March 29, 2012
Maximum weight was constrained to 4% at the start of 2007, how does that grow when unhindered? Previously “Low (and high) volatility strategy effects” created 6 sets of random [...]
March 28, 2012
How much turnover is required to get portfolios back to their constraints? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios as of 2007 and [...]
March 26, 2012
The missing link between beta and volatility is correlation. Previously "4 and a half myths about beta in finance" attempted to dislodge several myths about beta, including that beta [...]
March 23, 2012
Does minimum variance act differently from low volatility? Do either of them act like low beta? What about high volatility versus high beta? Inspiration Falkenblog had a post investigating [...]
March 12, 2012
A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011. Previously There was a plot in "Realized efficient frontiers" showing the realized [...]
March 5, 2012
How wide is the darkness? Uses of models The main way models are used is to: shine light on the "truth" We create and use a model to learn [...]
February 29, 2012
2011 was a good vintage for minimum variance, at least among stocks in the S&P 500. Previously The post "Realized efficient frontiers" included, of course, a minimum variance portfolio. [...]
February 27, 2012
A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant. I've made fun of it before. This post explores [...]
February 16, 2012
Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, [...]
February 13, 2012
How fat tailed are returns, and how does it change over time? Previously The sister post of this one is "A slice of S&P 500 skewness history". Orientation The [...]