Tag Archives: information ratio
Performance ratios, bootstrapping and infinite variances
If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading
Posted in Performance, R language
Tagged infinite variance, information ratio, qqplot, statistical bootstrap
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Recap of London Quant Group Spring Seminar
The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks — I give a brief (and biased) summary of each. Dan di Bartolomeo Dan talked about the information ratios that active managers have. He claims that the information ratio is upwardly biased compared to what we … Continue reading
Posted in Quant finance
Tagged information ratio, low volatility investing, Value at Risk
4 Comments
