Quantitative Investment with Machine Learning in US Equity Market
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Should U.S. Investors Invest Overseas?
Should U.S. Investors Invest Overseas? nterest in foreign investment has been high among U.S. investors in recent years. The unprecedented growth of 401k pension plans has Igreatly increased the number of people who must make their own investment decisions in planning for their retirement. Many investors know that geographic diversification can improve investment returns without increasing risk. However, whether or not to invest abroad and, if so, how much weight to give to foreign investment, are questions often subject to heated debate. Some investment advisors recommend that U.S. investors put as much as one-third of their stock portfolio in foreign stocks to take advantage of the benefits of diversification. Others believe that foreign investment should play only a small role, if any, in a U.S. investor’s stock portfolio. They argue that political uncertainties and currency fluctuations make the value of foreign investments far more volatile for the investor without the offsetting benefits of higher returns, and that diversification benefits are not enough to offset this disadvan- tage.1 Moreover, U.S. investors can get overseas exposure by investing in the stocks of domestic companies. Many U.S. multinationals that are part of the Dow Jones Industrial Average, such as IBM and Coca-Cola, derive a substantial portion of their revenue from overseas operations. The question of whether or not to invest abroad is part of the larger question of how to assemble a portfolio that is appropriate for the investor’s circumstances and degree of risk tolerance. Modern portfolio theory, introduced by Markowitz in the 1950s, uses optimization tech- Katerina Simons niques and historical data on the returns, risks, and correlations of available securities to construct a portfolio with the lowest possible risk for a given level of return. -
Roth IRA Vantagepoint Funds
Vantagepoint IRA Funds Stable Value/CashManagement Funds Code U.S. Stock Funds Code Dreyfus Cash Management Fund, Class Participant DPCXX MX Legg Mason Capital Management Value Trust, Class Financial Intermediary LMVFX G6 Bond Funds Code Vantagepoint Growth Fund VPGRX MG Vantagepoint Low Duration Bond Fund VPIPX MB Janus Fund, Class S JGORX 6C Vantagepoint Core Bond Index Fund, Class I VPCIX WM T Rowe Price® Growth Stock Fund, Class Advisor TRSAX PX PIMCO Total Return Fund, Class Administrative PTRAX XM T Rowe Price® Blue Chip Growth Fund, Class Advisor PABGX TC Vantagepoint Ination Protected Securities Fund VPTSX MT Legg Mason Capital Management Growth Trust, Class Financial Intermediary LMGFX ES PIMCO Real Return Fund, Class Administrative PARRX HK Janus Forty Fund, Class S JARTX AG PIMCO High Yield Fund, Class Administrative PHYAX XT Vantagepoint Select Value Fund VPSVX M2 Balanced/Asset Allocation Funds Code Fidelity Advisor Value Fund, Class A FAVFX 5F Vantagepoint Milestone Retirement Income Fund VPRRX 4E Vantagepoint Mid/Small Company Index Fund, Class I WDVPSIX Vantagepoint Milestone 2010Fund VPRQX CA Legg Mason Capital Management Special Investment Trust, Class Financial Intermediary LGASX 3V Vantagepoint Milestone 2015Fund VPRPX CH Fidelity Advisor Leveraged Company Stock Fund, Class A FLSAX VV Vantagepoint Milestone 2020Fund VPROX CJ Vantagepoint Aggressive Opportunities Fund VPAOX MA Vantagepoint Milestone 2025Fund VPRNX CN Janus Enterprise Fund, Class S JGRTX N4 Vantagepoint Milestone 2030Fund VPRMX CR American Century® Vista -
Vanguard Fund Fact Sheet
Fact sheet | June 30, 2021 Vanguard® Vanguard Dividend Growth Fund Domestic stock fund Fund facts Risk level Total net Expense ratio Ticker Turnover Inception Fund Low High assets as of 05/28/21 symbol rate date number 1 2 3 4 5 $51,232 MM 0.26% VDIGX 15.4% 05/15/92 0057 Investment objective Benchmark Vanguard Dividend Growth Fund seeks to Dividend Growth Spliced Index provide, primarily, a growing stream of income over time and, secondarily, long-term capital Growth of a $10,000 investment : January 31, 2011—D ecember 31, 2020 appreciation and current income. $33,696 Investment strategy Fund as of 12/31/20 The fund invests primarily in stocks that tend to $32,878 offer current dividends. The fund focuses on Benchmark high-quality companies that have prospects for as of 12/31/20 long-term total returns as a result of their ability 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 to grow earnings and their willingness to increase dividends over time. These stocks typically—but not always—will be undervalued Annual returns relative to the market and will show potential for increasing dividends. The fund will be diversified across industry sectors. For the most up-to-date fund data, please scan the QR code below. Annual returns 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Fund 9.43 10.39 31.53 11.85 2.62 7.53 19.33 0.18 30.95 12.06 Benchmark 6.32 11.73 29.03 10.12 -1.88 11.93 22.29 -1.98 29.75 15.62 Total returns Periods ended June 30, 2021 Total returns Quarter Year to date One year Three years Five years Ten years Fund 6.56% 11.10% 33.04% 17.04% 14.69% 13.45% Benchmark 5.79% 10.46% 34.52% 17.30% 15.48% 13.09% The performance data shown represent past performance, which is not a guarantee of future results. -
