Tag Archives: Leo Chen

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Cumberland Advisors Market Commentary – S&P 500 After COVID-19

Author: Leo Chen, Ph.D., Post Date: June 1, 2020
Market Commentary - Cumberland Advisors - S&P 500 After COVID-19

The S&P 500 Index is widely used as the benchmark for over $9.9 trillion in investments. After losing 35.4% in just a month, the index has rebounded 36.5% from its March 23rd bottom. These extraordinary numbers during extraordinary times are unlikely to continue after COVID-19’s impacts on the market subside. So what can we expect […]

4Q2019 Review – Market Volatility / Leveraged Volatility / Sector Alpha Portfolios

Author: Leo Chen, Ph.D., Post Date: December 31, 2019
Cumberland Advisors - Quarterly Review - Market Volatility ETF

4Q 2019 Review: Market Volatility / Leveraged Volatility / Sector Alpha Portfolios The S&P 500 has had a tremendous melt-up in the fourth quarter of 2019. With the Federal Reserve’s cutting rates for the third time in October and the easing of trade tensions between the US and China, it is not surprising that the […]

Cumberland Advisors Market Commentary – 3Q2019 Review – Market Volatility ETF

Author: Leo Chen, Ph.D., Post Date: September 26, 2019
Cumberland Advisors - Quarterly Review - Market Volatility ETF

Although the S&P 500 made new highs after the Federal Reserve cut interest rates in 2018 for the first time since the Great Recession, the hawkish rate cut was not enough to sustain the market rally, which was derailed by additional tariffs that President Trump announced on August 1st on $300 billion of Chinese imports. […]

Cumberland Advisors Market Commentary – Market Volatility ETF Portfolio 2Q 2019 Review: Rising VIX

Author: Leo Chen, Ph.D., Post Date: June 19, 2019
Cumberland Advisors - Quarterly Review - Market Volatility ETF

The US stock market experienced some rising volatility caused by the tariff war during the second quarter of 2019. While the S&P 500 didn’t drop by double digits in May, the volatility index, VIX, briefly touched above 20 last month. As a general rule of thumb, investors can expect a 10% correction in the stock […]

Leveraged ETF Tracking Error

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

We discussed the goal of leveraged ETFs previously – to provide daily returns that match the desired ratio over the underlying index (https://www.cumber.com/margin-trading-vs-leveraged-etfs/). These ETFs rebalance daily to maintain the proportional leverage through derivatives such as futures, forwards, and swaps. We will demonstrate that this daily rebalancing feature dictates the long-term returns of leveraged ETFs, […]