A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant.  I’ve made fun of it before.  This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500.  The predictions ... [Read more...]

How does the effect of our expected returns change over time?  This is not academic  curiosity, we want to know in the context of our portfolio if we can.  And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the ... [Read more...]