October 31, 2011
Some thoughts and resources regarding a popular fund management buzzword. The idea Given asset categories (like stocks, bonds and commodities) create a portfolio where each category contributes equally to [...]
October 24, 2011
For those who naturally compute portfolio returns correctly here are some lessons in how to do it wrong. The data Random portfolios were generated from constituents of the S&P [...]
October 20, 2011
Are there times of the year when returns are better or worse? Abnormal Returns prompted this question with "SAD and the Halloween indicator" in which it is claimed that [...]
October 13, 2011
A different sort of generalization of variance partitions. Previously The post "Generalizing risk fractions" described additional (to version 1.04 of Portfolio Probe) ways of dividing the variance among the [...]
October 10, 2011
More ways of constraining the variance attributable to individual assets. Introduction This post describes some additions to the 1.04 version of Portfolio Probe. A beta of that version was [...]
October 3, 2011
How much predictability is there for these higher moments? Data The data consist of daily returns from the start of 2007 through mid 2011 for almost all of the [...]
September 27, 2011
fMRI data from 90 locations in the brain look somewhat like daily closing prices on 116 stocks if you squint just right. Marginal Revolution was nice enough to point [...]
September 16, 2011
Some pictures to explore the reality of the theory that stocks with higher beta should have higher expected returns. Figure 2 of "The effect of beta equal 1" shows [...]
September 8, 2011
Data The data are daily returns starting at the beginning of 2007. There are 477 stocks for which there is full and seemingly reliable data. Estimation The betas are [...]
August 30, 2011
What does beta look like in the out-of-sample period for the portfolios generated to have beta equal to 1? In the comments Ian Priest wonders if the results in [...]