Category Archives: $AGG

Excerpt, Part II: Quantitative Investment Portfolio Analytics In R

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A couple of weeks back I published the first part of a full-chapter excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. Here’s the second half of this two-part excerpt of Chapter 5, which reviews the basics for factor analysis via R code. The chapter […]

Considering Skewness Of Returns As A Risk Metric

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Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns (SoR). In the grand scheme of quantifying risk, SoR is relatively obscure, but Intech makes a good case for paying more attention to this data. Applied to financial markets, skewness measures the degree of […]

The Case For Using Random Benchmarks In Portfolio Analysis

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Benchmarks are indispensable for investment analytics. The challenge is picking a relevant one. The stakes are high because the wrong benchmark can be worse than none at all. The good news is that the potential for error can be dramatically reduced by choosing a set of random benchmarks that are generated from a portfolio’s holdings. […]

The Case For Using Random Benchmarks In Portfolio Analysis

Posted on in $AGG, $SPY, Finance News | 0 comments

Benchmarks are indispensable for investment analytics. The challenge is picking a relevant one. The stakes are high because the wrong benchmark can be worse than none at all. The good news is that the potential for error can be dramatically reduced by choosing a set of random benchmarks that are generated from a portfolio’s holdings. […]

The Case For Using Random Benchmarks In Portfolio Analysis

Posted on in $AGG, $SPY, Finance News | 0 comments

Benchmarks are indispensable for investment analytics. The challenge is picking a relevant one. The stakes are high because the wrong benchmark can be worse than none at all. The good news is that the potential for error can be dramatically reduced by choosing a set of random benchmarks that are generated from a portfolio’s holdings. […]