About the SOSPDR site
The aim of this site is to present theory and tools for effective,
relatively low-risk investing. Unfortunately the site is quite incomplete.
The author is an old, retired mathematician. He is making up this stuff for his
personal pleasure and profit. Whether he will ever finish the project remains
to be seen.
Funds and Portfolios
Select
Sector SPDR ("Spider") Funds
are exchange traded funds benchmarked against the nine Select Sector Indexes
published by the
American Stock Exchange.
The Select Sector Indexes, in aggregate, represent the general industry
classifications that make up the S&P 500 Composite Stock Index.
Here are symbols for the funds and some (ex post optimal) portfolios we consider.
| SOLNG |
– | Sharpe-Optimal Long SPDR Portfolio |
| SOLS0 |
– | S0-Optimal Long-Short SPDR Portfolio
(short-monies-received lie fallow) |
| SOLS1 |
– | S1-Optimal Long-Short SPDR Portfolio
(short-monies-received are reinvested in the base) |
| |
| SPY |
– | S&P 500 SPDR |
| |
| XLY |
– | Consumer Discretionary SPDR |
| XLP |
– | Consumer Staples SPDR |
| XLE |
– | Energy SPDR |
| XLF |
– | Financial SPDR |
| XLV |
– | Health Care SPDR |
| XLI |
– | Industrial SPDR |
| XLB |
– | Materials SPDR |
| XLK |
– | Technology SPDR |
| XLU |
– | Utilities SPDR |
| |
| BSV |
– | Vanguard Short-Term Bond ETF (base)
(We use 3 month
treasury bill rates for historical experiments [STRATEGY])
|
All ex post Sharpe-optimal portfolios are based on samples of 39 successive
13-week (simple) returns.
To explore this site
The following labels, which appear at the top and bottom of each page, may help
you navigate the Sharpe-Optimal SPDR Portfolios site. Here's a
description of where they lead.
|
Vic Norton's home page. Who is Vic Norton? That's me.
|
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Vic Norton's Finance-Math page.
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SOPDR
|
The SOPDR cover page. The title and a picture.
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ABOUT
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This page—where you are now.
|
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PCALC
|
The SPDR Portfolio Calculator. This tool may help you manage your
SPDR portfolio.
|
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RECENT
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Recent results. Sharpe ratios, expected returns, standard deviations,
and Sharpe-optimal portfolio proportions for the past 14 weeks.
|
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STRATEGY
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Various investment strategies and how they performed since the beginning of
2000.
|
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The next page, if you are browsing. The SPDR Portfolio Calculator page is the
next page from here.
|
Talking points
Here are some talking points,
plovdivtalk.pdf (around 2.1 MB), for a talk at the
Fourth International Conference of Applied Mathematics and Computing
at Plovdiv, Bulgaria, and
bgsutalk.pdf (around 0.9 MB), for a talk at
Bowling Green State University. These notes may be indecipherable.
Sorry about that!
Computation
Remark: this paragraph is somewhat out of date.
The
Octave routine
soptf (Sharpe optimal portfolio) did much of the computation
for this study. This routine is in turn an application of the
maxcos routine for maximizing a cosine function. These
routines are free software; they are contained in the file
maxcos.zip.
Small historical variations
Most of the data contained in this site are recomputed from week to week using
adjusted closing prices from
<http://finance.yahoo.com/>.
These adjusted closing prices change from one week to the next; that's the
adjustment part. As a consequence there may be small changes in some of our data
that would seem to be fixed by history.
Good luck with your investments!
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