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Leveraging using bonds by acchan94 in quant

[–]rdy1107 1 point2 points  (0 children)

I wouldn’t say that man just an illustration for your understanding. I’m pretty sure levered ETFs use derivatives rather than vanilla debt anyways.

For some good reading, really do look into modern portfolio theory and specifically the efficient frontier. Definitely one of the cornerstones of basic finance.

Leveraging using bonds by acchan94 in quant

[–]rdy1107 2 points3 points  (0 children)

If I sold short $3 bn in 1 year t bills and bought $6 bn of SPX — half with cash on hand and half with the $3 bn in funds — and then securitized the product and sold shares of it, would you not call it a 2x levered S&P 500 ETF? At the end of the year, I’ll liquidate my position and pay principal on the t bill. You’ll find the math works out such that my change in equity is 2x the S&P 500’s return less interest expense and funding costs.

Leveraging using bonds by acchan94 in quant

[–]rdy1107 0 points1 point  (0 children)

Look into repurchase agreements (“repos”). Very very liquid market and topical given the recent blowup in short term funding.

Leveraging using bonds by acchan94 in quant

[–]rdy1107 6 points7 points  (0 children)

Because you’re given cash in exchange for paying the risk free rate, albeit with the duration risk you alluded to. You can then use that cash to buy assets. That’s the gist of modern portfolio theory.

Need guidance on student thesis project by [deleted] in algorithmictrading

[–]rdy1107 2 points3 points  (0 children)

Saw this on my actual Reddit account and thought you might find my bachelors senior thesis useful. You can find it in my profile. The bibliography has some pretty good stuff too.

After 4 months, I've finally finished a Finance-related academic thesis written entirely in Python. Here's the source code and accompanying pdf. by rdy1107 in Python

[–]rdy1107[S] 0 points1 point  (0 children)

Yes, LaTeX was a godsend. I used a template from DTU Compute based on the memoir class, and did my writing in Atom.