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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?
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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?
May
13
comment Looking for C# library that provides/contains performance analytics
I rest my case, fact remains that slowly more and more financial C++ libraries are being replaced, and the most popular language of replacement on the sell-side is C#. You have a right to vehemently disagree, but for that I recommend you to write a post on your own blog or website. You have made your recommendation re my question clear and I respect that. Let's move on...
May
13
comment Looking for C# library that provides/contains performance analytics
I never claimed "everybody", and certainly I exaggerated when I said "most" but maybe you want to inquire with SocGen and BNP, just two houses out of several others. They both run their pricing engines on Windows Server and the C++ libraries have been dumped and been replaced with C# as far as I heard. And who abandoned C# libraries? What have they been replaced with? Eddelbuettel's Top10 R-packages? ;-) Dirk, its hard to take someone serious who apparently seems "stuck" in a let's-hate-Microsoft can.
May
13
comment Looking for C# library that provides/contains performance analytics
And I can only repeat to invite you to offer your own answer. I agree that the other two currently standing two answers do not solve my problem and I would chose your suggestion via R because it tackles the issue at hand. Do it for the community not for me if you have such issues with my "sound and fury" (your words that you subsequently deleted)
May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
I edited my answer, does that sound agreeable, correctness wise?
May
13
revised Calculate correlation between two sub portfolios and the combined portfolio
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May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
Marco Breitig's solution may be accurate, that by default does not make mine incorrect. You downvoted so I would appreciate if you could explain your rational why my solution is incorrect. Portfolios a, b, a+b, all draw from the same covariance matrix and same assets. Hence creating a portfolio with weights in assets equal to a portfolio a+ b should lead to the the correct covariance between this and portfolio a or b, using my proposed solution.
May
13
comment Are Futures exactly Delta One?
For the sake of clarity, some confusion arose because of the difference between forward price and forward value. @Swap.Jat, can you please specify what exactly you try to determine?
May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
I saw that edit but that link (though I was the one who initially provided it) leads one down an incorrect road because the question there is about portfolio correlations with their own assets. Using my approach you should get the correct covariance and from that correlation between two portfolios if you construct the weight vectors carefully. If you downvoted it can you explain why this approach would not work (in detail if possible as I like to learn what I got wrong).
May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
Sure, and combined portfolio weight vectors can simply be set up by combining portfolio a and b weightings. Hence, you can easily derive the covariance between portfolio a and (a+b). I am a bit rusty on linear algebra so I am only 90% confident this is right, please correct and explain why if not.
May
13
comment Are Futures exactly Delta One?
I edited my answer to make it more precise when practitioners refer to a forward delta as 1 and when they define it to be exp(r(T-t)). Generally though forward delta of 1 is considered because most traders concern themselves with changes in valuations and with setting up precise hedges and not how forward prices change in the future (the difference between price and value of a forward contract is important).
May
13
revised Are Futures exactly Delta One?
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May
13
comment Price of portfolio with target volatility
how do S1 and S2 correlate?
May
13
comment Calculating Bollinger Band Correctly
I am not into python but looks like that your average (ave) time series does not look right in relation to "SP", at least ave does not converge with "SP".
May
13
comment Are Futures exactly Delta One?
Please read carefully, I did not say that either.
May
13
revised Are Futures exactly Delta One?
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