Serial Correlations in Investment Returns
Wednesday, 26 August 2009 | 11:41 am
Autocorrelations: The investment world loves correlations. Option hedgers love correlations. Everyone loves correlations. Across assets. But how about across time, within the same asset? To what extent do the returns today depend on the returns yesterday, the month before, 3 months before or a year ago? Positive correlations with past returns are a sign of
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Is The Equity Bear Market Rally Really Over?
Monday, 24 August 2009 | 4:25 am
Equity Market Review Once again equity markets are looking vulnerable.
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Quant Risk Management and Other Fallacies
Thursday, 20 August 2009 | 12:59 pm
Quant Risk Management Statistical or mathematical techniques have been used in investment management and finance to better understand risk but there are limitations, sometimes severe limitations. At the end of the day, there is no substitute for common sense and an understanding of the sometimes complex underlying drivers of price relationships that often become oversimplified
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Japan Exits Recession: But where to?
Thursday, 20 August 2009 | 2:43 am
Japan’s quarter on quarter GDP growth recorded a 0.90% increase versus consensus estimates of 1.0% and a prior quarter’s alarming 3.8% decline. There are several ways to read this.
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Is The Equity Bear Market Rally Really Over?
Wednesday, 19 August 2009 | 3:51 pm
Equity Market Review Once again equity markets are looking vulnerable. The high octane markets in Asia such as Shanghai, HK and Bombay have certainly corrected sharply, and this amid quite benign news. How do we make sense of these markets? The retail investor and, quite embarrassingly, the professional investor panicked in the second half of
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