It is found that partial correlations between 12 major US equity sector ETFs conditioned on the state of economy (mimicked here by the S&P 500 index) are significantly lower than the Pearson's correlations. The Markowitz mean-variance portfolio theory is modified in terms of partial covariance....

We compared performance of past ‘winners' and past ‘losers' over the look-ahead period of one month for various portfolios that consist of the US ETFs and the holdings of the US equity Select Sector SPDRs in 2007 – 2017 and 2011 - 2017. Namely, we verified the conventional pattern...

Using web search data obtained with Google Trends, we found that some companies among the S&P 500 constituents have persistently high search scores. Many of these companies provide consumer products/services. Mean-variance optimal portfolios composed of these companies have significantly...

We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted return and loss of the trading strategy. We consider two long portfolios hedged by the SPDR S&P 500 ETF (SPY) that mimics the S&P 500 index. The first portfolio...

"This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major...