ICMA-RC Fund Sheet
COBB COUNTY FUND CODES SHEET Stable Value Fund Fund Code PLUS Fund ................................................................................................71 Vantagepoint Model Portfolio Funds Bond Funds Savings Oriented (Code SF) VP Core Bond Index Fund ..................................................................... WN VP US Government Securities Fund ....................................................... MT 5% International Fund VT PIMCO Total Return Fund (Administrative shares) ............................. I8 10% Growth & Income Fund VT PIMCO High Yield Fund (Administrative shares) .............................. L2 Balanced Funds 10% Equity Income Fund 35% Short-Term VP Asset Allocation Fund ........................................................................ MP VT Fidelity Puritan® Fund ......................................................................... 24 Bond Fund VP Savings Oriented Model Portfolio Fund .............................................. SF VP Conservative Growth Model Portfolio Fund ........................................ SG 30% Core Bond VP Traditional Growth Model Portfolio Fund ........................................... SL Index Fund 10% US Government VP Long-Term Growth Model Portfolio Fund ......................................... SM VP All-Equity Growth Model Portfolio Fund ........................................... SP Securities Fund VP Milestone Retirement Income Fund .................................................... 4E VP Milestone 2010 Fund ........................................................................ -
Modern Portfolio Theory: Dynamic Diversification for Today’S Investor
Modern Portfolio Theory: DYNAMIC DIVERSIFICATION FOR TODAY’S INVESTOR Contact: Mitch Fee Alternative Investments Three Lakes Advisors (949) 533-2136 [email protected] Modern Portfolio Theory: Dynamic Diversification for Today’s Investor A Personal Message from Three Lakes Advisors ____________________________________________1 Modern Portfolio Theory _______________________________________________________________3 Growth of Managed Futures ____________________________________________________________4 Studies on Managed Futures Portfolio Impact and Performance ________________________________5 Hypothetical Examples of Adding Managed Futures to a Stock and Bond Portfolio __________________10 Are Managed Futures Riskier Than Stocks? ________________________________________________11 Academic Studies on Managed Futures ___________________________________________________11 What Are Professional Commodity Trading Advisors? ________________________________________14 The Professional Versus The Amateur Trader ______________________________________________15 Dynamic Diversification at an Affordable Cost ______________________________________________16 Our CTA Selection Process ____________________________________________________________17 Doubly Diversified CTA Portfolios ________________________________________________________17 The Investment Process _______________________________________________________________18 Questions & Answers _________________________________________________________________19 Trading futures and options involves -
Semi-Annual Report
SEMIANNUAL REPORT August 31, 2020 T. ROWE PRICE New York Tax-Free Funds For more insights from T. Rowe Price investment professionals, go to troweprice.com. Beginning on January 1, 2021, as permitted by SEC regulations, paper copies of the T. Rowe Price funds’ annual and semiannual shareholder reports will no longer be mailed, unless you specifically request them. Instead, shareholder reports will be made available on the funds’ website (troweprice.com/prospectus), and you will be notified by mail with a website link to access the reports each time a report is posted to the site. If you already elected to receive reports electronically, you will not be affected by this change and need not take any action. At any time, shareholders who invest directly in T. Rowe Price funds may generally elect to receive reports or other communications electronically by enrolling at troweprice.com/paperless or, if you are a retirement plan sponsor or invest in the funds through a financial intermediary (such as an investment advisor, broker-dealer, insurance company, or bank), by contacting your representative or your financial intermediary. You may elect to continue receiving paper copies of future shareholder reports free of charge. To do so, if you invest directly with T. Rowe Price, please call T. Rowe Price as follows: IRA, nonretirement account holders, and institutional investors, 1-800-225-5132; small business retirement accounts, 1-800-492-7670. If you are a retirement plan sponsor or invest in the T. Rowe Price funds through a financial intermediary, please contact your representative or financial intermediary or follow additional instructions if included with this document. -
