Author Archives: Pat
Quant finance blogs
What I’ve learned from updating the blogroll. New entries The easy option is to go to The Whole Street which aggregates lots of quant finance blogs. Somehow Bookstaber missed out being on the blogroll before — definitely an oversight. Timely Portfolio was another that I was surprised wasn’t already there. The R Trader talks about … Continue reading
Posted in Quant finance, R language
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US market portrait 2013 week 42
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
Four moments of portfolios
What good are the skewness and kurtosis of portfolios? Previously The post “Cross-sectional skewness and kurtosis: stocks and portfolios” looked at skewness and kurtosis in portfolios. The key difference between that post and this one is what distribution is being looked at. The previous post specified a single time and looked at the distribution across … Continue reading
US market portrait 2013 week 41
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
The look of verifying data
Get data that fit before you fit data. Why verify? Garbage in, garbage out. How to verify The example data used here is daily (adjusted) prices of stocks. By some magic that I’m yet to fathom, market data can be wondrously wrong even without the benefit of the possibility of transcription errors. It doesn’t seem … Continue reading
Posted in Quant finance, R language
Tagged data errors, data verification, missed stock split
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US market portrait 2013 week 40
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
On smart beta
A bit of perspective on a buzzword. The prompt The Axioma Quant Forum in London included a discussion of smart beta. I took two highlights from it: a point of view and a question. The point of view was stated by Gerben de Zwart: “Smart beta seems like a replay of simple quant strategies of the … Continue reading
US market portrait 2013 week 39
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
Review of “Governance Reimagined” by David Koenig
The subtitle is “Organizational Design, Risk, and Value Creation”. Executive summary This should be a business book bestseller — it simply and clearly explains the process of value creation. Its great disadvantage for bestsellerdom is that it doesn’t pretend there are magic bullets that create value. No one’s perfect. The gist I’ve met David a … Continue reading
Posted in Book review, Risk
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US market portrait 2013 week 38
US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading
