bully pulpit
On George W. Bush: He does not take the bully pulpit and use it effectively.
But when the chips are down, he does the right thing.
James C. Dobson, Focus on the Family.
« November 2004 | Main | January 2005 »
December 31, 2004
December 30, 2004
ETF exchange traded funds
Probably the biggest eye-catcher is iShares FTSE/Xinhua China 25
Index Fund (FXI) — the first ETF investing solely in China
available to U.S. investors. Launched earlier this month,
the ETF tracks the 25 largest and most liquid Chinese stocks.
Of course, there's increasing talk of China's red-hot economy
cooling, but few expect the growth spigot to be shut entirely.
The China 25 Index Fund's expense ratio of 0.74% is higher
than that of most ETFs, but it's substantially lower than the
average China-region mutual fund's expense ratio of 2.37%,
according to Lipper. ETFs, by nature, carry lower expense ratios
than their mutual-fund counterparts. [1]
Standard and Poors index tracker.
Vanguard REIT Vipers VNQ 0.18% 6,200 Vanguard Industrials Vipers VIS 0.28% 1,100 Vanguard Energy Vipers VDE 0.28% 400 Vanguard Telecommunication Services Vipers VOX 0.28% 100 SPDR O-Strip ETF OOO 0.36% 92,000 Vanguard Small-Cap Vipers VB 0.18% 6,400 Vanguard Small-Cap Growth Vipers VBK 0.22% 52,200 Vanguard Consumer Discretionary Vipers VCR 0.28% 1,900 Vanguard Financials Vipers VFH 0.28% 2,400 Vanguard Mid-Cap Vipers VO 0.18% 1,100 Vanguard Health Care Vipers VHT 0.28% 13,400 Vanguard Information Technology Vipers VGT 0.28% 3,800 Vanguard Utilities Vipers VPU 0.28% 2,700 Vanguard Large-Cap Vipers VV 0.12% 13,500 Vanguard Small-Cap Value Vipers VBR 0.22% 9,400 Vanguard Materials Vipers VAW 0.28% 5,300 Vanguard Consumer Staples Vipers VDC 0.28% 200 Vanguard Growth Vipers VUG 0.15% 292,100 Vanguard Value Vipers VTV 0.15% 471,200 iShares S&P 1500 Index Fund ISI 0.20% 26,600 iShares FTSE/Xinhua China 25 Index Fund FXI 0.74% 158,400 iShares Morningstar Large Core Index Fund JKD 0.20% 3,400 iShares Morningstar Large Growth Index Fund JKE 0.25% 11,900 iShares Morningstar Large Value Index Fund JKF 0.25% 1,200 iShares Morningstar Mid Core Index Fund JKG 0.25% 2,300 iShares Morningstar Mid Growth Index Fund JKH 0.30% 4,000 iShares Morningstar Mid Value Index Fund JKI 0.30% 3,900 iShares Morningstar Small Core Index Fund JKJ 0.25% 1,900 iShares Morningstar Small Growth Index Fund JKK 0.30% 1,500 iShares Morningstar Small Value Index Fund JKL 0.30% 2,200 iShares NYSE 100 Index Fund NY 0.20% 5,200 iShares NYSE Composite Index Fund NYC 0.25% 1,000
December 29, 2004
Harris Yong
Harris Yong's (snow driving) and car and tire reviews.
Pics index, and Dragon drive review, and cupholder movie.
December 28, 2004
Rick Aster / SAS programming info
Rick Aster's SAS info aka programming secrets:
Professional SAS Programming Shortcuts and Professional SAS Programming Logic.
December 27, 2004
Foreign Exchange Currency news
FX FXStreet Foreign Exchange Currency news on trading and trends.
December 26, 2004
VIX Volatility Index
The VIX takes the weighted average of implied volatility for the
Standard and Poor's 100 Index (OEX calls and puts) and measures the
volatility of the market. A low VIX indicates trader confidence. A
high Vix the opposite. Dividing the S&P 500 by the Vix (ratio) gives
the confidence level in relation to the market. The higher the ratio
the higher the confidence.
VIX, the ticker symbol for the Chicago Board Options Exchange (CBOE)
Volatility Index and represents the implied volatility on the S&P 100
(OEX) option. This volatility is meant to be forward looking and is
calculated from both calls and puts that are near-the-money. The VIX
is a popular and widely used measure of market risk.
