Monthly Archives: June 2012
US market portrait 2012 week 24
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
Variability in maximum drawdown
Maximum drawdown is blazingly variable. Psychology Probably the most salient feature that an investor notices is the amount lost since the peak: that is, the maximum drawdown. Just because drawdown is noticeable doesn’t mean it is best to notice. Statistics The paper “About the statistics of the maximum drawdown in financial time series” explores drawdown … Continue reading
US market portrait 2012 week 23
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
