As an extension to the Bond Market as a Casino Game series and Historical Sources of Bond Returns-Comparison of Daily to Monthly, I thought a ggplot of risk and return by decade and Moody’s Rating might be helpful. Anyone who has read those oth...
Blog Archives
Confidence, Ending Equity, and What I Can Do as the Money Manager
I wrote this as my quarterly commentary, but compliance blocked it because they said I was implying that I am Warren Buffett or I can replicate Warren Buffett. Anyways, I thought I should share it as a general discussion piece. More than on...
REITs for Everybody Now REITs for Nobody Part 3
THIS IS NOT INVESTMENT ADVICE. LISTENING TO ME COULD LOSE LOTS OF MONEY. For some additional insight to my short REITs beliefs presented in REITs for Everybody Now REITs for Nobody Part 2 and REITs for Everybody Might Now Mean REITs for Nobody, I...
Hurst as Relative Strength
THIS IS NOT INVESTMENT ADVICE AND COULD EASILY RESULT IN SIGNIFICANT LOSSES. As an extension to Testing Hurst with Multiple Indexes and Exploring the Market with Hurst, we also might employ our new Hurst signal as a relative strength determinant. ...
Testing Hurst with Multiple Indexes
DO NOT TRADE THIS SYSTEM. YOU VERY EASILY COULD LOSE LARGE AMOUNTS OF MONEY. I am not necessarily recommending the system that I presented in Exploring the Market with Hurst, but I thought it would provide a nice platform to illustrate some backtesti...
Exploring the Market with Hurst
Randomly trudging through PerformanceAnalytics source code, I was intrigued by the Hurst Index calculation, which I discovered is more commonly called Hurst Exponent. After quickly satisfying myself that I could actually do the rolling Hurst calculat...
REITs for Everybody Now REITs for Nobody Part 2
As a quick follow-up to my first REITs for Everybody Might Now Mean REITs for Nobody, I want to look at REITs and High Yield bonds, which also might simultaneously attract conservative yield buyers and speculative beta chasers.HYG (iShares High Yield) ...
REIT Momentum in Quantstrat
I took a short break from quantstrat to do some REIT analysis REITs for Everybody Might Now Mean REITs for Nobody. Now let’s link the two by incorporating The Aleph Blog momentum bucket strategy in quantstrat. From TimelyPortfolio In ...
REITs for Everybody Might Now Mean REITs for Nobody
THIS IS MY OPINION AND ANALYSIS AND IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I think REITs traditionally attract conservative dividend investors (grandparents), but due to their recent behavior, REITs also attr...
REITs for Everybody
THIS IS NOT INVESTMENT ADVICE. IT IS SIMPLY MY OPINION. LISTENING TO MY OPINION MIGHT LOSE LOTS OF MONEY. I contend that REITs now have two buyers: dividend pickers and beta chasers. The beta chasers’ demand has driven prices to sig...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