Investopedia says,
Introduced by the CBOE in 1993, VIX is a weighted measure of the
volatility for eight OEX put and call options. The eight puts and
calls are weighted according to the time remaining and the degree to
which they are in- or out-of-the-money. The result forms a composite
hypothetical option that is at-the-money and has 30 days to
expiration. VIX represents the implied volatility for this
hypothetical at-the-money OEX option. Typically, VIX has an inverse
relationship to the market, which means that a rising stock market is
viewed as less risky and a declining stock market more risky. The
higher the perceived risk is in stocks, the higher the implied
volatility and the more expensive the associated options, especially
puts. Hence, implied volatility is not about the size of the price
swings, but rather the implied risk associated with the stock market.
When the market declines, the demand for puts usually increases.
Increased demand means higher put prices and higher implied
volatilities.
December 25, 2004
SAS Proc Tabulate FAQ
SAS Proc Tabulate FAQ [ucla]
with a few axamples.
December 24, 2004
SAS ODS introduction
Use SAS to generate nice looking statistical report documents.
Excel (XLS) file
ods html file = "c:\temp\data.xls";
proc print data =new;run;
ods html close;
Web(HTML) file
ods html file = "body.html";
proc print data =new;run;
ods html close;
More at SAS ODS intro [PDF]
December 23, 2004
comp.soft-sys.sas SAS newsgroup
comp.soft-sys.sas SAS newsgroup at googlegroups.
Hands on statistical computing howto.
December 22, 2004
SAS blog
Weblogsinc's SAS blog is more about business than statistics.
Update: 2006 Dec 01:This SAS Weblog is no loger active, but archives are on line.
Demoted to blogroll4.
Update 2005 Jan 15: Welcome Weblogsinc SAS blog readers.
There are more Coruscation SAS blog items.
December 21, 2004
December 20, 2004
Overlawyered
Overlawyered chronicles the excesses of litigation, lawsuits,
and regulation. By Walter Olson, intellectual guru of tort reform,
and Ted Frank.
The ethics sections includes an even handed look at pro bono work.
Good to know, even if you don't need a lawyer.
December 19, 2004
CFA mastery
How much do you need to know to pass the CFA ? Here is some
advice for Chartered Financial Analyst aspirants.
They do not mean - have a general idea or sense of the material
or be able to pick the concept out of a lineup based on your
initial impression or cued recall.
They do mean Very quickly, relative to similar concepts and
formulas, distingush and differentiate the key concepts, recall
the special exceptions or impacts that the concept had on other
concepts, be able to calculate forward and back into or out of
the relevant formula, and finally (the test taking part) be able
to quickly pick out the imbedded error or limiting factor in each
the accompanying 'wrong' answers among the choices presented so
that you can pick that which is least or most likely to conform
to the issue or question presented.
See also CFA, FRM communities.
[via analystforum]
December 18, 2004
CBC Radio One Vancouver, Listen live
Listen live to CBC Radio One Vancouver.
December 17, 2004
MedCalc basic statisitical features.
MedCalc has good list of basic statisitical features.
# Stepwise Multiple regression
# Stepwise Logistic regression
# Paired and unpaired t-tests
# Rank sum tests: Wilcoxon test (paired data), Mann-Whitney U test (unpaired data)
# Variance ratio test (F-test)
# One-way analysis of variance (ANOVA) with Student-Newman-Keuls (SNK) test for pairwise comparison of subgroups
# Two-way analysis of variance
# Kruskal-Wallis test
# Frequencies table, crosstabulation analysis, Chi-square test, Chi-square test for trend
# Tests on 2x2 tables: Fisher's exact test, McNemar test
# Frequencies bar charts
# Kaplan-Meier survival curve, logrank test for comparison of survival curves, hazard ratio, logrank test for trend
# Cox proportional-hazards regression
# Meta-analysis: odds ratio (random effects or fixed effects model - Mantel-Heinszel method); summary effects for continuous outcomes; Forest plot
# Reference interval (normal range)
# Analysis of Serial measurements with group comparison
# Bland & Altman plot for method comparison (bias plot) - repeatability
December 16, 2004
Sage advice from avuncular Donald Rumsfeld
Sage advice from the avuncular Donald Rumsfeld:
"Intellectual capital is the least fungible kind."
