Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look. Once ...
Blog Archives
More Thoughts on US Death Spiral
What troubles me most about today’s environment is the persistent belief that crisis large or small results in a US dollar rally and lower Treasury rates. However, what happens if the US dollar and US Treasury rates are the source of the crisis? Then...
Drawdown Control Can Also Determine Ending Wealth
As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth. CHTTX was one of the best performers of the fou...
Scary Derivatives and Scary XML in R
I need some new R skills, and there is no better motivation to learn XML in R than one of the scariest financial datasets out there—the US Department of the Treasury Office of the Comptroller of the Currency (OCC) Quarterly Derivatives Report. I’ll...
A Quantstrat to Build On Part 6
THIS IS NOT INVESTMENT ADVICE. ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...
Beating Kenneth French Small – High
With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts. I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...
Cash Might be Your Tail Risk
Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool. Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recessi...
Kenneth French Gift to the Finance World
Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. I am surprised I have waited so long to write a post about this wonderful resource. Aft...
Slideshow of Graphs since TimelyPortfolio’s November Inception
I have had a lot of fun blogging at Timely Portfolio over the last 7 months. Here are all the graphs that I have shown. Thanks especially to R.
Monitoring Sources of Bond Returns with ML/BAC Corporate OAS and CPI
In response to the nice comment requesting an update to Monitoring Sources of Bond Return and also longer history, I thought I would update the original and then rerun with CPI to give a longer time series. For even longer history back to 1919, s...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
