[R-sig-Finance] Confidence intervals for spread returns

[David Kane]

Thanks for these comments. I agree with most of what you say.

Vivek Satsangi writes:
 > Now, I know that you did not ask about either of the above things in
 > your original question. But I am trying to assert that the user of the
 > information may rely on the confidence interval entirely too much
 > given the HUGE potential for errors. Somehow, that fact should be
 > conveyed.

I agree. But a simple R package can only prevent stupid users from
hurting themselves to a certain degree. Is the best answer to report
nothing? To report infinite confidence intervals?

I agree that there is no clear correct answer. But what answer would
you like to see in the package?

 > I just got done reading the Edward Tufte books again, and I think it
 > might be a better goal for your (I should say "our", since I have been
 > meaning to get involved since recovering from my illness) project
 > would be create a dasboad view of the performance of the portfolio
 > simulation, rather than reducing it to a single number or tuple.
 > People will still tend to compare the summary statistics, but atleast
 > we would not be guilty of reporting the statitic in a way that hides
 > "the truth".

That sounds interesting. If you have the time, please take a look at
the code. We are eager for all suggestions/contributions.

Dave Kane