"Most people spend their time on the 'urgent'
rather than on the 'important.' "
"When you initiate new activities, find things you
are currently doing that you can discontinue--whether
reports, activities, etc. It works, but you must force
yourself to do it. Always keep in mind your
'teeth-to-tail ratio'."
See also Jack Welsh's five questions for leaders.
December 15, 2004
FRM, CFA exam communities
Post exam gossip is taken to a new level when people around the
world share a common exam, and share it on web forums. Let the
CFA candidates second guess until exam results are posted.
Re: Odds of passing FRM with 7 days of studying Author: mustill Date: Tuesday, November 16 @ 8:07 pm
Hi folks!
This is summarized from some of the questions posted by Student and
other fellow 2003 candidates on the FRM 2003 exam. I do not warrant
the accuracy of these questions as posted. Maybe those who passed 2003
exam may want to provide some inputs?
(a) Which option is very interest path dependent?
Candidates speculated between barrier and binary option.
(b) Which option has an unlimited upside?
Candidates guessed Asian option.
(c) Is it appropriate to sell deep in the money put option?
(d) Geometric Brownian Motion. Which is normally and lognormally
distributed?
(i) S
(ii) ds
(iii) ds/s
(e) If you have a stock and options position with delta neutral and
positive gamma, how do you hedge it?
(f) Company A with netting agreement with Company B. A owes B $1m
after netting. Without netting agreement with Company B, B owes A
$10m. What is A's exposure to B?
(g) Candidates said there is a question on calculating tracking
error.
(h) A company files for bankruptcy. Which bonds trade at higher
price? Bond with higher or lower coupon? Assuming duration is not the
same but same seniority and term. I
(i) Which bond has a "reasonably strong ability" to pay?
The 2 main choices are AA and A.
(j) Say a fund is managed by 2 person only. Which of the following
matter most? Assuming no asset.
(i) Asset under management
(ii) Risk control/ system reporting system
(iii) Investment style
(k) Which of the following is not a derivative?
(i) CBOE weather derivative
(ii) REITS
(l) Firm A has economic capital in addition to regulatory capital
while firm B does not have economic capital. Is A as good as B?
(m) I think there is a question posted by candidates on a Price yield
curve for a callable
bond asking candidate to mark out where convexity is 0.
(n) There is a question asking candidates on SPAN ( Std Portfolio
Analysis Network)?
(o) Which one has more time value premium?
(i)ATM call
(ii) Out of the money call
(iii) ITM call
(p) If Y=ln(x). If Y is normally distributed with mean of 0, what is
the mean of X?
I guess if most of you can answer the above questions, I am sure you
would have no problem this Saturday.
All the best. Remember to have a break after the exam. I am sure most
of you are fellow CFA candidates who are in Level 3 or had just passed
the Level 3 exam. All of you deserve a break after 2 major exams in a
year.
Christmas is coming. HAve fun!
From analystforum.
See also CFA mastery.
December 14, 2004
US Canada maps
More USA-Canada maps from the post-election era.
.
from Canada is an ally in the War on Terror.
from BluePrint magazine.
December 13, 2004
Hedgefund news.
Hedgefund.net has hedgefund news. See also
Hedge-Fund Manager vs Investment Bankers in the
New York Wiki and Hedge Week.
December 12, 2004
ROC Dominant Score Cutoff Strategies
Dominant Score Cutoff Strategies
The purpose of this research is to develop new results for
(1) the equivalence of statistical, business and economic
dominance in risk scoring,
(2) dominant risk scoring strategies in the presence of
non-dominant scores, and
(3) the effect of Bayesian score combination on dominant
risk scoring strategies.
One can show that there is ROC dominance if and only if there
is dominance of expected profits or efficient frontiers that
involve different business measures such as profit/volume
tradeoffs. If there is no such dominance, an intersection of
the ROC curves for two different scores nevertheless yields
a dominant strategy for use of the different scorecards and
the cutoffs. Finally, we show that a Bayesian combination of
the two scores leads to a dominant ROC curve with a single
dominant strategy.
*.
December 11, 2004
SAS percentiles not automatically calculated?
SAS tip: How do I obtain percentiles not automatically calculated?
proc univariate data=hsb noprint;
var write;
output out=percentiles1 pctlpts=33 45 80 to 90 by 2 pctlpre=P;
run;
proc print data=percentiles1;run;
Cancer: Hodgkin's disease, a lymphoma
Nodular sclerosing Hodgkin's disease, a lymphoma chronicles the
diagnosis and treatments of this cancer.
