At the time of that post, I was just starting my SMC, so did not know that it would not go anywhere. So, yes, your long/short or even just buying EMD is obviously a better option than SMC based on my experience. Maybe that post showed up in your notices again recently because I made an edit to correct a mistake (I had named the wrong ETF "analog" of SMC).Better than what? You were not getting anywhere with your S&P 600 futures.
The bid and ask price for the SMC contract was something like 1316.1/1317.0 (making up numbers). The spread is 0.9/1317 ~ 7bp at the initial purchase of the contract. I remember that you mentioned these bid ask numbers not being reliable, so it may not mean much.
This is my bad, sorry fort confusing the board. I was lazy, and instead of selling and allocating some of my portfolio to the collateral when I bought my futures contracts, I just used margin to buy treasuries to act as collateral (in taxable). This is slightly more inefficient I think, selling and buying a bit more futures to compensate for the t-bill position would be better. Because of this, I am leaking out the difference between the IBKR margin and the t-bill rate. From what you say, I understand that futures options box spreads are better compared to t-bills since they would have slightly more yield, right? I just found the post viewtopic.php?p=8265770&hilit=FOP#p8265770 where this was suggested suddenly on the thread, but it seems there was earlier discussion of this, I just cannot find it in the search. Do you have a link for the initial FOPs box spread discussion, or some other source? Thanks a lot!
<s>I thought S&P600 itself has much better tilts compared to S&P400, actually comparable to DFA SCV.</s> That was wrong, I was checking the S&P600 SmallCap Value ETF IJS, instead of the "core" version IJR that would be close to SMC. IJR has some factor loadings, but not very intense. I had not considered the long/short strategy you mentioned, but is it much better?
People trash Russell2000 all the time, are these considerably better? S&P has these profitability screens which weed out the true garbage, which is quite nice.
If you think the Ashton blog post I linked to in my previous post is interesting to you, I would be happy to hear what you think.
Statistics: Posted by ipparkos — Fri Oct 03, 2025 4:27 pm — Replies 3725 — Views 934267