Tag Archives: jackknife
Jackknifing portfolio decision returns
A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was good or bad for the portfolio return. Say, for instance, that it helped by 16 basis points. How do we properly account for variability in that … Continue reading
Posted in Performance, Quant finance, R language
Tagged jackknife, statistical bootstrap
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More S&P 500 correlation
Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations. However, it is possible to see more of the distribution than just the mean. Figures 1 and 2 show several quantiles: 10%, 25%, 50%, 75%, 90%. Figure 1: Quantiles of 50-day rolling correlation of … Continue reading
Posted in Quant finance, R language
Tagged correlations, equity correlations, jackknife, S&P 500, stock correlations
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