Understanding commodity ETF decay

Pavel Hála | Quantitative trading | 1. 3. 2017

In the previous article, I explained compounding effect and the reason why leveraged ETFs lose value over time. Today, we’ll take a look at commodity ETFs. These funds can decay very fast, even if they are non-leveraged. That’s because the mechanism of decay is of different nature than that of leveraged ETFs holding stocks. Most…

More

Not all ETFs are created equal

Pavel Hála | Quantitative trading | 20. 2. 2017

ETFs or Exchange Traded Funds are investing hit of recent years. Even small investors can seamlessly open a position in stock index or various commodities using ETF. That was previously possible only by using big futures contracts that required huge account. However the human invention has no boundaries. More exotic ETFs, like inverse or leveraged,…

More

Commitment of Traders

Pavel Hála | Quantitative trading | 15. 10. 2015

As I promised last time, I will finally delve into my quant beginnings. I consider the work in COT analysis to be my truly first quantitative achievement. COT, or the Commitment of Traders, is the report published by the CFTC (US federal agency for the supervision of commodity markets). The report is actually a huge…

More

Let the machines work for you

Pavel Hála | Quantitative trading | 6. 7. 2015

In the previous article I described the tool that scans through the commodities markets and find interesting trading opportunities based on seasonality and contango. I also told beginners in quantitative trading not to get discouraged by the complexity of my description. I’ll describe my own beginnings in future parts of this series, because I also…

More

Why Excel won’t be enough?

Pavel Hála | Quantitative trading | 18. 6. 2015

In the previous article I explained what is quantitative trading about. In this article I will briefly describe how to start your own research. As I wrote last time, I’m writing about my path and my approach, which may not suit everyone. So take this article as an inspiration. Quantitative trading has the great advantage…

More

What is quantitative trading about?

Pavel Hála | Quantitative trading | 3. 6. 2015

What does quantitative trading actually mean? First, I must point out that this designation conceals many trading techniques on various types of assets using different trading frequency. The unifying element (according to me) is the use of data mining methods, i.e. bulk data processing using custom algorithms, subsequent visualization (plotting), or searching for patterns and…

More

What am I working on right now?

Pavel Hála | Announcements, Quantitative trading | 25. 5. 2015

After two years, I have left Charles Bridge Global Macro Fund in April this year. I moved to a brokerage and asset management company Colosseum, a.s. I’d like to use this post to thank my friends at Charles Bridge. It was a wonderful time working with a small group of very smart people. Charles Bridge…

More