Blog Archives

Inspirational Stack Overflow Dendrogram Applied to Currencies

July 25, 2012
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Inspirational Stack Overflow Dendrogram Applied to Currencies

When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique.  As I should have guessed, it worked with only a mini...

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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

July 24, 2012
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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

US investors were spoiled by US Treasuries which acted as a near perfect hedge to stocks during the 2008-2009 crisis.  However, in real crisis, bonds rarely offer any comfort, and asset allocation fails (see post Death Spiral of a Country and IMF ...

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Best of Axys, R, d3.js, and HTML5

July 19, 2012
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Best of Axys, R, d3.js, and HTML5

Axys, R, d3.js, and HTML5 all offer incredibly powerful tools for investment management and reporting, but they are not set up to synergistically interact to fill each other’s gaps and leverage each other’s strengths.  In my ideal scenario, Ax...

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More Exploration of Crazy RUT

July 5, 2012
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More Exploration of Crazy RUT

Unintentionally while playing with the lawstat package in R, I started trying to build systems (STANDARD DISCLAIMER: NOT INVESTMENT ADVICE AND WILL LOSE LOTS OF MONEY SO PROCEED WITH CAUTION) based on the Jarque Bera test of normality (entry in Wikiped...

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Graphics Artifacts from Quarterly Commentary

July 2, 2012
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Graphics Artifacts from Quarterly Commentary

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

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Horizon Plot Already Available

June 29, 2012
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Horizon Plot Already Available

When I wrote Cubism Horizon Charts in R, I should have known that horizon plot functionality already exists in R http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=latticeExtra:horizonplot and in this case in one of my already favorite packages latticeExtra...

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Crazy RUT in Academic Context Why Trend is Not Your Friend

June 26, 2012
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Crazy RUT in Academic Context Why Trend is Not Your Friend

In response to Where are the Fat Tails?, reader vonjd very helpfully referred me to this paper The Trend is Not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant by P...

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Where are the Fat Tails?

June 19, 2012
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Where are the Fat Tails?

In Crazy RUT, I started to explore why the moving average strategy has failed for the last 2 decades on the Russell 2000.  I still do not have an answer, but I thought looking at skewness and kurtosis might help explain some of the challenge of be...

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Cubism Horizon Charts in R

June 15, 2012
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Cubism Horizon Charts in R

Like many, I have been in awe of the d3.js and cubism.js visualization packages created by Mike Bostock. Mike Bostock @ Square talks about Time Series Visualization from Librato on Vimeo. The charts are beautiful and extraordinarily functional, so I th...

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Pretty Correlation Map of PIMCO Funds

June 14, 2012
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Pretty Correlation Map of PIMCO Funds

As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500.  Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics.&nbs...

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