April 8, 2013
What to expect from fund managers who follow your investment mandate. You hope that the fund managers that you hire have skill. But markets are noisy so it is [...]
April 5, 2013
A study has come out of Cass Business School that investigates a number of ways of building equity indices. Andrew Clare, Nicholas Motson and Stephen Thomas, of course, include [...]
February 25, 2013
Exploring the quality of predictions using random portfolios and optimization. Previously "Simple tests of predicted returns" showed a few ways to look at expected returns at the asset level. [...]
January 16, 2013
The Observer tells of a ginger tabby named Orlando who selected a random portfolio that won an investment contest. Meanwhile I have a gray tabby here on the desk [...]
December 17, 2012
Historical Value at Risk (VaR) is very popular because it is easy and intuitive: use the empirical distribution of some specific number of past returns for the portfolio. Previously [...]
November 26, 2012
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of [...]
September 10, 2012
The paper is "Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds" by Roberto Stein. Here is an explanation of the idea of random portfolios. Favorite sentence [...]
September 7, 2012
Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is "The Sharpe ratio's market climate [...]
July 2, 2012
What is the difference between Monte Carlo -- as it is usually defined in finance -- and random portfolios? The meaning of "Monte Carlo" The idea of "Monte Carlo" [...]
May 14, 2012
Only puny secrets need protection. Big discoveries are protected by public incredulity. -- Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several [...]