January 19, 2014
Some facts and some speculation. Definition Volatility is the annualized standard deviation of returns -- it is often expressed in percent. A volatility of 20 means that there is [...]
January 6, 2014
The S&P 500 returned 29.6% in 2013. How might that have varied? S&P weights There are many features that could vary -- here we will keep the same constituents [...]
October 28, 2013
An interview with Russ Bubley: Russ is the founder of i for change, a social investment strategy consultancy working with charities, social enterprises, government and investor groups to bring [...]
September 30, 2013
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 [...]
April 5, 2013
A study has come out of Cass Business School that investigates a number of ways of building equity indices. Andrew Clare, Nicholas Motson and Stephen Thomas, of course, include [...]
September 14, 2012
Two items struck me as being connected. Maybe they are. The items: Payoff of betting on horses versus the odds The Missing Risk Premium by Eric Falkenstein As you [...]
June 20, 2012
A pictorial summary of "The Volume Clock: Insights into the High Frequency Paradigm" by David Easley, Marcos M. Lopez de Prado and Maureen O'Hara. "HFT" means "high-frequency trading/trader", "LFT" [...]
June 11, 2012
How to get money to alpha, and vice versa. The problem Let's focus on two groups: People who have money and want alpha People who have alpha and want [...]
May 5, 2012
You can win money by saying how to get people to treat themselves better. InnoCentive has a challenge: How do we best get people to understand how important it [...]
April 21, 2012
The focus on tracking error rules out a low volatility strategy. Simply put, most money managers are focused on outperforming their benchmarks without adding risk. And because risk is [...]