Tag Archives: information ratio

Performance ratios, bootstrapping and infinite variances

If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading

Posted in Performance, R language | Tagged , , , | 3 Comments

Recap of London Quant Group Spring Seminar

The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks — I give a brief (and biased) summary of each. Dan di Bartolomeo Dan talked about the information ratios that active managers have.  He claims that the information ratio is upwardly biased compared to what we … Continue reading

Posted in Quant finance | Tagged , , | 4 Comments