Hot Investment Performance Topics

Fundamental questions are still under debate

Investment performance measurement concepts and methodologies have been developed for decades. For any problem we are facing now, there is highly possible that some smart guy had a solution ready there.

It is 2018 now, we have enormous of portfolio analytics systems in the market that have various level of capabilities. These market players have implemented selective methodologies within their systems and push to their clients. The complexity of these systems have increased may not because of expansion of the building block of the investment performance toolbox, but because of the complexity of market and evolution of technology. Regulations are tighten, companies wants more centralized system to help them dealing with regulators. While industry is focusing on the systems, there are still fundamental concepts are still debatable for application.

Two performance giants are having discussion on the following topics this year :

  • Time- vs. Money-weighting
  • Excess returns: arithmetic vs. geometric
  • The interaction effect: is there any point?
  • Attribution: arithmetic vs. geometric attribution
  • Holdings vs. transaction-based attribution?
  • Are residuals acceptable in attribution?
  • Is there any reason to measure ex-post risk?
  • What to use for the risk-free rate? What if it’s negative?
  • Risk-adjusted returns: what’s the best approach?
  • Is it time for risk-adjusted attribution?
  • Why pay so much for market indexes?
  • Should GIPS apply to retail funds?
  • Equal-weighted vs. asset-weighted standard deviation
  • Asset-weighted vs. equal-weighted composite returns: which is better?

Shall we follow? Check link here for more information.

China GDP VS. M1

China GDP Against M1

Data Source:

  • FRED/MYAGM1CNM189N
  • OECD/NAAGCHNGDPCPC

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Vim Plugins For Python Development

Here are some plugins for vim to become a functioanl python IDE :

Alternatively, instead of using python-mode(it appears relatively slow sometimes), the following two plugins are helpful for syntacs checking and autocompletion :

In addition, python-mode rope autocompletion can be replaced by jedi-vim, but there is some conflicts if we enable both of them, the solution is to disable one of them.

Here are some basic setups for the above plugins (Remember to install pathogen):

 1 set t_Co=256                                                                               
 2 set nocompatible
 3 set autochdir
 4 execute pathogen#infect()
 5 filetype plugin indent on
 6 
 7 syntax enable
 8 
 9 let g:solarized_termcolors=256
10 if has('gui_running')
11     set background=light
12 else
13     set background=dark
14 endif
15 
16 colorscheme solarized
17 
18 " For NERDTree Configurations
19 map <C-b> :NERDTreeToggle<CR>
20 autocmd StdinReadPre * let s:std_in=1
21 autocmd VimEnter * if argc() == 0 && !exists("s:std_in") | NERDTree | endif
22 autocmd bufenter * if (winnr("$") == 1 && exists("b:NERDTree") && b:NERDTree.isTabTree()) | q | endif
23 
24 " For selecting splitted window just press
25 " Ctrl+J or K or L or H
26 " To split the window
27 " :sp or :vsp followed by document path
28 nnoremap <C-J> <C-W><C-J>
29 nnoremap <C-K> <C-W><C-K>
30 nnoremap <C-L> <C-W><C-L>
31 nnoremap <C-H> <C-W><C-H>
32 
33 set laststatus=2
34 set tabstop=4
35 " When indenting with '>', use 4 spaces width
36 set shiftwidth=4
37 set expandtab
38 set nu
39 set autoindent
40 set cursorline
41 
42 let g:airline_powerline_fonts = 1
43 let g:airline_theme = 'papercolor'
44 let g:solarized_bold = 1
45 
46 " Because of using Jedi-Vim, turn off pymode-rope
47 " let g:pymode_rope = 0
48 let g:pymode_folding = 0

Don't Fall To Be A Fragilista

There is a quote from Anfragile :

The fragilista ... He is often involved in a strange ritual, something commonly called "a meeting." ... he defaults to thinking that what he doesn't see is not there, or what he does not understand does not exist. At the core, he tends to mistake the unknown for the nonexistent.

Mind Mechanism

Aaron Swarz's analog on how our mind perform thinking :

your brain puts up a sort of mental force field around a task. Ever play with two magnets? If you orient the magnets properly and try to push them towards each other, they'll repel fiercely. As you move them around, you can sort of feel out the edges of the magnetic field. And as you try to bring the magnets together, the field will push you back or off in another direction.

Accepting an opposite opinion can be hard for anyone because of our build-in attribute of gene. When we hear an opinion, we may quickly response: "Oh, that is your opinion". That should not be the right way for immediate response. Instead, we shall focus on whether their opinions are better or worse so that we can examine our own ideas and thinking problems from different angles. That is how we learn and correct our thoughts.