Category Archives: almost wordless

The carry trade — almost wordless

The idea Borrow in a currency with low interest rates, lend in a currency with high interest rates. The image Photo by Patti via stock.xchng The question Am I wrong? Subscribe to the Portfolio Probe blog by Email

Posted in almost wordless, Fund management in general | Tagged , | 2 Comments

Solve your R problems

  download ‘The R Inferno’ Update While it is still not for sale at a website near you, it is also for sale at a website near you: Buy The R Inferno Epilogue I’m not a lawyer, but here is my understanding of the rules should you want to extract images from this page: Most … Continue reading

Posted in almost wordless, R language | Tagged , , , , , , , , | 2 Comments

Backtesting — almost wordless

On Tuesday I gave a talk at the Thalesians entitled “Effective backtesting”.  You can get the annotated slides but below is an almost wordless introduction to backtesting. Introduction Figure 1. When you backtest, you attempt to see how an investment strategy would have worked during some historical period of time. We can think of backtesting … Continue reading

Posted in almost wordless, Quant finance, Random portfolios | Tagged , | 4 Comments

Implied alpha — almost wordless

We have a portfolio with weights A=20%, B=60%, C=20%.  That we have this particular portfolio is really a market prediction.  What are the returns that the portfolio is “expecting”? In technical terms, we want the implied alpha of the portfolio (found via reverse optimization).  We’ll explore this in a mostly pictorial fashion.  Eventually we do … Continue reading

Posted in almost wordless, Quant finance | Tagged , | 6 Comments