25/4/18: 90 years of Volatility: VIX & S&P

A great chart from Goldman Sachs via @Schuldensuehner showing extreme events in markets volatility using overlay of VIX and realised volatility from 1928 on through March 2018:

For all risk / implied risk metrics wonks, this is cool.

12/4/17: Incoming Inflation Uptick: Gear Up

My contribution for Manning Financial on the topic of gearing investment portfolios against incoming uptick in inflation is now available here: https://issuu.com/publicationire/docs/mf__spring_2017?e=16572344/47063502.

21/10/2012: Some links for Investment Analysis 2012-2013 course

For Investment Analysis class - here are some good links on CAPM and it's applications to actual strategy formation & research, and couple other topics we covered in depth:

Classic:
"The Capital Asset Pricing Model: Theory and Evidence" Eugene F. Fama and Kenneth R. French : http://papers.ssrn.com/sol3/papers.cfm?abstract_id=440920

"CAPM Over the Long-Run: 1926-2001", Andrew Ang, Joseph Chen, January 21, 2003: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=346600

"Downside Risk", Joseph Chen, Andrew Ang, Yuhang Xing, The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006

"Mean-Variance Investing", Andrew Ang, August 10, 2012, Columbia Business School Research Paper No. 12/49  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2131932&rec=1&srcabs=2103734&alg=1&pos=1



More related to the Spring 2013 course on HFT and Technical Models:
"A Quantitative Approach to Tactical Asset Allocation" Mebane T. Faber : http://www.mebanefaber.com/2009/02/19/a-quantitative-approach-to-tactical-asset-allocation-updated/

"The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation", Andrew Clare, James Seaton, Peter N. Smith and Stephen Thomas, 11th September 2012: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2126478

"Dynamic Portfolio Choice" Andrew Ang: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2103734

19/10/2012: Tail Risk and Basic Investment Markets Models

For Investment Theory course: some additional slides on the topic of tail risks and applicability of the models we covered in class (note: these are just supplementary readings, so no exam-focused material):

Here are few of my slides from the 2009-2010 Advanced Quantitative Portfolio Management course. You can enlarge each slide by clicking on it.