... Indeed, it would be hard to argue with how QPP simulates future volatility. I separated the upside and downside annual deviations for PEY-UN.TO for you: ...
mentesseg@...
Dec 1, 2007 1:40 pm
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... for ... This is a very nice example of the fact that SD, calculated well, is a decent risk metric. Thanks to J. for this useful analysis. I may add this...
Greetings Everyone, This is really amazing because i was going to start a post about this. Actually, this has troubled me since i was introduced to Geoff's...
By the way, i am not a quant. I am a social scientist (japanologist) and Taleb's argument has virtually changed the way i do business. It is fundamentally the...
Hi ImpulseSemi: You can make a histogram of historical returns in EXCEL using the Histogram tool: Tools > Data Analysis > Histogram It is very easy to use....
Hi John: Thanks for your post and for bringing The Black Swan into this discussion. I have not read the book but I have read a range of excerpts, interviews,...
... <http://www.nytimes.com/2007/12/02/business/02every.html?em&ex=119683080\ ... Well said Geoff. That analyst sounds almost as good as an (ex) financial...
... G, I've uploaded an Excel file with 10 years quarterly returns plotted from Yahoo for some Vanguard funds. Most of them do not look like bell shaped...
... It would be nice to see bootstrapping implemented in QPP/QRP. But note that Sortino bootstraps discrete returns to a 3-parameter lognormal distribution....
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Dec 4, 2007 3:07 pm
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I was reminded of this article when I saw a debate on Vanguard Diehards forum about whether 100 stocks was enough to achieve total 'diversification.' The...
In my experience with bootstrap methods, they can do a nice job of filling in the tails but they do not solve the problem of being backward looking in terms...
Greetings, Thanks for your detailed input Geoff. Your experience and candor is valuable. I guess i have more of an appetite for risk than uncertainty. I am...
... There are papers showing that holding over 100 stocks is "optimal", BUT they rely on mean-variance analysis. I prefer one paper showing that the reduction...
mentesseg@...
Dec 5, 2007 1:55 pm
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... Did you ever comapre the R^2 of the Berkshire components to the R^2 of the holding company itself? J....
mentesseg@...
Dec 5, 2007 2:01 pm
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... preference is ... Actually, I think about standard deviation (SD) in this way. The risk in any investment is due to uncertainty in the future earnings ...
I ran across this article in which Henry Blodgett, famous for touting ridiculously optimistic projections of stocks that his employer(s) would not touch,...
All this discussion has me thinking...When I put gold into QRP or QPP the result is often addition of SD with no additional expected `return. Kind of cool,...
Geoff: Could you comment on the proper interpretation / use of the Portfolio Autocorrelation and Diversification metric numbers which are given by QPP. I am...
I know I'm not Geoff, but an expected return 2X larger than the SD is pretty odd. The only times I've seen this is when I've accidentally (often due to a...
An Intro to Investment Theory <http://viking.som.yale.edu/will/finman540/classnotes/notes.html> This very nice online text by a professor at Yale addresses the...
Thanks to Sandra for the summary on autocorrelation. I am quite skeptical about a portfolio with PROJECTED return of around 2X the standard deviation. Sandra...
I discussed gold in an article in 2006: Article on gold and related stuff <http://seekingalpha.com/article/18817-targeting-low-correlation-assets-\ ...
... around ... Thanks Sandra and Geoff for explaining Portfolio Autocorrelation and Diversification Metric. Looks like I should have read the FAQ to answer my...
... real ... study ... use ... any ... Here's another fascinating Bernstein piece from his website: http://www.efficientfrontier.com/ef/0adhoc/excel.htm Dick...
... That would be -4.6% annually for the S&P500 which incorporates their inflation assumption of 2.5% which is totally absurd (unless we experience severe...
