Monthly Archives: May 2011

Attilio Meucci starts praying

Attilio Meucci has written “The Prayer” which gives a ten-step process of quantitative analysis of the profit and loss stream. The paper is nicely laid out.  Each step includes at least one “key concept” box.  These give a clear, concise statement of a main idea. These allow you to quickly get the thrust without needing … Continue reading

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A data search engine

Zanran is a new search engine that helps you find data. It indexes items that have tables or figures that seem to display data.  It looks to be significantly more useful than a general search engine when it’s data you want. Search results are displayed in the manner you are used to.  Except on the … Continue reading

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Specific differences between Ledoit-Wolf and factor models

What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction constraints from a statistical factor model. … Continue reading

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Recap of London Quant Group Spring Seminar

The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks — I give a brief (and biased) summary of each. Dan di Bartolomeo Dan talked about the information ratios that active managers have.  He claims that the information ratio is upwardly biased compared to what we … Continue reading

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What is a good benchmark?

One suggestion is that benchmarks should be: transparent & unambiguous frame-able & customize-able appropriate with full coverage investable The source of this suggestion is Setting the Benchmark: Spotlight on Private Equity. This was discussed by All About Alpha.  The paper considers indices and peer groups as benchmarks.  They did not consider random portfolios. Let’s look … Continue reading

Posted in Performance, Random portfolios | Tagged , | 2 Comments

Risk and Mayan hieroglyphics

How does modern risk management relate to Mayan hieroglyphics? If you want to guess, here are some hints: fire language Connecticut The Mayan civilization prospered in Central America at roughly the same time as the Roman Empire.  They had architecture, mathematics, and  — as exemplified above — writing. Risk management is the art of taking … Continue reading

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Again with Ledoit-Wolf and factor models

We come closer to a definitive answer on the relative merit of Ledoit-Wolf shrinkage versus a statistical factor model for variance matrices. Previously This post builds on the post entitled: A test of Ledoit-Wolf versus a factor model That post depended on some posts previous to it. New information Previously we generated random portfolios with … Continue reading

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The R Inferno revised

Hell is new and improved. The R Inferno has been revised.  If you don’t know of it, it is a short explanation of a few trouble spots when using the R language.  Somehow the short explanation grew to approach book-length. It can be found at the usual place: http://www.burns-stat.com/pages/Tutor/R_inferno.pdf Major improvements An index has been … Continue reading

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