Posts Tagged ‘ performance ’

Not fooled by randomness

September 10, 2012
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Not fooled by randomness

The paper is “Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds” by Roberto Stein.  Here is an explanation of the idea of random portfolios. Favorite sentence The real question here is whether we’re actually measuring skill, or these are still measures of performance, so influenced by extraneous factors that the existence of … Continue reading...

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Jackknifing portfolio decision returns

May 28, 2012
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Jackknifing portfolio decision returns

A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio.  At a later date we can see if that change was good or bad for the portfolio return.  Say, for instance, that it helped by 16 basis points.  How do we properly account for variability in that … Continue reading...

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Performance measurement is about decisions

November 16, 2011
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Performance measurement is about decisions

The return of a hypothetical fund was 17.9% in 2010.  We want to know if that is good or bad. The benchmark method The assets in the portfolio are constituents of the S&P 500, so we can compare our fund return to the return of the index. Figure 1: 2010 returns of: the fund and … Continue reading...

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Comparison of ave, ddply and data.table

August 25, 2011
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Comparison of ave, ddply and data.table

A guest post by Paul Hiemstra. ———— Fortran and C programmers often say that interpreted languages like R are nice and all, but lack in terms of speed. How fast something works in R greatly depends on how it is implemented, i.e. which packages/functions does one use. A prime example, which shows up regularly on

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Performance ratios, bootstrapping and infinite variances

June 18, 2011
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Performance ratios, bootstrapping and infinite variances

If returns had infinite variance, would there be a problem bootstrapping information ratios? Background There is a discussion on the Quant Finance group of LinkedIn with the title: “How do you measure the confidence intervals of performance ratios?” One suggestion was to use the statistical bootstrap. This resulted in a discussion of the efficacy of … Continue reading...

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vecLib: Why Mac users are better off with Open Source R

October 21, 2010
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vecLib: Why Mac users are better off with Open Source R

Thanks to its use of Apple's vecLib for BLAS, LAPACK and related functions, the open source distribution of R performs many matrix calculations 2-10X faster than Revolution Analytics Community edition on Mac OS X systems.

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Measuring the length of time to run a function

March 17, 2010
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Measuring the length of time to run a function

This post describes how to time the run time of a R function.

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