by Patrick Burns.
Abstract: The current practice of fund management can be altered to improve the lot of both the investor and the fund manager. Tracking error constraints in mandates can be replaced by an evaluation of the added value provided to the investor by the fund manager. The value of the manager depends not only on the outperformance of the manager’s fund, but also on its volatility and its correlation to the rest of the investor’s portfolio. Hyperpassive funds — an approach suggested by the new mandate scheme — show promise.
jun 25, 26
I’d like to do a song of great social and political import. The code that created the illustrations in Tao Te Programming is now available as the TaoTeProgramming package on [...]
jun 25, 26
Another of the all ye entering here. Issue When subscripting an xts object, columns that don’t exist in the object are silently ignored. Example First, create an xts object: xtx [...]
jun 25, 26
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