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Aug
22
revised Is this a common variation of sharpe ratio?
added 8 characters in body
Aug
22
revised Is this a common variation of sharpe ratio?
added 101 characters in body; added 420 characters in body
Aug
22
comment Is this a common variation of sharpe ratio?
@John - I like your point as an add'l new point (added). I should clarify my point to say that the comparability of the statistic across strategies assumes the joint normally distributed returns.
Aug
22
revised Is this a common variation of sharpe ratio?
added 5 characters in body
Aug
22
revised Is this a common variation of sharpe ratio?
added 26 characters in body
Aug
22
answered Is this a common variation of sharpe ratio?
Aug
21
accepted Implied forward rates puzzle
Aug
9
comment Using rolling returns in a multivariate linear regression?
Incidentally, you have stumbled upon one of the skeletons in the closet for the Fama-French type multiple regression techniques. Many academic papers suffer from exactly the issue you describe (autocorrelated residuals) but it's simply not discussed.
Aug
9
revised How do you mix quantitative asset allocation with qualitative views?
added 128 characters in body
Aug
9
revised How do you mix quantitative asset allocation with qualitative views?
added 255 characters in body; added 85 characters in body; edited body
Aug
8
reviewed Approve hardware tag wiki
Aug
8
reviewed Approve hardware tag wiki excerpt
Aug
5
reviewed Approve
Aug
5
reviewed Approve
Aug
5
comment What are the pros and cons of applying for a patent on a financial model or trading system?
don't have the link but the paper is available on the BARRA site. email me and I can also send it to you.
Aug
3
comment What is the relative performance of hard-to-borrow securities?
nice find... the holder of the security may be better off then the expected loss from the stock loan fee. interesting.
Aug
3
accepted What is the relative performance of hard-to-borrow securities?
Aug
2
asked What is the relative performance of hard-to-borrow securities?
Jul
31
revised Implied forward rates puzzle
added 223 characters in body
Jul
31
comment Implied forward rates puzzle
@chrisaycock - Thanks Chris. I switched to letters.