I know its not an exciting algo but I was introduced to the idea of alpha decay on ETF pairs awhile back and decided to run a simple short JDST and JNUG and its pretty surprising.
Is there something this doesn't account for? I know ETFs usually have a commission but im pretty sure that is front-loaded when you purchase the ETF.
Margin costs play a role. Im not sure what else. Im sure someone else has a more elegant explanation.
Cost of Shorting for these 3x leveraged ETFs is always really high. In fact some I believe you can't even short.
Ocasaionally these ETF's are temporarily placed on the short sale restricted list. This may have a very large effect on the accuracy of your backrest: https://www.nyse.com/markets/nyse-arca/notices
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
