Portfolio Probe
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http://www.portfolioprobe.com/blog/ The ultimate aim of the Portfolio Probe blog is to help make fund management more effective, to make savings safer through better tools and better methods. Patrick Burns, the founder of Burns Statistics, offers a unique mix of experience in quantitative finance, statistics, computing and writing. |
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Tags:
alpha, asset management, backtest trading strategy, fund management, investment skill, market dartboard, outperformance, performance attribution, performance measurement, portfolio construction, portfolio manager, portfolio optimization, portfolio theory, quantitative finance, random portfolios, risk, skill versus luck, statistics
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Recent blog post
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Correlations and postive-definiteness
On the way to another destination, I found some curious behavior with average correlations. The data Daily log returns from almost all of the constituents of the S&P 500 for years 2006 through 2011. The behavior Figure 1 shows the actual mean correlat...
3 days ago
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