Blog Archives

Unbelievable and Amazing R Shiny–Web Parameter Test in 1.5 Hours

November 9, 2012
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Unbelievable and Amazing R Shiny–Web Parameter Test in 1.5 Hours

Life keeps getting better and better.  Yesterday, I discovered the absolutely unbelievable and amazing work RStudio has done with Shiny employing one of my favorite R packages websockets.  As proof of the ease and quality, within a couple of ...

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Cash–Opportunity Lost or Opportunity Gained

November 7, 2012
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Cash–Opportunity Lost or Opportunity Gained

Tom Brakke from http://researchpuzzle.com/ wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog.  My favorite part comes in the last paragraph: “That’s the kind of analysis that should be br...

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Resurrect Posts on Japan and the Yen

October 22, 2012
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Resurrect Posts on Japan and the Yen

As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or...

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Japanese Government Bond (JGB) Data Since 1974

October 16, 2012
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Japanese Government Bond (JGB) Data Since 1974

The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

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Life on the Big International Frontier

October 16, 2012
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Life on the Big International Frontier

Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...

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Not Much of a Grand Finale. What if We Go To 0?

October 15, 2012
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Not Much of a Grand Finale. What if We Go To 0?

When I ask the question “What if the US 10 year goes to 0?", most do not know the effect, the catalyst, or if 0 has ever happened before.  The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do...

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Emerging as Low Vol

October 2, 2012
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Emerging as Low Vol

Extending the series begun with When Russell 2000 is Low Vol, I thought I should take a look at Emerging Market stocks during periods of low relative volatility to the S&P 500.  So you can replicate even without access to expensive data, let

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When Russell 2000 is Low Vol

October 1, 2012
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When Russell 2000 is Low Vol

Continuing in my exploration of the Russell 2000 (Russell 2000 Softail Fat Boy), I thought I would try to approach the topic with a low volatility paradox mindset.  Since 2005, beta of the Russell 2000 compared to the S&P 500 has exceeded 1.2 ...

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Obviousness of REITs?

September 20, 2012
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Obviousness of REITs?

I very much enjoy papers such as Antonacci, Gary, Risk Premia Harvesting Through Momentum (September 5, 2012). Available at SSRN: http://ssrn.com/abstract=2042750 or http://dx.doi.org/10.2139/ssrn.2042750 Faber, Mebane T., A Quantitative Approach to T...

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Big Issue with System Backtests

September 7, 2012
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Big Issue with System Backtests

Almost always, when I see a system backtested, the backtest assumes a static portfolio with no contributions or withdrawals.  This assumption only covers an extremely limited subset of my clients.  Cash flows in and out of a portfolio or syst...

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