Lot of times we get queries regarding, the paper model looks good, but there are few fresh entries. How do I go on model? We did an extensive white paper on start point bias (Market Scenario Analysis), to explain how starting point bias does not affect the performance of the RMI. The starting point case was […]
I was invited to speak at the Princeton – UChicago quant conference on Nov 8 by Illinois Institute of Technology, Stuart School of Business. Chicago was a bit sunny when I arrived (a week later came the tornadoes). Confused between south and north, using Starbucks as reference points we moved around the city hopping business […]
Risk Management Indexing index construction methodology has showcased its workability across markets, assets, risk preferences. In this white paper, we illustrate the working of RMI across different market scenarios, a bull market, a bear market and a sideways market. We had such market scenarios over the last decade across regions. For this paper, we have […]
A worst performers’ portfolio delivers more than a best winners’ portfolio over longer terms of investing. Building my case from last time (the fortune index), where I suggested databases should talk to themselves and if natural systems express universal laws like patterns, divergences, seasonality and constants then the data generated or derived from these natural systems should […]
Somehow my Interdisciplinary mind registered Eugene faster than Fama. After all Eugene Stanley the father of Econophysics could also get a Nobel. If Psychologists could get the biggest award for Economics, a physicist could have been there too. But then the surprise became bigger, not because it was Fama not Stanley but because Robert Shiller […]
Data models should work across regions, across nature, across data sets. This means “Data Universality”. If natural phenomenon exhibit universal patterns like geometry, outliers, 80-20 principle, mean reversion, fat tails etc. then the data these natural phenomena generate should also express a similar behavior; actually they do. But we still consider data sets as religious, […]
Why stock market is not a science? Today many elements of our life have a degree of predictability, consumption patterns, social behaviour, earthquakes, etc. However the predictive measure is lacking when it comes to stock markets. Behavioural finance highlighted this lacking measure and accountability. Even statisticians limit themselves to prediction of stock market volatility rather than […]
In case you missed it, the Bloomberg Business Week cover leveraged the male anatomy to make a statement about hedge-fund returns. Though catchy and good for sales, the cover evoked a mixed response and a few considered it was in bad taste. The social mood is so much about jailing bankers that hedge funds should be happy […]
We can now connect cause to an effect retrospectively. What happened to India? Are we going to Nifty 4,500 or is Nifty at 8,000 still running? Apart from the ongoing payment crisis that dampens confidence, the rupee scare, the falling Nifty, there are actually job losses and downsizing. So, the ongoing seasonality could be serious. […]
Killing the insider Now with SAC Capital Advisors, a multi-billion dollar hedge fund, under attack and potentially ready to shut shop, one wonders what is getting destroyed or created in this process. Who should be excited? Who should feel distraught? Is it destruction? Rajat Gupta’s wiki page labels him as a corporate criminal before talking about his […]