9,349 reputation
1530
bio website
location Hong Kong
age
visits member for 2 years, 8 months
seen 17 hours ago

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?
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
added 234 characters in body
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).