Monthly Archives: May 2012
US market portrait 2012 week 20
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
Asset correlations with minimum variance portfolios
The minimum variance portfolios have slightly reduced correlations to assets in weight-constrained portfolios. Previously “Portfolio diversity” introduced the topic of asset-portfolio correlations. It also generated four sets of long-only random portfolios as of the start of 2011 using constituents of the S&P 500: exactly 20 names, weights between 1% and 10% exactly 200 names, weights … Continue reading
Posted in Quant finance
Tagged asset-portfolio correlation, minimum variance portfolio, S&P 500
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Diverse US portfolios did well in 2011
Constraining the maximum asset-portfolio correlation gave bigger returns and smaller volatility. Previously “Portfolio diversity” introduced the topic of asset-portfolio correlations. It also generated four sets of long-only random portfolios as of the start of 2011 using constituents of the S&P 500: exactly 20 names, weights between 1% and 10% exactly 20 names, maximum asset-portfolio correlation … Continue reading
Posted in Quant finance
Tagged asset-portfolio correlation, diversification, portfolio diversity, S&P 500
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Portfolio diversity
How many baskets are your eggs in? Meucci diversity Attilio Meucci directly addresses the adage: Don’t put all your eggs in one basket. His idea is to think of your portfolio as a set of subportfolios that are each uncorrelated with the rest. If your portfolio can be configured to have a lot of roughly … Continue reading
Posted in Quant finance, R language
Tagged asset-portfolio correlation, diversification, portfolio diversity, S&P 500
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US market portrait 2012 week 19
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
Motivating retirement savings
You can win money by saying how to get people to treat themselves better. InnoCentive has a challenge: How do we best get people to understand how important it is to plan for, and take specific action steps today, to create a steady and reliable stream of income for their retirement years? What would be … Continue reading
Posted in Fund management in general
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