Blog Archives

Last Post For A While, And Two Premium (Cheap) Databases

June 7, 2015
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Last Post For A While, And Two Premium (Cheap) Databases

This will be my last post on this blog for an indefinite length of time. I will also include an … Continue reading →

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Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices — The Constrained Critical Line Algorithm

June 5, 2015
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Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices — The Constrained Critical Line Algorithm

This post will feature the differences in the implementation of my constrained critical line algorithm with that of Dr. Clarence … Continue reading →

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A Basic Logical Invest Global Market Rotation Strategy

May 18, 2015
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A Basic Logical Invest Global Market Rotation Strategy

This may be one of the simplest strategies I’ve ever presented on this blog, but nevertheless, it works, for some … Continue reading →

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Advertising a Few Systematic ETFs (Strictly Of My Own Volition)

May 13, 2015
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Advertising a Few Systematic ETFs (Strictly Of My Own Volition)

This post will introduce several ETFs from Alpha Architect and Cambria Funds (run by Meb Faber) that I think readers … Continue reading →

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The JP Morgan SCTO strategy

April 20, 2015
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The JP Morgan SCTO strategy

This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns … Continue reading →

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The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends)

April 7, 2015
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The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends)

This post will display my implementation of the Logical Invest Enhanced Bond Rotation strategy. This is a strategy that indeed … Continue reading →

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The Logical Invest “Hell On Fire” Replication Attempt

April 6, 2015
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The Logical Invest “Hell On Fire” Replication Attempt

This post is about my replication attempt of Logical Invest’s “Hell On Fire” strategy — which is its Universal Investment … Continue reading →

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Rolling Sharpe Ratios

March 20, 2015
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Rolling Sharpe Ratios

Similar to my rolling cumulative returns from last post, in this post, I will present a way to compute and … Continue reading →

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Introduction to my New IKReporting Package

March 9, 2015
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Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

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The Downside of Rankings-Based Strategies

February 26, 2015
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The Downside of Rankings-Based Strategies

This post will demonstrate a downside to rankings-based strategies, particularly when using data of a questionable quality (which, unless one … Continue reading →

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