Category Archives: Fund management in general
Making science happen
One of the things I’d most like to happen in finance is for a science mindset to take hold. Perhaps this would happen more if society as a whole were more scientifically oriented. Perhaps society would be more scientifically oriented if schools taught science better. Science in schools The possibility of learning science in school … Continue reading
Freeloading turnstile jumpers
What would happen if I jumped the turnstile at my local tube station? Well okay, duck under in my case. Best case: people glare at me like I’m scum. Worst case: I’m thrown back out and have to pay a fine (and there are even more glares). It would be perhaps three to five dollars … Continue reading
The good side of inside trading
All About Alpha has a post called Insider traders: rogues or whistleblowers? It is a pleasantly disturbing look at insider trading in that it challenges the reflex reaction that inside trading is all bad. In particular the final paragraph discusses an interesting inconsistency. One issue that is highlighted is that it is harder for negative … Continue reading
Primitive stock markets
There are two types of technology: Good (does exactly as wanted, with no hassle) Primitive (all the rest) This classification has been instilled into me by my wife. The stock market is primitive. Unbroken history Current stock markets are not much different than when the New York Stock Exchange was the shade of a buttonwood … Continue reading
The ARORA guessing game
The game ARORA (A random or real array) is a website that gives you two time series at a time. Your job is to guess which series is real market data and which is permuted data. It’s fun — try it. With some practice you will probably be able to guess which is which well … Continue reading
Posted in Fund management in general, R language
Tagged ARORA, financial Turing test, technical analysis
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Are momentum strategies antisocial?
We’ll get to “antisocial” via a look at a chapter in The Future of Finance from the London School of Economics. The chapter in question is “Why are financial markets so inefficient and exploitative?” by Paul Woolley. There are many things in this chapter with which I agree. There is roughly an equal number of … Continue reading
Posted in Fund management in general
Tagged active fund management, momentum, tracking error
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xkcd on market efficiency
This arrives via Marginal Revolution. But note that there is a check mark missing: Psychic fund management.
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Review of “The Happiness Equation” by Nick Powdthavee
Your happiness probably lies outside this book. Fund management If you think this topic remote from fund management, I think you’re wrong. Suppose that we deliver a lot of wealth to a person as they retire. We’ve done well in terms of wealth management. Now, suppose that we made the world an undesirable place in … Continue reading
Physical economy v social economy
There’s a hole in the bucket of traditional economics. Homo socialus seems to be on the rise, and homo economicus is getting harder to find. Vulcanism has become evident in the R community over the last several days. One of the visible eruptions has been over money. This resulted in a blog post by Tal … Continue reading
The volatility puzzle solved?
Finance textbooks say that more volatile assets should have higher returns. The volatility puzzle is that that doesn’t always hold true. You should be getting used to textbooks not always being right. Harin de Silva gave a talk last week entitled “Low Volatility Portfolios: A Free Lunch?” at a meeting of the CFA Society of … Continue reading
