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Glad people are reading. Simple with more history in terms of time and indexes is better in my book. I have spent 13 years reading over 200 research papers, incorporating complicated and advanced techniques, and studying very reputable buy side research with no improvement in results. Readers are on their own to extend to lots of markets including Nikkei ...

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"Factor loading" is a somewhat ambiguous phrase -- it could refer to the factors in a linear model (e.g. the beta in CAPM or extended linear stock models), the factors of principal component analysis, etc. If you could provide a reference to the exact example/paper it would be clearer. In credit, however, a likely interpretation is the loadings of different ...

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Jennifer Bender of MSCI Barra has a paper from 2007 entitled: To Beta or Not to Beta: A Comparison of Historical Versus Fundamental Betas for Hedging Market Risk She deals specifically and exclusively with which method is superior for hedging long-only portfolios. Not surprisingly, she finds that Barra's approach is better. She tests long-only and ...

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I think the way to see the real effect in a backtest is to produce the distribution achieved with zero skill. You can get one point from this distribution by starting with the same initial portfolio, then do random trading through the time period conditional on obeying the same set of constraints. Do that several times to get the approximate distribution. ...

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Wikipedia gives: $\sigma(x,y) = E[xy] - E[x]E[y]$ and $\sigma(ax+by,cz) = ac\, \sigma(x,z) + bc\, \sigma(y,z)$ (paraphrasing the $\sigma(ax+by,cW+dV)$ rule). So $\sigma(I,A) = \sigma([aA+bB+cC+dD],A)$ $\sigma(I,A) = a\,\sigma(A,A) + b\,\sigma(B,A) + c\,\sigma(C,A) + d\,\sigma(D,A)$ \$\sigma(I,A) = a\,\sigma^2(A) + b\,\sigma(B,A) + c\,\sigma(C,A) + ...

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On the Expected Performance of Market Timing Strategies, a recent working paper by Hallerbach from Robeco Asset Management, attempts to construct a rigorous framework for evaluating market-timing strategies. We derive expressions for the Information Ratio (IR) that can be expected from market timing strategies in non-parametric and parametric settings. ...

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