Blog year 2013 in review

Highlights of the blog over the past year.

Most popular posts

The posts with the most hits during the year.

  1. A practical introduction to garch modeling (posted in 2012)
  2. A tale of two returns (posted in 2010)
  3. The top 7 portfolio optimization problems (posted in 2012)
  4. The number 1 novice quant mistake (posted in 2011)
  5. On smart beta
  6. The distribution of financial returns made simple (posted in 2012)
  7. The mystery of volatility estimates from daily versus monthly returns (posted in 2011)
  8. A comparison of some heuristic optimization methods (posted in 2012)
  9. Quant finance blogs
  10. Predicted correlations and portfolio optimization
  11. The basics of Value at Risk and Expected Shortfall (posted in 2012)
  12. The look of verifying data
  13. What the hell is a variance matrix? (posted in 2010)
  14. The estimation of Value at Risk and Expected Shortfall (posted in 2012)
  15. The components garch model in the rugarch package
  16. The low volatility anomaly and CAPM
  17. Simple tests of predicted returns
  18. An easy mistake with returns (posted in 2012)
  19. Implied alpha and minimum variance

Most under-valued posts

Governance Reimagined — the book, not necessarily the review — has had too little attention.


Social impact bonds are interesting and important (or at least should be).

Book reviews

Table 1 summarizes (and has links to) the reviews of books during the year.

Table 1: Recommendations of reviewed books.

title author recommended
Thinking, Fast and Slow Daniel Kahneman highly
Governance Reimagined David Koenig highly


Fund management


 The posts:

Quant finance

The quantitative finance posts can be put into a few categories.

Quant fundamentals


Trade selection

Distribution of returns




Quite a large fraction of the posts involve R and many of those provide explanations of R behavior.

However, there was one post that was explicitly about R: The components garch model in the rugarch package.


The posts on risk again focused on Value at Risk and Expected Shortfall.  The posts were mainly about why one might be preferred to the other:


The look of verifying data.



Add a touch of mystique where the writing gets weak 
Break up coherence with a cut-cut-cut up technique

from “Folklore” by James

Stopping by Woods on a Snowy Evening

Whose woods these are I think I know

from “Stopping by Woods on a Snowy Evening” by Robert Frost


Oh Maybellene, why can’t you be true?

from “Maybellene” by Chuck Berry

Night Train

A temporary refuge where somebody else can stand

from “Night Train” by Bruce Cockburn

Throw Back the Little Ones

Throw back the little ones
And pan-fry the big ones
Use tact, poise and reason
And gently squeeze them

from “Throw Back the Little Ones” by Donald Fagen and Walter Becker

The Second Coming

Surely some revelation is at hand

from “The Second Coming” by W. B. Yeats

Joni Mitchell’s version.

Mercy of the Fallen

Oh my fair North Star
I have held to you dearly
I have asked you to steer me

from “Mercy of the Fallen” by Dar Williams

Different Sides

Both of us say there are laws to obey
But frankly I don’t like your tone

from “Different Sides” by Leonard Cohen

Did You Ever Have to Make Up your Mind?

Did you ever have to finally decide?
And say yes to one and let the other one ride

from “Did you ever have to make up your mind?” by John Sebastian

Long Way Home

Well I stumbled in the darkness
I’m lost and alone
Though I said I’d go before us
And show the way back home

from “Long Way Home” by Tom Waits and Kathleen Brennan

Missed the Boat

Our ideas held no water
But we used them like a dam
Oh, and we carried it all so well

from “Missed the Boat” by Isaac Brock

The Stable Song

were we the belly of the beast or the sword that fell…we’ll never tell.

from “The Stable Song” by Gregory Alan Isakov

Long Ride

‘ Cause the dawn and the dying light
Have gathered too much meaning

from “Long Ride” by Taasha Coates and Tristan Goodall

Comes Love

Comes a rainstorm, put your rubbers on your feet
Comes a snowstorm, you can get a little heat

from “Comes Love” by Lew Brown, Sam Stept and Charles Tobias


And why do some show no mercy while others are painfully shy?
Tell me doctor, can you quantify?
He just wants to know the reason why
The reason why

from “Imitosis” by Andrew Bird

Hey Jack Kerouac

Hey Jack, now for the tricky part
When you were the brightest star
Who were the shadows?

from “Hey Jack Kerouac” by Natalie Merchant and Robert Buck

Every Breath You Take

Every vow you break
Every smile you fake
Every claim you stake
I’ll be watching you

from “Every Breath You Take” by Sting

It Isn’t Gonna Be That Way

This minute would crack
And I could go through
And walk out in time
Where no one has been

from “It Isn’t Gonna Be That Way” by Steve Forbert


He’ll light your way but that is all
Steer your own ship back to shore

from “Lighthouse” by Kolwalczyk, Taylor, Dahlheimer and Gracey

Further In

and they like some wild river flow as we go further in

from “Further In” by Greg Brown


Thank you

I’d like to thank those who have read the blog over the past year (and beyond). Special thanks go to those who

All the best in the coming year.

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