SAA News and Press, ProShares Ultra SmallCap600 From 09/22/20

In this article I will walk you through the commonly used but wrong way to think about volatility decay. We'll then walk through an example of volatility decay with realistic numbers. Afterwards, we'll build a simple mathematical model to calculate volatility decay from first prin...

The function of economic forecasting is to make astrology look respectable. – John Kenneth Galbraith Where are you, small caps? Why have you not joined the biggest market rally of all time? I'm not talking about how the S&P 500 is doing, of course, or the Nasdaq. Whatever thos...

In each of the past three calendar years, small cap stocks in the U.S. have lagged their large cap counterparts by roughly 6-7% per year. This trend accelerated even more dramatically in the first quarter of 2020 as small caps underperformed large caps by over 10%-a magnitude larger than any q...

Finance students learn that small company investments that can provide excess returns versus less risky large cap, blue-chip stocks. The ‘size factor’ is one of the original components that Eugene Fama and Ken French used to develop their 3-factor model. It worked for quite s...

By Ansh Chaudhary The ETF Deathwatch list decreased in size in December. Eleven exchange-traded products ("ETPs") were added to the list, and 21 funds were removed. Of the removals, 13 were removed due to increased health and eight were due to asset managers closing their funds. During Dec...

By Ansh Chaudhary For the month of August, the ETF Deathwatch increased in size. Sixteen exchange-traded products ("ETPs") were added to the list and 10 funds were removed, making August a busier month in terms of additions. Of the removals, three were removed due to increased health and s...

By Jonathan Liss The spark for today's conversation was an article that my guest, Victor Haghani , posted to Seeking Alpha back on July 18 of this year titled Smart Beta: The Good, The Bad, And The Muddy . In it Victor helped crystallize some of the issues I myself have been s...

"In every battle there comes a time when both sides consider themselves beaten, then he who continues the attack wins." - Ulysses S. Grant Watching with interest the lingering Brexit saga playing on in conjunction with the much commented trade war between China and the United States, whe...

If you've been following the market pretty closely, you have no doubt seen the strong outperformance in small caps to kick off 2019. From a longer-term perspective, though, it's pretty amazing to see that small caps have pretty much been trading range-bound with respect to large caps over th...

By Jeremy Schwartz, CFA Research reports on share buybacks (and popular hit jobs in the press) tend to focus on the large-cap segment of the market, but the small-cap story is just as important. In a recent post, we showed that although buybacks generate much controversy as a form of c...