Tag Archives: momentum
The tightrope of the random walk
We’re really interested in markets, but we’ll start with a series of coin tosses. If the coin lands heads, then we go up one; if it lands tails, we go down one. Figure 1: A coin toss path.Figure 1 is the result of one thousand coin flips. It is a random walk. The R command … Continue reading
Are momentum strategies antisocial?
We’ll get to “antisocial” via a look at a chapter in The Future of Finance from the London School of Economics. The chapter in question is “Why are financial markets so inefficient and exploitative?” by Paul Woolley. There are many things in this chapter with which I agree. There is roughly an equal number of … Continue reading
Posted in Fund management in general
Tagged active fund management, momentum, tracking error
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