Quantifying Investing Skill: The Information Ratio
Quick, which manager is better? Manager A who consistently beats her benchmark by a full percentage point, or Manager B who sometimes beats the benchmark by as much as five percent, but who also can underperform the same benchmark by that same five percent? It’s not an easy question to answer. The difficulty lies in… Read more
The Amazing FunctionMap!
FunctionMap is a handy class that allows a set of object transformations to be mapped at run time without having to define a bunch of extra interfaces and without having to evaluate the transformations at the time the mapping is created. Suppose we have an object: class NumberPair { double a; double b; } and… Read more
Ruby Modules
There are two common usages for modules in Ruby: namespacing and mixing in. An example of namespacing can be seen in the Math module: Math::PI # 3.14159…. Math.log10(100) # 2.0 Mixing in a module will extend that class with additional constants and methods. Here’s an example where we’ll create our own module and mix it… Read more
Don’t block our alleyway! But if you do…
Marty McFly: Doc, we better back up. We don’t have enough road to get up to 88. Dr. Emmett Brown: Roads? Where we’re going, we don’t need roads.
The Psychology of Testing by Miško Hevery (Jan. 18, Palo Alto)
On January 18, 2011, at 6pm, Wealthfront in Palo Alto, Calif. will host the 3rd talk in our “Lean Startup for Geeks” series: The Psychology of Testing by Miško Hevery. Miško is a well-known agile coach with many contributions to the open-source world such as AngularJS, the Testability Explorer, and the js-test-driver. After a short… Read more
Cluster portfolios using return correlation
Motivation You might already know that diversifying your investment over uncorrelated assets is a good way to reduce risk. That’s why people watch asset return correlation closely so they can make informed decision in portfolio construction. Correlation is important not only in identifying diversification opportunities but also in understanding investment strategies’ characteristics so that we… Read more