December 6, 2012
A simpler approach to producing the variability. Previously The post "Variability in long-short decile strategy tests" proposed a way of assessing the variability of strategy tests in which a [...]
December 3, 2012
How to capture return variability when testing strategies with long-short deciles. Traditional practice Question: Does variable X have predictive power for our universe of assets? A common scheme of [...]
November 12, 2012
Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of [...]
November 5, 2012
When aggregating over both time and assets, the order of aggregation matters. Task We have the weights for a portfolio and we want to use those and a matrix [...]
October 29, 2012
Should you use daily or monthly returns to estimate volatility? Does garch explain why volatility estimated with daily data tends to be bigger than if it is estimated with [...]
October 10, 2012
Which sectors are coherent, and which aren't? Previously The post "S&P 500 correlations up to date" looked at rolling mean correlations among stocks. In particular it looked at rolling [...]
October 8, 2012
I haven't heard much about correlation lately. I was curious about what it's been doing. Data The dataset is daily log returns on 464 large cap US stocks from [...]
October 1, 2012
There is a good way and a bad way to add a benchmark to a variance matrix that will be used for optimization and similar operations. Our examination sheds [...]
September 24, 2012
What is variance targeting in garch estimation? And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on [...]
September 20, 2012
The variability of garch estimates when the series has 100,000 returns. Experiment The post "Variability of garch estimates" showed estimates of 1000 series that were each 2000 observations long. [...]