Monthly Archives: June 2013

US market portrait 2013 week 26

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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are … Continue reading

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US market portrait 2013 week 25

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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are … Continue reading

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The scaling of Expected Shortfall

Getting Expected Shortfall given the standard deviation or Value at Risk. Previously There have been a few posts about Value at Risk and Expected Shortfall. Properties of the stable distribution were discussed. Scaling One way of thinking of Expected Shortfall is that it is just some number times the standard deviation, or some other number … Continue reading

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US market portrait 2013 week 24

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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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Introduction to stable distributions for finance

A few basics about the stable distribution. Previously “The distribution of financial returns made simple” satirized ideas about the statistical distribution of returns, including the stable distribution. Origin As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter … Continue reading

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US market portrait 2013 week 23

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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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Value at Risk and Expected Shortfall, and other upcoming events

Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. Lead by Patrick Burns. Details at the CFP Events site. New Events Thalesians — San Francisco 2013 June 5. Jesse Davis on “Risk Model Imposed Manager-to-Manager … Continue reading

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The low volatility anomaly and CAPM

A look at a paper that explores possible assumption failures of CAPM that would explain the low volatility anomaly. Previously We’ve talked about CAPM before, in particular: 4 and a half myths about beta in finance There has also been substantial talk about low volatility investing. The paper The paper is “Explanations for the Volatility … Continue reading

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US market portrait 2013 week 22

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 on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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