Monthly Archives: August 2010

A quant review of “The Quants” by Scott Patterson

There were giant mutant quants destroying every … Oh, sorry.  That was ants not quants, and it was a Japanese movie not a book. Given my blog’s remit, it seems obligatory to review this book.  The full title is significant.  It is “The Quants: How A New Breed Of Math Whizzes Conquered Wall Street And … Continue reading

Posted in Book review, Quant finance | Tagged , | 2 Comments

What the hell is a variance matrix?

When I first came to finance, I kept hearing about “risk models”. I wondered, “What the hell is a risk model?” Of course, I didn’t say this out loud — that would have given the game away.  My wife has strict instructions that she is to be the only one to know that I’m an … Continue reading

Posted in R language, Risk, Statistics | Tagged , , | 17 Comments

Elevated stock correlations

Monday’s Last Word by James Mackintosh in the FTfm states that stock correlations are very high relative to the historical record. He asserts that at least part of this is driven by passive investment — in particular people coming in and out of the market.  A consequence of the high correlation is that it reduces … Continue reading

Posted in Fund management in general, Random portfolios | Tagged , | 1 Comment

A performance step beyond “Economists’ Hubris”

The paper “Economists’ Hubris — The case of equity asset management” (SSRN) by Shojai, Feiger and Kumar has achieved some measure of notoriety.  It has mentions in the MoneyScience blog and in the Financial Times among other places. A response to the article by Paul Kaplan of Morningstar is at Investment Week. If I may … Continue reading

Posted in Performance | Tagged | 1 Comment

Inaugural probe

Once I decided to blog, I had to determine how to go about it.  My first thought was of Dorothy Parker.  No one ever wanted to leave the table when she was there for fear of the witticisms she would make while they were gone.  There are two problems with this strategy: I don’t know … Continue reading

Posted in Blog | 1 Comment