November 30, 2011
How does the effect of our expected returns change over time? This is not academic curiosity, we want to know in the context of our portfolio if we can. [...]
November 21, 2011
Be careful if you have global daily data. The issue Markets around the world are open at different times. November 21 for the Tokyo stock market is different from [...]
November 16, 2011
The return of a hypothetical fund was 17.9% in 2010. We want to know if that is good or bad. The benchmark method The assets in the portfolio are [...]
November 11, 2011
Casting doubt on the possibility of mean reversion in the S&P 500 lately. Previously A look at volatility estimates in "The mystery of volatility estimates from daily versus monthly [...]
November 8, 2011
What drives the estimates apart? Previously A post by Investment Performance Guy prompted "Variability of volatility estimates from daily data". In my comments to the original post I suggested [...]
November 3, 2011
Investment Performance Guy has a post "Periodicity of risk statistcs (and other measures)" in which it is wondered how valid volatility estimates are from a month of daily returns. [...]
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 27, 2011
The book is by Manfred Gilli, Dietmar Maringer and Enrico Schumann. I haven't actually seen the book, so my judgement of it is mainly by the cover (and knowing [...]
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 [...]