December 30, 2010
The blog year started in August and consists of 30-something posts. Here is a summary. Most popular Ideas for World Statistics Day A quant review of "The Quants" by [...]
December 6, 2010
When were there bear and bull markets in US stocks since 1950? Smoothing While we'd really like to estimate the expected return at each point in time, finding bear [...]
November 22, 2010
We know that the S&P 500 was up a little in 2007 and down a lot in 2008. So on the surface the question seems really stupid. But randomness [...]
November 5, 2010
On Tuesday I gave a talk at the Thalesians entitled "Effective backtesting". You can get the annotated slides but below is an almost wordless introduction to backtesting. Introduction Figure [...]
October 18, 2010
Fringe provides an excellent example of cointegration. This is a television show in which there are two adjacent universes. The universes are almost alike but not exactly. Now, everyone [...]
October 12, 2010
Isn't the horse facing the cart? "A New Look At Minimum Variance Investing" by Bernd Scherer (SSRN version) looks at a few aspects of minimum variance portfolios. We've been [...]
October 4, 2010
It was the best of times, it was the worst of times. As you may have guessed, this is a mashup of a novel by Charles Dickens and an [...]
September 20, 2010
Before we get to the meat of the subject, I just have to comment on the "modern" of Modern Portfolio Theory. Figure 1: Modern telephone switch Figure 1 shows [...]
September 6, 2010
We have a portfolio with weights A=20%, B=60%, C=20%. That we have this particular portfolio is really a market prediction. What are the returns that the portfolio is "expecting"? [...]
August 30, 2010
There were giant mutant quants destroying every ... Oh, sorry. That was ants not quants, and it was a Japanese movie not a book. Given my blog's remit, it [...]