Take any asset , Every investor has a specific idea of return as it is based on the expected holding period, ability to short sell, turn over of the asset etc. If one were talk about returns, it is very difficult to give a generic metric. There are umpteen ways to calculate returns as one can imagine. For example, One could take daily returns and multiply by 252, daily standard deviation and multiply by sqrt(252) to get a risk return profile One could take weekly returns and multiply by 52, daily standard deviation and multiply by sqrt(52) to get a risk return profile One could take monthly returns and multiply by 12, daily standard deviation and multiply by sqrt(12) to get a risk return profile One could just take a mean of calendar year returns and sd of calendar year returns.

Noah’s Ark was built by amateurs. It took professionals to build the Titanic.

Your net worth to the world is usually determined by what remains after your bad habits are subtracted from your good ones. _- Benjamin Franklin _

One of my friend’s brother works for the stock exchange and I happened to chat up with him about technical analysis. I have been told that a user interface would be available soon on the web site of the stock exchange. He asked me my thoughts on the some of the TA graphs and the type of charts I would be interested in looking at. This post is a summary of my thoughts on the same.

Why “portfolio optimization” as a discipline , needs to develop a LOT ? Link : 1/N , an LBS paper reports that equally weighted portfolio is good enough!