June 19, 2011
If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: "How [...]
May 15, 2011
One suggestion is that benchmarks should be: transparent & unambiguous frame-able & customize-able appropriate with full coverage investable The source of this suggestion is Setting the Benchmark: Spotlight on [...]
February 14, 2011
Some concrete steps for discerning skill from luck. The Harvard Business Review published a guest blog post by Michael Mauboussin called Untangling Skill and Luck. That post is really [...]
February 7, 2011
How to visualize luck when looking for skill. Quantitative Finance just published the paper Dicing with the market: randomized procedures for evaluation of mutual funds by Francesco Lisi. Here [...]
August 19, 2010
The paper "Economists' Hubris -- The case of equity asset management" (SSRN) by Shojai, Feiger and Kumar has achieved some measure of notoriety. It has mentions in the MoneyScience [...]