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GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - February 25-27th, London, UK - Further Information

April 2012

Cross-sectional skewness and kurtosis: stocks and portfolios

April 30, 2012 Comments (0)

Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market indices” and Figure 1. Figure 1: A cross-sectional distribution of simple returns of stocks. In particular they will have values for skewness and kurtosis.  When we aggregate stocks into portfolios, we would expect the cross-sectional distribution of the portfolios to be closer...

A variance campaign that failed

April 23, 2012 Comments (0)

they ought at least be allowed to state why they didn’t do anything and also to explain the process by which they didn’t do anything. First blush One of the nice things about R is that new statistical techniques fall into it.  One such is the glasso (related to the statistical lasso) which converts degenerate variance matrices into positive definite ones. Once I was in my local R session, all I had to do to try out glasso was: > install.packages('glasso') > require(glasso)...

Low volatility investing and benchmarks

April 21, 2012 Comments (0)

The focus on tracking error rules out a low volatility strategy. Simply put, most money managers are focused on outperforming their benchmarks without adding risk. And because risk is measured on a relative basis, a portfolio that moves up and down less than its benchmark is perceived as more risky on a relative basis because it is considered less correlated. from “Is modern portfolio theory bunk?” (my emphasis) Subscribe to the Portfolio Probe blog by Email

US market portrait 2012 week 16

April 15, 2012 Comments (0)

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email

US market portrait 2012 week 10

April 8, 2012 Comments (0)

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used The initial post was “Replacing market indices” The R code is in marketportrait_funs.R Subscribe to the Portfolio Probe blog by Email

Replacing market indices

April 2, 2012 Comments (0)

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896.  This was when computers were humans with adding machines (but they did do parallel processing).  At that point boiling “the market” down to a single number had value. The two main uses of a market index are: general sense of market direction benchmark for a fund Why not an index? Now “computer” has a...