QuantLibXL – A Curvy Way to fit a Yield Curve

QuantLib is a magnificent library for quantitative finance. But it is also like a gun, heavy enough to shoot your own foot. You might expect that QuantLibXL (a plug-in that provides a subset of QuantLib functionality in Excel) makes your life easier. Unfortunately, it hardly does, as we show in this case study. For an easy and straight way you should better have a look at Deriscope. Continue reading "QuantLibXL – A Curvy Way to fit a Yield Curve"

Wikifolio ProReturn is 45% down – Greedy German pays the Price (over and over) again

ProReturn, one of the most popular wikifolios, lost about 45% of its value during recent market flash crash. Several millions  Euro disappeared within two days. But it seems that greedy German retail investors will never learn. Moreover, they don't want and are hardly able to learn, although the German school education system is free of charge an still much better than that in US and UK. Well, jedem das Seine!
Continue reading "Wikifolio ProReturn is 45% down – Greedy German pays the Price (over and over) again"

JuniorDepot3a – explaining correlation and diversification to a 7 year old girl

Market fall and so does Elle's portfolio. However, we still perform better than market due to diversification. So we use the opportunity to explain a 7-year old girl the idea of correlation. Continue reading "JuniorDepot3a – explaining correlation and diversification to a 7 year old girl"

JuniorDepot 3 – Buying DAX Dividend-Cows

Elle, a 7 years old girl learning to manage her wealth on her own, made her second investment. We used recent market correction to buy an ETF on DivDAX, which consists of the 15 DAX stocks with the highest dividend yield (and mostly low p/e). Continue reading "JuniorDepot 3 – Buying DAX Dividend-Cows"

Beyond Black Scholes: European Options without Dividends

Options are the simplest non-trivial financial derivatives around. They are part of the curriculum of every university course on Finance for a good reason: They are everywhere! They are traded on regulated exchanges around the world, change hands over the counter between … consenting adults, enhance or "infect" all sorts of contracts as "embedded options", constitute the main ingredient of insurance policies. In their pure form, their annual volume on U.S. Equity Option exchanges alone exceeds 4 billion contracts!
This is the first of a series of articles that will show you how to compute the fair value of options within Excel without using expensive third party software.
Continue reading "Beyond Black Scholes: European Options without Dividends"

PRIIPs – Finanzaufsichtsbehörden wollten “wie besser” und haben wie immer gemacht

Das Jahr 2018 ist im Sinne der Finanzregulierung durch MiFID II und PRIIPs bekannt geworden. Weil MiFID II "lediglich" ein großer Aufwand für Finanzinstitute war, hat PRIIPs manche Privatanleger direkt beeinträchtigt. Victor Chernomyrdin, der erste Premierminister der Russischen Föderation, ist für seine Aussagen bekannt: u.a. man wollte "wie besser" und machte wie immer. Leider trifft es die Finanzaufsicht (zu) häufig zu. Continue reading "PRIIPs – Finanzaufsichtsbehörden wollten “wie besser” und haben wie immer gemacht"

Market Data Quality – Beware the Splits and Dividends

Recently we made an ex-post analysis of our ETF screening efficiency and detected the price data inconsistency for 4 of 21 ETFs in question. Having a closer look at these ETFs, we explain the causes of inconsistency and emphasize that your trading strategy is only as good as your data (quality controls) are! Continue reading "Market Data Quality – Beware the Splits and Dividends"

Screening DeGiro free ETFs – 5 months later

On 3rd September 2017 we published a gallery of 21 ETFs and ETCs, which can/could* be traded (one a month) free of charge by our broker DeGiro. We always encourage you not to forget the past, so we publish current charts of these ETFs and you can see how things went on. Continue reading "Screening DeGiro free ETFs – 5 months later"

JuniorDepot 2 – Elle makes her first Investment in Silver

As we have recently reported, one of our readers has set up a savings plan (€100/mo.) for his 7 years old daughter Elle. We loved the idea and suggested him to let the girl decide herself,
which stocks and ETFs to buy; letYourMoneyGrow.com team assists in risk management and portfolio optimization. Our ambitious goal is to grow a new (female) Warren Buffett. Meanwhile, Elle made her first investment decision!
Continue reading "JuniorDepot 2 – Elle makes her first Investment in Silver"

Finanzieller Analphabetismus ist auch unter “Profis” keine Ausnahme

Im vorigen Beitrag haben wir krassen Finanz-Analphabetismus in Deutschland erwähnt. Anscheinend herrscht er auch unter den "Profis". Vor kurzem war ich auf einem Kaminabend für "Profis aus Finanzbranche". Es wurde u.a. über Factoring  berichtet. Der Typ sagte, Factoring bringt ca. 3% im Monat, so was bringt er per annum? – hat er gefragt. 36% rief man im Chor aus dem Saal. Na ja, (1+0.03)^{12} = 1.43 aber dann ging es noch besser. Der Typ sprach über das Betrugsrisiko und meinte, die haben 3000 künstliche Intelligenz Algorithmen, welche helfen, die Betrugsfälle proaktiv zu entdecken. Dann habe ich zurückgefragt, ob ich richtig gehört habe: drei Tausend KI-Algorithmen. "Ja!", war die Antwort. Dann meinte ich, selbst wenn man jedes einfachste Regressionsverfahren als KI-Algorithmus zählt, hat man Logistische Regression, Support Vector Machines, Neuronale Netze und vielleicht noch  10 oder 20 Verfahrene, aber kaum 3000. Die Erklärung war, es geht um Verschiede Kennzahlen (also wollte er wohl sagen, 3000 Inputparameter, hat aber darauf bestanden, es geht um KI). Meine letzte Frage war: was macht man wenn die erste Tausend "ja" sagt, die Zweite aber "nein" und die Dritte gibt keine eindeutige Signale. Die Antwort war: es müssen alle 3000 das grüne Licht geben und selbst wenn ein davon auf Gelb steht, wird das Deal nicht gemacht. Nun, wahrscheinlich hatte der Typ zumindest Recht als er sagte, Betrugsrisiko sei ein wesentliches Risiko in Factoring.