Archive for the 'Quantitative Analysis' Category

The Pros and Cons of Fundamental Indexing

Fundamental indexing strategies attempt to form benchmarks based on fundamental factors such as book value, dividends or earnings rather than market capitalization. Proponents claim that the fundamentals provide a less biased estimate of a security’s fair value, and thus explain the value premium. Detractors claim that the strategies are simply “value investing in a shiny new wrapper.”

In the January/February 2008 Financial Analysts Journal,  Kaplan argues both fundamental and market-cap weightings provide valuable information, and argues in favor of approaches that combine both.

Posted on 4th April 2008
Under: Active Management, Fundamental Analysis, Investing in Stocks, Investment Returns, Passive Management, Portfolio Management, Quantitative Analysis, Valuation | No Comments »

Hedge Fund: Kurtosis Definition & Explanation : Hedge Fund

Written by Richard Wilson in his Hedge Fund Blog

Kurtosis Definition: In probability theory and statistics, kurtosis from the Greek word kurtos, meaning bulging is a measure of the “peakedness” of the probability distribution of a real-valued random variable. Higher kurtosis means more of the variance is due to infrequent extreme deviations, as opposed to frequent modestly-sized deviations.

The blue distribution exhibits higher kurtosis.

Posted on 22nd March 2008
Under: Quantitative Analysis | No Comments »