December 10, 2004
Political Animal / Kevin Drum
Kevin Drum is Political Animal, the in-house blogger of
The Washington Monthly and something of a clearinghouse
for smart liberals.
Update Dec 2008: Moved to Mother Jones. as Kevin Drum.
December 9, 2004
Combining trees with CART
Salford CART allows one to choose from several ways of combining
separate CART trees into a single predictive engine. The
trees are combined by either averaging their outputs for
regression or by using an unweighted plurality voting scheme
for classification. The current version of CART offers two
combination methods: Bootstrap aggregation and ARCing. Each
generates a set of trees by resampling (with replacement)
from the original training data.
December 8, 2004
The sports economist / Skip Sauer
The sports economist by Skip Sauer covers stadium economics,
player-league bargaining, and more.
December 7, 2004
S-PLUS Predictive Modeling and Computational Finance
S-PLUS Predictive Modeling and Computational Finance
event with abstracts.
Nov 2004 Finance Event Proceedings for LossCalc II: Dynamic Prediction of LGD.
Greg Gupton, Moody's KMV
We describe LossCalc(tm) version 2.0, the Moody's KMV model to predict
loss given default (LGD). LGD is of natural interest to lenders and
investors wishing to estimate future credit losses. LossCalc is a
robust and validated model of LGD for loans and bonds globally.
LossCalc is a statistical model that incorporates information at all levels:
collateral, instrument, firm, industry, country, and the macroeconomy
to predict LGD. Also, and what may be more interesting than merely
having a powerful predictive model, is to see and understand the
underlying drivers of default recovery/loss that we show.
Predictive Modeling for Property & Casualty Pricing Decisions
Jeremy Stanley, Ernst & Young
This presentation focuses on the application of predictive modeling
methodologies to pricing decisions for property & casualty insurance
lines. Predicting the probability of an insured having one or more
claims in a policy period is a key ingredient to determining the price
a carrier will charge. This presentation will compare and contrast
three types of models applied to this problem: generalized linear
models (GLMs), generalized additive models (GAMs) and neural networks.
GAMs allow for non-linearity in the additive terms and limited types
of specified interactions, requiring an intensive modeling effort to
determine the appropriate model structure. GAMs benefit from fast
model fitting performance, robust measures of in-sample error (such as
the Akaike Information Criterion) and can be easily translated into a
multiplicative rating plan. Neural networks, through the control of
the number of optimization iterations, the size of the hidden layer,
and the use of a weight decay parameter, allow for the near-automatic
selection of model architecture, simultaneously encompassing
interaction terms and complex non-linearities. The predictions of
neural networks are difficult to visualize in high dimensions or with
more than two continuous factors, and are not easily translated into a
multiplicative rating plan. Model performance will be compared in
S-PLUS via cross-validation and bootstrap methods, and visualized with
the use of ROC curves and lift charts. Model structure will be
visualized with S-PLUS Trellis Plots, leading to insights that can
improve the selected model structure.
December 6, 2004
How to be a Canadian
December 5, 2004
MSN Spaces
Microsoft's MSN Spaces allow users to create personal Web logs.
Check out Mightily Redacted.
December 4, 2004
Histograms , superimposed with fitted probability density curves
PROC CAPABILITY is a component of SAS/QC (Quality Control). The
features described below are now available in PROC UNIVARIATE (part of base SAS).
# Histograms and comparative histograms. Optionally, these can be
superimposed with fitted probability density curves for various
distributions and kernel density estimates.
# Cumulative distribution function plots (cdf plots). Optionally,
these can be superimposed with specification limits and probability
distribution curves for various distributions.
# Quantile-quantile plots (Q-Q plots), probability plots, and
probability-probability plots (P-P plots). These plots facilitate the
comparison of a data distribution with various theoretical
distributions.
# Goodness-of-fit tests for a variety of distributions including the
normal.
# Statistical intervals (prediction, tolerance, and confidence
intervals) for a normal population.
# The ability to inset summary statistics and capability indices in
plots produced on a graphics device.
December 3, 2004
Paul Dickman
Paul Dickman has some good SAS tips for statistical programming
and handling datasets and simple graphics.
December 2, 2004
Edward Malthouse, data mining
December 1, 2004
Economy Professor
Economy Professor provides a glossary of some well known terms, theories, and economists.