Blog Archives

16 years of volatility on the S&P 500

Lately, I was wondering how serious volatility has gotten so far and so decided to update my hall of volatility on the S&P 500. Check the following chart (drawn along a GARCH-estimated-1-day-99% VaR) In case you wonder, at 99% probability only 1% “exceedance” is theoretically expected (using the normal distribution

Read More…

Share Button
Posted in Economics
Tags: , ,

Volatility: forecasting the unobservable

If you want to take investment risk for a spin, you should definitely allocate some of your hardly-sweated savings on your favorite stock – better starting with a broad stock index tracker, a.k.a. ETF, and then moving to the next level of individual stocks, if you like hot and spicy

Read More…

Share Button
Posted in Economics
Tags: ,

Forecasting returns and trading strategies

Mouth hanging open and a look of daydreaming, what’s so amazing to get such a reaction? It’s the prospect of a reliable forecast on a stock’s return! What else? It’s bewildering to still catch an investor’s interested look with the pretence of a cue on a hot stock ready to

Read More…

Share Button
Posted in Economics
Tags: , ,

MICERs chase volatility instead of cheese

MICERs are on the prowl again. And by following them an investor, with a good aim and on her or his lucky day, might even find out some interesting information about undervalued (overvalued) stocks to add (subtract) to his portfolio and reap a refreshing excess return. An update on S&P

Read More…

Share Button
Posted in Economics, MICERs
Tags: , ,

The magic of diversification

According to Mr Bluford Putnam of EQA Partners, a consultancy, “if we had perfect foresight we would not need a portfolio to control risk” and that’s exactly what a Main Street investor should always bear in mind: diversification. Portoflio diversification can be demonstrated at two different levels: naive and efficient.

Read More…

Share Button
Posted in Economics
Tags: ,

S&P 500 implied returns valuation

MICERs are Market Implied Consensus Expected Returns and are the result – in terms of risk premium – of a reverse optimization using some available market information about variances, covariances and capitalizations. Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent

Read More…

Share Button
Posted in MICERs
Tags: , , ,

Forecasting volatilities on S&P 500

Though market participants know it is with a twist of fate that stock markets like to play tricks on their hindsight optimized risk models, it is hard to put aside VaR, a standard max loss estimate on stock markets. Based on daily historical returns since February 25, 2013 and using a

Read More…

Share Button
Posted in Economics
Tags: ,

MICERs on the storm

Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent investors’ trading choices to hold securities according to their preferences in terms of expected risk and return. If investors seek to maximize their utility in holding portfolios and do hold their desired

Read More…

Share Button
Posted in Economics, R-stats, Whitepapers
Tags: , , ,

Tweets