Blog year 2010 in review

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The blog year started in August and consists of 30-something posts.  Here is a summary.

Quant concepts


A performance step beyond “Economists’ Hubris” points out that random portfolios are a more powerful method of performance measurement than the method that is suggested in the “Economists’ Hubris” paper (though that method is probably pretty good).

The volatility puzzle solved? suggests that perhaps the reason that low volatility stocks have a higher expected return than high volatility stocks is because hardly anyone pays attention to volatility when selecting stocks.

The decision between active and passive investment is explored in Freeloading turnstile jumpers.

Market structure

Elevated stock correlations is a short discussion of fund manager opportunity and its changes through time.

Deflation, inflation and blown tires points to an interesting analogy regarding inflation.

Anomalies meet volatility discusses a paper by Bernd Scherer about low volatility portfolios.  I wonder if the French/Fama anomalies found to be associated with low volatility portfolios are caused by the inattention to volatility (as in The volatility puzzle solved?).

Were stock returns really better in 2007 than 2008? suggests the surprising proposition that stock returns might have been as good in 2008 as in 2007.

This same theme is continued in Bear hunting which tries to find periods that were bear markets.

Primitive stock markets is an invitation to find better ways of structuring markets.

The ARORA guessing game points to a fun game where you decide which of two series is market data.  It also includes a hypothesis of why we can tell the difference.

Market ethics

Are momentum strategies antisocial? The title asks the question.  I’m not sure of the answer.

The good side of inside trading points to an article that shows  inside trading to be a more ambiguous subject than we would expect.

Psychic fund management unfortunately exists.

Making science happen is about the Blackawton bee study.  If 8 year-olds can do science, why can’t the fund management industry do more of it?


The book reviews were:

Table 1 provides a quick view of my recommendations.

Table 1: Recommendations of reviewed books.

title author recommended
Brain Rules John Medina yes
Drive Daniel Pink yes
The Happiness Equation Nick Powdthavee no
Obliquity John Kay yes
The R Book Michael Crawley generally no
The Quants Scott Patterson maybe


R is a name you need to know declares Forbes magazine.  In this instance I believe them to be correct.  Apparently R appears in the hardcopy magazine published in late December.

Some quibbles about “The R Book” by Michael Crawley If you have the book, I suggest that you have a glance at this post.

Ideas for World Statistics Day includes some ideas concerning R.

Bear hunting shows some R code and also points to R code you can download.  One function in particular may be useful — a function that nicely plots data over years or decades.

A tale of two returns has R code for computing returns and for creating a particular plot.

The following posts include minor amounts of R code:


Posts related to statistics were:


Feeding a greedy algorithm explains the idea of greedy algorithms and their use.


Clever versus simple risk management discusses why risk modeling is hard.

Most popular

  1. Ideas for World Statistics Day
  2. A quant review of “The Quants” by Scott Patterson
  3. A tale of two returns
  4. The tightrope of the random walk
  5. What the hell is a variance matrix?

Most under-valued

Most read is not at all the same as most important.  Here is my list of the posts that have been given less attention than they deserve:

  1. Freeloading turnstile jumpers
  2. Are momentum strategies antisocial?
  3. Anomalies meet volatility
  4. The volatility puzzle solved?
  5. Primitive stock markets
  6. Backtesting — almost wordless

Most disappointing

American TV does cointegration is about cointegration.  It is also about the Fringe television series.  I would have thought that Fringe geeks would relish this post which explains an otherwise unintuitive aspect of the show.  Apparently not.

Thank you

I’d like to thank those who have read the blog over the past few months.  Special thanks go to those who

(However, spammers are free to resist commenting.)

All the best in the coming year.

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