In 2015, size equalled success in the stock market. But did benchmarking make this a self-fulfilling prophecy? Let’s start by looking at the market capitalisation of S&P 500 companies at the end of the year, with colours according to price change.
Continue reading..When I wrote the Devil's Derivatives I looked at the risk modelling behind the ratings of CDOs, bank trading and credit portfolios. Through a combination of bad incentives and leverage, these models performed very badly and contributed to the financial meltdown of 2007-8. Lurking in the background of my analysis was traditional portfolio modelling as…
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