Monthly Archives: May 2012
Inferno-ish R
CambR was nice enough to invite Markus Gesmann and me to speak at their event on Tuesday. My talk was Inferno-ish R. See also The R Inferno. Epilogue Subscribe to the Portfolio Probe blog by Email
Jackknifing portfolio decision returns
A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was good or bad for the portfolio return. Say, for instance, that it helped by 16 basis points. How do we properly account for variability in that … Continue reading
Posted in Performance, Quant finance, R language
Tagged jackknife, statistical bootstrap
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US market portrait 2012 week 22
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email
Correlations and postive-definiteness
On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlation among stocks for the set of years and the mean correlation with … Continue reading
Posted in Quant finance, R language
Tagged BurStFin, Ledoit-Wolf shrinkage, positive definite, variance estimation
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CambR and other upcoming events
New events CambR (Cambridge UK R user group) 2012 May 29 6:30 PM for 7:00 PM start. Pat Burns “Inferno-ish R” Abstract: While R is wonderful, it is not uniformly wonderful. We highlight a few things generally found to be confusing, and outline the forces that have driven such imperfections. Markus Gesmann “Interactive charts with … Continue reading
Posted in Events, R language
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US market portrait 2012 week 21
US large cap market returns. There is an additional feature in the plots this week, a brief explanation is in the update to the post “Replacing market indices”. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is … Continue reading
Exponential decay models
All models are wrong, some models are more wrong than others. The streetlight model Exponential decay models are quite common. But why? One reason a model might be popular is that it contains a reasonable approximation to the mechanism that generates the data. That is seriously unlikely in this case. When it is dark and … Continue reading
Posted in R language, Statistics
Tagged exponential decay, exponential smoothing, model error
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Newsletter sign-up problems
There have been some issues with the sign-up process for the Portfolio Probe newsletter and the Portfolio Probe user’s list. The issues may or may not be in the past tense. The way the process is supposed to work is: You sign up for one or both lists You get a message from us saying … Continue reading
Posted in Portfolio Probe
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Random portfolios: 6 steps to a better fund management industry
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 ways. Here are six. 1) Measure active managers There is no convincing evidence that more than a handful of funds have consistently outperformed. This should tell … Continue reading
Posted in Performance, Quant finance, Random portfolios, Risk
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Thalesians and other upcoming events
Real Soon Now Thalesians (London) 2012 May 16 Matthew Dixon “A Bayesian Approach to Discovering Private Companies for Private Equity Investments”. Details of the event. Thalesians (New York) 2012 May 17 Attilio Meucci “Liquidity-, Funding- and Market-Risk” Details of the event. Other new events Thalesians (San Francisco) 2012 May 30 Jeremy Evnine “Accidental Quant”. I … Continue reading
Posted in Events
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