Month: February 2013
In this post, we develop a simple intuition for interpreting maximum Sharpe ratio portfolios for both correlated and uncorrelated assets.
"Big data" can lead to very complicated models that are prone to overfitting. Simply knowing what we don't know can be much safer than thinking we know.
Appropriately benchmarking a strategy allows us to evaluate it on an even playing field. All managers should be asked why they chose particular benchmarks.
In Taleb's book, Antifragile, he asserts that uncertainty is often desirable. In a portfolio, we can take convex bets on volatility to make it antifragile
The January effect is commonly cited as a rule, but it gives no statistically valid forward information about the remainder of the year's performance.
