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In this context, K-I-S-S does not refer to the rock band, but to the adage "Keep it simple stupid." The phrase was coined as part of a plea to military aircraft designers to build in such a way as to facilitate repair by a typical combat field mechanic with no more than a very basic set of tools. Beyond that, the phrase seems to have found another home in internet-era Wall Street, where data and tools are so ubiquitous as to make it seem that anybody could analyze stocks as well as any guru. Full Article »
Tue Sep 28, 2010 By Marc Gerstein 3 comments
In backtesting and simulation, it seems an article of faith that we need to include an assumption for slippage. But I'm not so sure. For holding periods of a week or more, we may want to give serious consideration to testing with a minimal, or even zero, slippage assumption. Full Article »
Mon Aug 23, 2010 By Marc Gerstein 2 comments
It's easy to feel overwhelmed by the large number of ETFs that are now available; too many too many choices spread among too many styles, too many sectors, too many asset classes, too many countries, etc. If you have particular preferences, such as a desire for growth stocks, fixed income, developing country investing, etc., that will considerably narrow the choices. But if your goal is simply to find ETFs likely to perform well, whatever type they may be, you face a challenge. Different asset classes and different markets have different trading dynamics (compare commodities with fixed income, for example), so even technical models that work well with U.S. stocks may not be quite so effective with ETFs. Full Article »
Thu Jul 22, 2010 By Marc Gerstein 5 comments
Leveraged ETFs are hated by many gurus but are loved by investors. Are we sitting on another financial powder keg? Or are critics going a bit overboard? Here's a small case study that may help shed some light on a huge controversy. Full Article »
Mon Jun 07, 2010 By Marc Gerstein 2 comments
You may have noticed that the CBOE Volatility Index, the VIX, is now part of Portfolio123 and accessible through the GetSeries function. Not only is this a useful index in and of itself, as some users are already seeing, but it can also be used to help you decide how to use other tools. Full Article »
Tue May 25, 2010 By Marc Gerstein 10 comments
