Portfolio Management Software
This tutorial written and reproduced with permission from Peter Ponzo Historical Volatility (HV) is calculated by looking at historical returns and calculating some kind of average deviation from their mean value using the magic formula for Standard Deviation … also called Volatility. But aren’t their several magic formulas for Standard […]
This tutorial written and reproduced with permission from Peter Ponzo Once upon a time, a British government bureaucrat named Harold Edwin Hurst studied 800 years of records of the Nile’s flooding. He noticed that there was a tendency for a high flood year to be followed by another high flood […]
This tutorial written and reproduced with permission from Peter Ponzo (Pairs Trading – Part II) As an example, let’s consider a couple of car manufacturers: General Motors and Ford. Over the past five years their weekly stock prices have changed like Figure 1. They tend to move together, eh? […]
This tutorial written and reproduced with permission from Peter Ponzo Okay, here’s the story: In 1944 Anne Scheiber, a lifelong federal employee whose income never surpassed $3,150 a year, invested $5,000 in blue-chip stocks. When she died in 1995 her stocks were worth $22 million and she was receiving an annual […]
This tutorial written and reproduced with permission from Peter Ponzo You stare raptly at a collection of stock returns and ask: Are they distributed Normally or maybe Lognormally or may something else? Or, you’ve found some strange formula which generates random returns and you ask: Are they distributed Normally or […]