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by purbani
May 8th, 2009, 3:57 am
Forum: Book And Research Paper Forum
Topic: Request for copy of paper
Replies: 0
Views: 39693

Request for copy of paper

<r>Hi AllDoes anyone have a copy of Performance Attribution with Short Positions by Jose Menchero, Journal of Performance Measurement, vol. 7, no. 2 (Winter 2002/2003):39–50 ?I have been attempting to buy it from Spaulding's website but the darn thing keeps crashing on me.Please email to <EMAIL emai...
by purbani
April 26th, 2009, 9:45 am
Forum: Technical Forum
Topic: Risk Mgmt Software or Tools on the Cheap?
Replies: 9
Views: 40999

Risk Mgmt Software or Tools on the Cheap?

Infiniti Analytics Suite ( IAS ) going to be available for under $20k per annum see www.infiniti-analytics.com for details.
by purbani
April 15th, 2009, 5:30 am
Forum: Programming and Software Forum
Topic: Infiniti Analytics Suite ( IAS )
Replies: 0
Views: 40557

Infiniti Analytics Suite ( IAS )

<r>The Infiniti Analytics Suite ( IAS ) is now in pre-launch beta testing. For more details see: <URL url="http://infiniti-analytics.com/component/weblinks/40-ias/16-brochureor"><LINK_TEXT text="http://infiniti-analytics.com/component ... brochureor">http://infiniti-analytics.com/component/weblinks/...
by purbani
April 15th, 2009, 12:21 am
Forum: Student Forum
Topic: Normally distributed returns...
Replies: 13
Views: 41680

Normally distributed returns...

We assume a mean expected return of zero for daily equity returns under normality because the standard error of the volatility of daily returns is statistically insignificant. For longer holding periods this is obviously no longer true.
by purbani
April 10th, 2009, 8:43 pm
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

<t>Yes that's correct. Agree your comment about the difficulty in finding approprite benchmarks though. We use equities and bonds because we ate generating a standardized score and they are the generic alternative asset classes to hedge funds. To the extent that HF are a derived and not a truly sepe...
by purbani
April 10th, 2009, 11:17 am
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

You can of course run them on the raw returns but we are in general more interested in the persistence of any alpha or excess returns to one or more benchmarks.
by purbani
April 8th, 2009, 9:51 pm
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

Hi Dave - here you go - I have had to make an assumption about the start and finish of the data which may be incorrect. Have also only run from assumed common start date ( Mar 01) because cacluating relative to a Bmk in this case MSCI World equities. Cheers - PU
by purbani
April 6th, 2009, 1:26 am
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

I'd be happy to have a go send me the data at peter.urbani@infiniti-capital.com
by purbani
February 12th, 2009, 3:52 pm
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

yes
by purbani
February 12th, 2009, 1:34 am
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

Hi DaveNot Madoff some other FoF rumoured to be the new $1bn ponzi he has shopped to the SEC sorry can't say the name in case it aint so. If it is the right one I will publish the results to the forum if/when the SEC ever gets its act together.CheersPeter
by purbani
February 11th, 2009, 3:09 am
Forum: Trading Forum
Topic: PERSISTENT AND ANTIPERSISTENT
Replies: 30
Views: 48461

PERSISTENT AND ANTIPERSISTENT

<t>We've done a bit of work on Hurst and it actually can be quite useful. One thing to bear in mind is that overly high Hurst exponents are actually bad and potentially indicative of fake data ala Madoff or in-sample perfect hindsight backtests. They may also be indicative of too rapid trend acceler...
by purbani
November 11th, 2008, 11:55 pm
Forum: General Forum
Topic: The End of Wall St's Boom (Michael Lewis)
Replies: 1
Views: 46738

The End of Wall St's Boom (Michael Lewis)

<t>Its brilliant. My favourite two quotes:He called Standard & Poor’s and asked what would happen to default rates if real estate prices fell. The man at S&P couldn’t say; its model for home prices had no ability to accept a negative numberAs an investor, Eisman was allowed on the quarterly ...
by purbani
October 2nd, 2008, 10:22 pm
Forum: General Forum
Topic: faulty reasoning in hedge fund performance?
Replies: 26
Views: 51885

faulty reasoning in hedge fund performance?

<t>There is no question that HF and HFoF have their problems not least of which is their inherent liquidity mismatch but the simple question is where would you rather have had your money this year. A simple calc shows that even a very defensive 50:50 belnd of Msci World Equities ( GDDUWIF Index ) an...
by purbani
August 31st, 2008, 10:47 pm
Forum: Technical Forum
Topic: A VaR question
Replies: 8
Views: 50775

A VaR question

<t>The point about independence is one possible answer. However it is more likely that the interviewer wanted you to also scale the mean by 10 days to avoid overestimating the VaR as outlined in Kevin Dowd's book Measuring Market Risk. The original RiskMetrics papers all used the assumption of a 0 d...
by purbani
August 31st, 2008, 10:40 pm
Forum: Technical Forum
Topic: A VaR question
Replies: 8
Views: 50775

A VaR question

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