Over the past week (since the election), the markets have been very active. The IWM (or the Russell 2000) has gone from negative territory to being up ~ 10% over the past 12 months. It has been a big run-up.
An interesting backdrop for our analysis of skewness, kurtosis and other higher moments of stock prices for better understanding options on US Common Stocks.
We keep finding things in the code. Today, I found an issue with how we take the covariance of the stocks based on the log returns. The first row (or daily log change value) is wrong and could have artificially inflated variance of all stocks (at least it was by the same amount).
We are also working on adjusting formulations again. Always more to do...
BTW, our portfolio picks over the past few weeks to a month seem to be significantly outperforming the market. We are out of these stocks, so are currently unbiased observers :-)
Your founder, Jeffrey Cohen.
Nov 9, 2020
Strategic IT Management Consultant with a strong interest in Quantum Computing. Consulting for 29 years and this looks as interesting as cloud computing was in 2010.