 percent? Nice, but not thrilling, considering that he would have done equally well buying TLTs (maybe even better).

Average annual returns are severely misleading since you can't eat percentages. Let's take an average Joe that's averaging into his retirement. A simple historical calculation shows that to have roughly a million dollars in QQQ shares today, he'd have to buy about 50 dollars worth of QQQ every...

Considering that NDX only recently (2016 or so) recovered back to the peak of 2000, it' not surprising that it's been showing good growth. A dollar invested in QQQ in March of 2000 would only breakeven in 2013 or so on total return basis (I don't have the total return in front of me but that...

Luck is the biggest factor. Hard work (based on hunger or work ethic) is important, but is far outweighed by luck.

You do realize that you can see money move from a wallet? So if the money was gone, it would be known

LOL - someone on BBG had a similar idea (article from 7 am this morning): https://www.bloomberg.com/opinion/articles/2019-04-12/tax-refunds-will-put-a-damper-on-consumer-spending

I was listening to some lady today who said the totals (federal and state) were very down, with a lot of people owing money.

It's pretty fucked up but that's the way of the world. I am not rich (or at least I don't think of myself this way), but even my modest level of success would be much harder to achieve if I was born in a ghetto or in a village in Nepal.

IQ too, since it's not a pure measure of genetic ability by any means. It starts before birth, people who are not poor get better prenatal care and their mothers don't drink or smoke while pregnant. They get "educational daycare" with various tutors and stuff. You can extrapolate from there.

That's my sense, that the middle-middle class people in states with high local taxes are getting very seriously slammed. Gotta hit the consumption numbers, right? Well, you are there to make the family budget :D