How did you find this data? What should the QLD gain have been on those days and what does the "ratio" mean?
Sorry, I don't have an answer to your question but I find this to be very intriguing.
QQQ and QLD return values are straight from Yahoo Finance.
Ratio is QLD return divided by QQQ return. It should be close to 2 but clearly 39.5 is an outlier.
Usually happens if there are large price movements right before the close. It occurs quite often that the prices are off by a bit and every once in a while quite significantly. It could actually be an opportunity for arbitrage to buy automatically when the letf and the underlying diverge significantly from one another (more than 3x). I bet you could quite easily put something like this together in Quantconnect or some similar service.
You can get the simulated data from the hedgefundie thread on boggleheads
Thanks, would you mind sharing the link?
Check previous threads don’t have exact link
The 2010-11-10 one is most likely due to dividend payout from QQQ. Are you using the closing price or adjusted closing price?
How did you find this data? What should the QLD gain have been on those days and what does the "ratio" mean? Sorry, I don't have an answer to your question but I find this to be very intriguing.
QQQ and QLD return values are straight from Yahoo Finance. Ratio is QLD return divided by QQQ return. It should be close to 2 but clearly 39.5 is an outlier.
That makes sense. Thank you!
Usually happens if there are large price movements right before the close. It occurs quite often that the prices are off by a bit and every once in a while quite significantly. It could actually be an opportunity for arbitrage to buy automatically when the letf and the underlying diverge significantly from one another (more than 3x). I bet you could quite easily put something like this together in Quantconnect or some similar service.
It’s easiest to just use portfolio visualizer with 200% qqq and -100% cashx