Monthly Archives: February 2012

A minimum variance portfolio in 2011

2011 was a good vintage for minimum variance, at least among stocks in the S&P 500. Previously The post “Realized efficient frontiers” included, of course, a minimum variance portfolio.  That portfolio seemed interesting enough to explore some more. “What does ‘passive investing’ really mean” suggests that minimum variance should be considered a form of passive … Continue reading

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Realized efficient frontiers

A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant.  I’ve made fun of it before.  This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500.  The predictions are made using data from … Continue reading

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What does ‘passive investing’ really mean?

We know the words but what do they mean? Some definitions Here are some definitions of “passive investment management”. Investopedia says: A style of management associated with mutual and exchange-traded funds (ETF) where a fund’s portfolio mirrors a market index. Wikipedia says: Passive management (also called passive investing) is a financial strategy in which an investor (or … Continue reading

Posted in Fund management in general, R language | Tagged , , , , , | 11 Comments

Blog aggregators

The Portfolio Probe blog is caught by two blog aggregators. Finance MoneyScience has an aggregation of financial blogs.  It now catches over 50 blogs. R R Bloggers captures the Portfolio Probe posts that are in the R Language category.  It gets posts from over 300 blogs that talk about R. Figure 1 shows a plot … Continue reading

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The BurStFin R package

Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading

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A slice of S&P 500 kurtosis history

How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird.  The original idea was of peakedness — how peaked is the distribution at the center.  That’s what we can see, … Continue reading

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The US market will absolutely positively definitely go up in 2012

The Super Bowl tells us so. The Super Bowl Indicator The championship of American football decides the direction of the US stock market for  the year.  If a “National” team wins, the market goes up; if an “American” team wins, the market goes down. Yesterday the Giants, a National team, beat the Patriots. The birth … Continue reading

Posted in R language, Statistics | Tagged , , | 4 Comments

Popular posts 2012 January

Most popular posts in 2012 As of 2012 January 31. The top 7 portfolio optimization problems A slice of S&P 500 skewness history Review of “Models. Behaving. Badly.” by Emanuel Derman Market predictions for years 2011 and 2012 Physical books of ‘The R Inferno’ and ‘S Poetry’ The distribution of financial returns made simple A … Continue reading

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