August 29, 2011
Investment Performance Guy had a post about beta equal 1. It made me wonder about the properties of portfolios with beta equal 1. When I looked, I got a [...]
August 2, 2011
Empirical Finance Blog has a post called "How to use the Fama French Model". I find the first part of the post most interesting. This shows some examples of [...]
July 28, 2011
Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations. However, it is possible to see more of [...]
July 18, 2011
Ticker Sense posted about the mean correlation of the S&P 500. The plot there -- similar to Figure 1 -- shows that correlation has been on the rise after [...]
July 15, 2011
The subtitle is "An Investor's Guide to Harvesting Market Rewards". Executive summary I don't hold myself as being much at forecasting, but I predict that this will be a [...]
June 22, 2011
A summary of the high points of the day. Factor models and optimization Three of the talks formed a theme: factor models of variance -- especially as applied to [...]
June 2, 2011
The R/Finance conference happened in Chicago at the end of April. If, like me, you weren't there, you can still benefit from it because slides from many of the [...]
May 31, 2011
Attilio Meucci has written "The Prayer" which gives a ten-step process of quantitative analysis of the profit and loss stream. The paper is nicely laid out. Each step includes [...]
May 23, 2011
What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We've generated a set of random portfolios with [...]
May 19, 2011
The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks -- I give a brief (and biased) summary of each. [...]