Monthly Archives: November 2012

Discovering the quality of portfolio decisions

Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007.  It invests in S&P 500 stocks and starts the year with a value of $10 million.  Initially there are 50 names in the portfolio.  It also ends the year with 50 names but has up to 53 names during the … Continue reading

Posted in Performance, R language, Random portfolios | Tagged , , | 6 Comments

US market portrait 2012 week 48

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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Upcoming events

New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading

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The estimation of Value at Risk and Expected Shortfall

An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the subject. Starting ingredients Value at Risk (VaR) and Expected Shortfall (ES) are always about a portfolio. There are two basic ingredients that … Continue reading

Posted in R language, Risk | Tagged , , | 1 Comment

US market portrait 2012 week 47

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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The guts of a statistical factor model

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading

Posted in Quant finance, R language | Tagged , | 4 Comments

US market portrait 2012 week 46

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia in 2012 April) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

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An easy mistake with returns

When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix of returns over time to compute the (long-term) portfolio return. “A tale of two returns” tells us that aggregation over time is easiest to do in … Continue reading

Posted in Quant finance, R language | Tagged , , | 3 Comments

US market portrait 2012 week 45

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R

Posted in Market portrait | Tagged | Leave a comment

Popular posts 2012 October

Most popular posts in 2012 October Review of “R For Dummies” Annotations for “R For Dummies” A practical introduction to garch modeling S&P 500 correlation up to date A tale of two returns (posted in 2010) S&P 500 sector strengths A look at Bayesian statistics The top 7 portfolio optimization problems The basics of Value … Continue reading

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