Monthly Archives: February 2014

US market portrait 2014 week 8

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however … Continue reading

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US market portrait 2014 week 7

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however … Continue reading

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A complicated answer to a simple correlation question

A data analysis surprise party. Simple question If I have correlation matrices each estimated with a month of daily returns, how much worse is the average of six of those compared to the estimate with six months of daily data? Expected answer Do a statistical bootstrap with the returns and compare the standard deviations across … Continue reading

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US market portrait 2014 week 6

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however … Continue reading

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US market portrait 2014 week 5

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like

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