Investing with Volume Analysis
Praise for Investing with Volume Analysis “Investing with Volume Analysis is a compelling read on the critical role that changing volume patterns play on predicting stock price movement. As buyers and sellers vie for dominance over price, volume analysis is a divining rod of profitable insight, helping to focus the serious investor on where profit can be realized and risk avoided.” —Walter A. Row, III, CFA, Vice President, Portfolio Manager, Eaton Vance Management “In Investing with Volume Analysis, Buff builds a strong case for giving more attention to volume. This book gives a broad overview of volume diagnostic measures and includes several references to academic studies underpinning the importance of volume analysis. Maybe most importantly, it gives insight into the Volume Price Confirmation Indicator (VPCI), an indicator Buff developed to more accurately gauge investor participation when moving averages reveal price trends. The reader will find out how to calculate the VPCI and how to use it to evaluate the health of existing trends.” —Dr. John Zietlow, D.B.A., CTP, Professor of Finance, Malone University (Canton, OH) “In Investing with Volume Analysis, the reader … should be prepared to discover a trove of new ground-breaking innovations and ideas for revolutionizing volume analysis. Whether it is his new Capital Weighted Volume, Trend Trust Indicator, or Anti-Volume Stop Loss method, Buff offers the reader new ideas and tools unavailable anywhere else.” —From the Foreword by Jerry E. Blythe, Market Analyst, President of Winthrop Associates, and Founder of Blythe Investment Counsel “Over the years, with all the advancements in computing power and analysis tools, one of the most important tools of analysis, volume, has been sadly neglected. -
FRS Investment Plan Excessive Fund Trading Policy November 2003 (Revised July 2014)
FRS Investment Plan Excessive Fund Trading Policy November 2003 (revised July 2014) 1. Foreign and global investment funds are subject to a minimum holding period of 7-calendar days following any non-exempt transfers into such funds. For example, if a member transfers $5,000 into one of the funds listed below on November 4, the member will not be able to transfer the $5,000 out of that fund until November 12, except for distributions out of the plan. Foreign and global funds include: a. FRS Foreign Stock Index Fund (200) b. American Funds EuroPacific Growth Fund (220) c. American Funds New Perspective Fund (210) 2. All investment funds (except for money market funds and funds within the Self-Directed Brokerage Account1) are subject to the following controls in order to mitigate excessive fund trading: a. Members that engage in one or more Market Timing Trades (as defined in the Definitions section below) in authorized funds will receive a warning letter sent by U.S. mail. The warning letter will notify the member that Market Timing trades have been identified in his/her account and any additional violations will result in a direction letter. b. Members engaging in one or more Market Timing Trades and who have previously received a warning letter will be sent a direction letter by courier (i.e. UPS, FedEx, etc.). The SBA may require non-automated trade instructions for at least one full calendar month following the date of the direction letter for all trades involving the Investment Plan primary funds. Subsequent violations may require members to conduct trades via paper trading forms mailed certified/return- receipt to the SBA for all trades involving the Investment Plan primary funds. -
Stock Forecasters
1 | P a g e 2008 SOFTWARE ENGINNERING OF WEB APPLICATIONS GROUP # 5 WEB BASED STOCK FORECASTERS This report describes the Stock Prediction System titled “TIMING THE MARKET” developed by our team which has various modules like Data Mining, Web Services, Neural Network Based Stock Prediction and Technical Indicators. SUBMITTED BY: AMARINDER CHEEMA ATEET VORA CHETAN JAIN PUNEET KATARIA RONAK SHAH SIDDHARTH WAGH 7 May, 2008 2 | P a g e ACKNOWLEDGEMENT It is a moment of great pleasure and satisfaction for us to express our sense of profound gratitude to all people who have contributed in making our project work a rich experience. We convey our sincere thanks Prof. Ivan Marsic for giving us an opportunity to take up the project work and also helping us in all phases of the project work and providing our team sound encouragement. We are also thankful to him for the technical guidance, help and facilities provided to us for successful completion of our project work. 3 | P a g e BREAKDOWN OF RESPONSIBILITIES 4 | P a g e TABLE OF CONTENTS Breakdown of Responsibilities.....................................................................................................03 Summary of Changes...................................................................................................................07 Glossary of Terms………………………………………………………………………......................08 1. Introduction..............................................................................................................................11 1.1 Project Goals and Requirements.................................................................................12 -
