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Portfolio Probing

The ultimate aim of the Portfolio Probing blog is to help make fund management more effective, to make savings safer through better tools and better methods. Patrick Burns, the founder of Burns Statistics, offers a unique mix of experience in quantitative finance, statistics, computing and writing.

US market portrait 2012 week 22

Posted on 2012/05/27 by Pat

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email

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Correlations and postive-definiteness

Posted on 2012/05/22 by Pat

On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlation among stocks for the set of years and the mean correlation with … Continue reading →

Posted in Quant finance, R language | Tagged , , , | 2 Comments

CambR and other upcoming events

Posted on 2012/05/21 by Pat

New events CambR (Cambridge UK R user group) 2012 May 29 6:30 PM for 7:00 PM start. Pat Burns “Inferno-ish R” Abstract: While R is wonderful, it is not uniformly wonderful. We highlight a few things generally found to be confusing, and outline the forces that have driven such imperfections. Markus Gesmann “Interactive charts with … Continue reading →

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US market portrait 2012 week 21

Posted on 2012/05/20 by Pat

US large cap market returns. There is an additional feature in the plots this week, a brief explanation is in the update to the post “Replacing market indices”. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is … Continue reading →

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Exponential decay models

Posted on 2012/05/17 by Pat

All models are wrong, some models are more wrong than others. The streetlight model Exponential decay models are quite common.  But why? One reason a model might be popular is that it contains a reasonable approximation to the mechanism that generates the data.  That is seriously unlikely in this case. When it is dark and … Continue reading →

Posted in R language, Statistics | Tagged , , | 5 Comments

Newsletter sign-up problems

Posted on 2012/05/15 by Pat

There have been some issues with the sign-up process for the Portfolio Probe newsletter and the Portfolio Probe user’s list.  The issues may or may not be in the past tense. The way the process is supposed to work is: You sign up for one or both lists You get a message from us saying … Continue reading →

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Random portfolios: 6 steps to a better fund management industry

Posted on 2012/05/14 by Pat

Only puny secrets need protection. Big discoveries are protected by public incredulity. — Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several ways.  Here are six. 1) Measure active managers There is no convincing evidence that more than a handful of funds have consistently outperformed.  This should tell … Continue reading →

Posted in Performance, Quant finance, Random portfolios, Risk | 3 Comments

Thalesians and other upcoming events

Posted on 2012/05/13 by Pat

Real Soon Now Thalesians (London) 2012 May 16 Matthew Dixon “A Bayesian Approach to Discovering Private Companies for Private Equity Investments”. Details of the event. Thalesians (New York) 2012 May 17 Attilio Meucci “Liquidity-, Funding- and Market-Risk” Details of the event. Other new events Thalesians (San Francisco) 2012 May 30 Jeremy Evnine “Accidental Quant”. I … Continue reading →

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US market portrait 2012 week 20

Posted on 2012/05/12 by Pat

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email

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Asset correlations with minimum variance portfolios

Posted on 2012/05/09 by Pat

The minimum variance portfolios have slightly reduced correlations to assets in weight-constrained portfolios. Previously “Portfolio diversity” introduced the topic of asset-portfolio correlations. It also generated four sets of long-only random portfolios as of the start of 2011 using constituents of the S&P 500: exactly 20 names, weights between 1% and 10% exactly 200 names, weights … Continue reading →

Posted in Quant finance | Tagged , , | 6 Comments