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Sep
25
awarded  Nice Question
Sep
20
comment How can one compute the Greeks on VIX Futures
hmm. I think I get it. Although the expectation is of the future value of the basket, and the derivative is with respect to spot basket value, right? In that case, I think I can use the 'Delta method' (after genuflecting before some regularity conditions) and get a good approximation. (Well, I view Delta method as Taylor's theorem plus expectation magic.)
Sep
7
comment Should Sharpe ratio be computed using log returns or relative returns?
that really makes no sense to me. If the AUM of the fund changes (investments/disbursements), or there is a split in the stock, or a large change in nominal value, you cannot compare dollar returns from one time period to another. Did I misunderstand your comment?
Sep
7
asked How can one compute the Greeks on VIX Futures
Sep
7
awarded  Nice Question
Aug
1
revised Question about equations and risk factors.
had missing clause which looked weird.
Jul
31
awarded  Revival
Jul
31
answered Question about equations and risk factors.
Jul
22
comment Should Sharpe ratio be computed using log returns or relative returns?
what exactly do you mean? returns with dollar units?
Jul
22
comment Should Sharpe ratio be computed using log returns or relative returns?
This is a good point. For my purposes, I have the daily (or even higher frequency) marks because I am looking at equity portfolios.
Jul
22
comment Should Sharpe ratio be computed using log returns or relative returns?
daily returns as percents or in log returns?
Jun
15
answered Using linear regression on (lagged) returns of one stock to predict returns of another
May
1
asked Should Sharpe ratio be computed using log returns or relative returns?
Apr
28
comment Predicting Price Movements on a Betting Exchange
Do you mean Albert Kyle?
Apr
13
comment How does UBS hedge its exposure to XVIX ETN?
XVIX tracks a spread in VIX futures prices. Any tracking 'error' attributable to the futures prices not matching spot VIX should not be attributed to XVIX failing to track...
Apr
13
comment How does UBS hedge its exposure to XVIX ETN?
It's an ETN, not an ETF. they do not have to publish holdings.
Mar
23
comment How to perform risk factor calculation?
if you perform e.g. a en.wikipedia.org/wiki/Gram_schmidt normalization before the regression, you will have an orthogonal design matrix. However, it is difficult to interpret the resultant regression coefficients.
Mar
23
comment How to perform risk factor calculation?
This is only the case for simple linear regression with a single factor (i.e. CAPM), and not for multiple linear regression. If computing a multiple linear regression were that simple, there wouldn't be the vast mountain of literature on the topic (do a google search for 'solving normal equations' )
Mar
23
answered How to perform risk factor calculation?
Mar
23
awarded  Critic