Tag Archives: Quantitative Strategy

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Leveraged ETFs

Author: Leo Chen, Ph.D., Post Date: November 14, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

Our quantitative strategy at Cumberland Advisors is a trading model that combines fundamental indicators and quantitative analysis into a binary output – either fully invested or all in cash. The strategy trades the S&P 500 in two versions: unleveraged and leveraged. Specifically, the leveraged portfolio uses a leveraged ETF as our vehicle to track 3X […]

Causality

Author: Leo Chen, Ph.D., Post Date: June 11, 2018
Cumberland Advisors Market Commentary - Leo Chen, Ph.D.

On day 1 our econometrics professor warned us to be careful with correlation: A strong correlation doesn’t necessarily mean causality. This is the case with the VIX. It’s closely related to the S&P 500 with a negative correlation, but the relationship may not be causal. I will never forget the example our professor gave us: […]