A Pairs Trading Strategy for GOOG/GOOGL Using Machine Learning
A Pairs Trading Strategy for GOOG/GOOGL Using Machine Learning Jiayu Wu December 9, 2015 Abstract We apply the spread model, the O-U model and SVM to build a pairs trading strategy for GOOG/GOOGL. There are two parts of the project that we think are novel after reviewing past related work: first, we model not only price spread but also several selected technical indicators' \spread"; second, we use two new metrics for measuring our trading strategy instead of the traditional back-testing method because we want to focus more on future prediction rather than return prediction, and to achieve that, we also propose two algorithms to reconstruct the data set. We outline the process of how our strategy is executed and, at the end, show that our strategy delievers a good win-rate. 1 Introduction One important thing for a pairs trading strategy is to select a proper pair of financial instrucments. For exam- Pairs trading is a popular trading strategy in the last ple, if the price of security A always rises when the price three decades after it was first used by Morgan Stanley of security B rises, it seems that A and B may be used in 1980s. Pairs trading means to utilize a pair or a bag of for pairs trading. However, the explicit relation between related financial instruments to make profits by exploiting prices may not be good enough for a good pair. The good their relations. One important feature of pairs trading is pairs should share as many the same intrinsic character- that it is market-neutral, which is particularly appealing istics as possible. -
Chapter 11 Return and Risk the Capital Asset Pricing Model.Pdf
University of Science and Technology Beijing Dongling School of Economics and management ChapterChapter 1111 ReturnReturn andand RiskRisk TheThe CapitalCapital AssetAsset PricingPricing ModelModel Nov. 2012 Dr. Xiao Ming USTB 1 Key Concepts and Skills • Know how to calculate the return on an investment • Know how to calculate the standard deviation of an investment’s returns • Understand the historical returns and risks on various types of investments • Understand the importance of the normal distribution • Understand the difference between arithmetic and geometric average returns Dr. Xiao Ming USTB 2 Key Concepts and Skills • Know how to calculate expected returns • Know how to calculate covariances, correlations, and betas • Understand the impact of diversification • Understand the systematic risk principle • Understand the security market line • Understand the risk-return tradeoff • Be able to use the Capital Asset Pricing Model Dr. Xiao Ming USTB 3 Chapter Outline 11.1 Individual Securities 11.2 Expected Return, Variance, and Covariance 11.3 The Return and Risk for Portfolios 11.4 The Efficient Set for Two Assets 11.5 The Efficient Set for Many Assets 11.6 Diversification 11.7 Riskless Borrowing and Lending 11.8 Market Equilibrium 11.9 Relationship between Risk and Expected Return (CAPM) Dr. Xiao Ming USTB 4 11.1 Individual Securities • The characteristics of individual securities that are of interest are the: – Expected Return – Variance and Standard Deviation – Covariance and Correlation (to another security or index) Dr. Xiao Ming USTB 5 11.2 Expected Return, Variance, and Covariance Consider the following two risky asset world. There is a 1/3 chance of each state of the economy, and the only assets are a stock fund and a bond fund. -
Dodge & Cox Funds 2020 Estimated Year-End Distributions
2020 Estimated Year-End Distributions Estimates as of October 31, 2020 Year-End Distribution Dates December 2020 income and capital gain distributions will occur according to the following schedule: Record Date: December 17, 2020 Ex-Dividend and Reinvestment Date: December 18, 2020 Payable Date: December 21, 2020 Estimated Year-End Income and Capital Gain Distributions The table below lists estimated year-end income and capital gain distributions for the Dodge & Cox Funds. Please note that these distribution estimates are based on shares outstanding on October 31, 2020 and are subject to change. Actual distributions will be based on shares outstanding on the Record Date and are subject to approval by the Funds’ Board of Trustees. Estimated Estimated Short-Term Estimated Long-Term Income Distribution Capital Gain Distribution Capital Gain Distribution Amount per % of Amount per % of Amount per % of Fund Share NAV Share NAV Share NAV Stock Fund (DODGX) $0.40* 0.2% None None $7.92 4.9% Global Stock Fund (DODWX) $0.17 1.6% None None None None International Stock Fund $0.78 2.2% None None None None (DODFX) Balanced Fund (DODBX) $0.41* 0.5% $0.14 0.2% $3.66 4.0% Income Fund (DODIX) $0.08* 0.6% $0.19 1.3% $0.11 0.8% Global Bond Fund (DODLX) $0.19* 1.6% $0.06 0.5% None None *Fund normally distributes income (if any) on a quarterly basis Timing of Capital Gain Distributions If a Fund has net capital gains through October 31st, they are normally distributed to shareholders in December.