How to visualize luck when looking for skill. Quantitative Finance just published the paper Dicing with the market: randomized procedures for evaluation of mutual funds by Francesco Lisi.  Here [...]

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 [...]

Monday's Last Word by James Mackintosh in the FTfm states that stock correlations are very high relative to the historical record. He asserts that at least part of this [...]