The Sharpe Ratio: Blunted by Noise?
January 10, 2007 - Big Ideas
…the Sharpe ratio has such a high level of intrinsic variability that it is not a very reliable portfolio comparison tool.
January 10, 2007 - Big Ideas
…the Sharpe ratio has such a high level of intrinsic variability that it is not a very reliable portfolio comparison tool.
January 9, 2007 - Big Ideas, Size Effect, Value Premium
…portfolio management based on statistically reliable characterization of the long-term trend of the stock market offers an economically significant advantage over approaches that ignore the long-term trend.
January 5, 2007 - Animal Spirits, Individual Investing
…individual investors should continually ask themselves whether their information gathering efforts support rational execution of new decisions, or merely feed overconfidence in past decisions.
January 4, 2007 - Volatility Effects
…the volatility premium for individual stocks derives from volatilities implied by options prices rather than historical (realized) stock price volatilities. This premium may be concentrated in small growth stocks.
January 3, 2007 - Cartoons, Equity Premium
The more we study it, the smaller it gets? Or, the act of studying risk diminishes the fear of it?
December 28, 2006 - Investing Expertise, Real Estate
…it is doubtful that commercial real estate experts can accurately forecast returns from investments in commercial properties by type or location.
December 19, 2006 - Investing Expertise
…lead underwriter sell recommendations may be the only analyst calls worth tracking.
December 13, 2006 - Size Effect
…small capitalization stocks with low past profitability may be key to exploiting the size effect.
December 12, 2006 - Animal Spirits
…investors appear to overreact systematically in projecting a firm’s earnings results to the near-term earnings announcements of peer companies.
December 11, 2006 - Technical Trading
…”much of the wisdom comprising the popular version of TA does not qualify as legitimate knowledge,” and “TA must evolve into a rigorous observational science if it is to deliver on its claims and remain relevant.”