Tag Archives: S&P 500
US market portrait 2013 week 21
US large cap market returns. Previous posts had the charts off by a day, and no one had the grace to say. The halving of DF is technically correct, but financially misleading. There was a spin-off where the other half of the value went. Fine print The data are from Yahoo Almost all of the … Continue reading
US market portrait 2013 week 20
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
US market portrait 2013 week 19
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
US market portrait 2013 week 18
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
US market portrait 2013 week 17
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
US market portrait 2013 week 16
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
Stock-picking opportunity and the ratio of variabilities
How good is the current opportunity to pick stocks relative to the past? Idea The more stocks act differently from each other relative to how volatile they are, the more opportunity there is to benefit by selecting stocks. This post looks at a particular way of investigating that idea. Data Daily (log) returns of 442 … Continue reading
Posted in Quant finance, R language
Tagged opportunity ratio, S&P 500, stock-picking opportunity, volatility
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US market portrait 2013 week 15
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
US market portrait 2013 week 14
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
A pictorial history of US large cap correlation
How has the distribution of correlations changed over the last several years? Previously Posts about correlation boxplots explained Data Daily returns of 443 large cap US stocks from 2004 through 2012 were used. The sample correlations — almost 98,000 of them — during each year were created. If we were actually using the correlations, then … Continue reading
