Folks, take a look at the benchmarks menu in settings. We’ve got lots of new ones.
The ones we added are all ETFs, which means prices are adjusted for dividends so they are all apples-to-apples with the performance of you models. We added major sectors and styles.
This gives you much better visibility into the effectiveness of you model design. For example, a value model may look all well and good against the S&P 500, but before you put up live money, you can double check to make sure you’re also outperforming what you could get with a one-shot trade using a major value ETF.
We’re not 100% of the way there yet. Your models are typically equally weighted whole most (but not all) ETFs are cap weighted. But as you know, our efforts in formula weighting are advanced enough to have gone into open beta. So we’re still working to progress one “half life” at a time closer to ideal.
The only thing I would add for ETF model developers is either:
Blended benchmarks between SPY/BND (80% equity, 60% equity, 40% etc.) or perhaps extend the IShares risk-based ETFs which include foreign exposure too:
Thanks, great job.
I am third on the list for blended benchmarks. In fact I would just need a 60/40 one, but more would be appreciated.
Another idea is to look if it is possible to get the main (“global”) HFRX indices series for free, but honestly I don’t need them.
We’ve identified an issue with the handling of splits and dividends for a hedge position.
Attached is a list with the ETFs affected by this issue with their most recent split and/or dividend.
UPDATE: Disregard. It seems to only affect XIC:CN. Until then, XIC:CN shouldn’t be used as a hedge. We’re going to extend QQQ prices as well.