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May
17
revised Looking for C# library that provides/contains performance analytics
added 5 characters in body
May
17
comment Looking for C# library that provides/contains performance analytics
Thank you very much for pointing me into the rredis direction and indirectly into how to distribute workloads using different R sessions. I have not used R for quite some time as explained in my own answer, but have to admit that especially the capability to distribute workload through multiple R sessions opens up a whole load of new opportunities. Yet, for this specific project I still decided to write my own customized solution (also explained in my own answer). But that in no way diminishes my appreciation for walking me and other users through the options available to connect with R.
May
17
accepted Looking for C# library that provides/contains performance analytics
May
17
answered Looking for C# library that provides/contains performance analytics
May
16
awarded  Benefactor
May
15
comment What is the equation for Garman-Klass volatility?
Google is your best friend, todaysgroep.nl/media/236846/measuring_historic_volatility.pdf
May
15
comment Looking for C# library that provides/contains performance analytics
that itself would not be the issue, I just wonder whether there is a simple way in R to execute "string commands". I think I could use Parse and Eval...?
May
15
comment Looking for C# library that provides/contains performance analytics
I see that, but I fail to see how I can perform automated command processing off redis queues with rredis. Is my assumption correct that I would have to write the listener and processor myself?
May
15
comment Looking for C# library that provides/contains performance analytics
I posted a question on stackoverflow (stackoverflow.com/questions/23672491/…) because I am getting errors when executing a simple example regarding doRedis. Is doRedis even the right package to use if I just want to have a single worker that picks up commands from the redis queue and stores the results back on redis? I am asking because doRedis seems to really zero in on distributed workload processing through foreach loops. Any hints? Thanks
May
15
comment What is the motivation for index benchmark?
And your last point, while valid, only applies again to relative performance. Yes you may get fired if you underperform all your peers, but nobody questions you nor fires you if even the top performer lost a sizable percentage of money invested. Because of that hardly anyone in the conventional buy side industry (hedge funds excluded) truly searches for outstanding but unconventional trading ideas. I do not only fault the PMs, it is the whole regulatory framework that is to be blamed. The term "Long only" should not even exist in our industry.
May
15
comment What is the motivation for index benchmark?
But are you not omitting the actual metric, absolute returns? The issue is that most portfolio managers and almost the entire buy side industry hides behind relative performance. Because of this the incentive to produce alpha diminishes because it would mean that you have to take on risk or take a specific non-conforming view. But fact is that regardless of performance, whether positive but most often underperforming indexes or absolutely negative, relative performance to indexes is touted as a means to market such funds.
May
14
comment Looking for C# library that provides/contains performance analytics
Thanks, will check it out
May
14
comment Looking for C# library that provides/contains performance analytics
I did not say that I intend to rewrite any library, I only plan to peruse a fraction of the functionality that PerformanceAnalytics offers. I like your last bullet point suggestion, because I heavily use Redis as key/value store and for pub/sub though I have never worked with rredis. I assume rredis is some sort of workload forwarder or would I need to write the workload client myself in R? +voted
May
14
comment Why does Futures contract credit and debit a position daily, if it has “locked” the price?
@bonCodigo, no, you don't have to take anything for face value. But if you want to understand it then you need to grab a book, sit your bum down and really work through the chapters like everyone who started out in this field and wants to be serious about it.
May
14
comment Why does Futures contract credit and debit a position daily, if it has “locked” the price?
As mentioned, please first familiarize yourself with the basics of futures contract. You already start off on the wrong foot: There is no all cash upfront payment. Futures contracts entail a margin bond.
May
14
comment What is the motivation for index benchmark?
Not necessarily, you may have just forgotten to read the fund prospectus, where it clearly states, that there is a management fee of x%, a performance fee of ..., that there are lending and borrowing fees, that there are so many various fees involved that the fund performance "may" deviate from the index performance. To be fair, an index is an index, it does not suffer from costs of execution, but that exactly is my criticism in my own answer.
May
14
comment What is the motivation for index benchmark?
The general public is simply too uninformed to critically overthink this practice. And anyone who buys funds as proxy is in the same bed with the buy side industry. Street knowledge on average goes as far as "buy and sell", most people have never even heard of indexes such as Russell, MSCI, and the like
May
14
revised What is the motivation for index benchmark?
added 1409 characters in body
May
14
answered What is the motivation for index benchmark?
May
14
answered Why does Futures contract credit and debit a position daily, if it has “locked” the price?