Parallel processing has become much more important over the years as multi-core processors have become common place. From version 02.14 onwards, parallel processing has become part of the standard R installation in the form of the parallel package. This package… See more ›
The Area Under the Receiver Operator Curve is a commonly used metric of model performance in machine learning and many other binary classification/prediction problems. The idea is to generate a threshold independent measure of how well a model is able to distinguish between two possible outcomes. Threshold independent here just means that for any model […]
Performance analysis of an example portfolio. The portfolio We explore a particular portfolio during 2007. It invests in S&P 500 stocks and starts the year with a value of $10 million. Initially there are 50 names in the portfolio. It also ends the year with 50 names but has up to 53 names during the … Continue reading →
I’ve recently taken delivery of a Raspberry Pi mini computer. For anyone who doesn’t know, this is a low cost, low power machine, costing around 20 GBP (25 USD) and consuming around 2.5 Watts of power (it is powered by micro-USB). This amazing little device can run linux very adequately, and so naturally I’ve been […]
A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio. At a later date we can see if that change was good or bad for the portfolio return. Say, for instance, that it helped by 16 basis points. How do we properly account for variability in that … Continue reading →
Only puny secrets need protection. Big discoveries are protected by public incredulity. – Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several ways. Here are six. 1) Measure active managers There is no convincing evidence that more than a handful of funds have consistently outperformed. This should tell … Continue reading →
