Popular posts 2012 February
Most popular posts in 2012 February What does ‘passive investing’ really mean The BurStFin R package The distribution of financial returns made simple The top 7 portfolio optimization problems A tale...
View ArticleClik here to view.
The shadows and light of models
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 how some part of the world works. But there is a another use...
View ArticleClik here to view.
The quality of variance matrix estimation
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 volatility in 2011 versus a...
View ArticleThe Battle of Fundamental Index
The pro and con of fundamental indexing. Last Tuesday the London Quant Group sponsored a boxing match between forces for and against fundamental indexing. Adam Olive was in the pro corner. Ed...
View ArticleClik here to view.
Review of “The Origin of Financial Crises” by George Cooper
The subtitle is “Central banks, credit bubbles and the efficient market fallacy”. Executive summary This is much too important of a book to remain as obscure as it is. Besides, it is quite a fun read....
View ArticleClik here to view.
Low (and high) volatility strategy effects
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...
View ArticleClik here to view.
Beta is not volatility
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 is about...
View ArticleClik here to view.
Rebalancing the low vol cohorts
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 showed their...
View ArticleClik here to view.
Maximum weight of the low vol cohorts
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 portfolios as of 2007 and...
View Article