I was asked recently if I could forward the five books or research papers that had the most influence on my style. Unfortunately, it’s really difficult to say that “these five research papers have had the most influence on me as a trader” because I tend to take small ideas or nuggets from a […]
New theme layout at both sites, here and at The Rempel Report - it’s a work in progress. I think it’s 95% done. I’ve got all the images reformatted from 2008, but posts prior to this year may still have image issues; unfortunately the new layout is fixed width and I’ve got only […]
When one is evaluating systems (or a manager), it’s advisable to measure both the return and the risk associated with it. Often the volatility of the return stream, which isn’t necessarily the same thing as its risk, is thought of as synonymous with risk and substituted for risk in the measurement. The Sharpe […]
Maximizing the compounding rate of equity is only equivalent to minimizing the risk of ruin under the following two conditions:
(1) certain MATHturbational assumptions about the distributions of returns hold true, and
(2) “ruin” is defined strictly as losing 100% or more of the equity.
I haven’t done a proof since taking topology and real analysis in […]
In January 1991, the S&P 500 had a Price/Earnings ratio in the mid-teens. The yield differential on corporate bonds, compared to long-term Ts, was about average, and had been rising to that point.
Meanwhile, the yield curve (long-term T’s to 3moTs) was pretty steep, and had been steepening.
Finally, CPI was rising at an […]
