Monthly Archives: September 2013

On smart beta

A bit of perspective on a buzzword. The prompt The Axioma Quant Forum in London included a discussion of smart beta.  I took two highlights from it: a point of view and a question. The point of view was stated by Gerben de Zwart: “Smart beta seems like a replay of simple quant strategies of the … Continue reading

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US market portrait 2013 week 39

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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Review of “Governance Reimagined” by David Koenig

The subtitle is “Organizational Design, Risk, and Value Creation”. Executive summary This should be a business book bestseller — it simply and clearly explains the process of value creation.  Its great disadvantage for bestsellerdom is that it doesn’t pretend there are magic bullets that create value. No one’s perfect. The gist I’ve met David a … Continue reading

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US market portrait 2013 week 38

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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US market portrait 2013 week 37

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 36

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 35

US large cap market returns. (Missing a day because of technical problems.) 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 … Continue reading

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