Blog Archives

A Tale of Two Frontiers

December 9, 2011
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A Tale of Two Frontiers

In a follow up to Evolving Domestic Frontier, I wanted to explore the efficient frontier including international indexes since 1980.  Life is great when your primary indexes (Barclays Aggregate and S&P 500) lie on the frontier as they did 1980...

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World Since June 2008

December 6, 2011
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World Since June 2008

For a client meeting, I struggled with how best to illustrate world markets since June 2008.  I used R to produce this, but I’m still not completely satisfied. Anyone have suggestions to improve? From TimelyPortfolio What I thought was inte...

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Improved Moving Average?

December 4, 2011
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Improved Moving Average?

When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...

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Is Drawdown the Biggest Determinant of System Success?

December 1, 2011
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Is Drawdown the Biggest Determinant of System Success?

In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold.  Also, I have found very little discussion, so maybe R with some h...

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Magical RUT with GIST

November 22, 2011
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Magical RUT with GIST

In search of better ways to post my R code, I finally discovered how GIST can help make my R blogging easier.  I know I am way behind, and I apologize to my loyal readers for my shortcomings.  Here is yesterday’s Magical Russell 2000 code u...

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Magical Russell 2000

November 21, 2011
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Magical Russell 2000

I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff.  With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 con...

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Cross Pollination from Systematic Investor

November 20, 2011
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Cross Pollination from Systematic Investor

After reading the fine article Style Analysis from Systematic Investor and What we can learn from Bill Miller and the Legg Mason Value Trust from Asymmetric Investment Returns, I thought I should combine the two in R with the FactorAnalytics package.&n...

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Let the Lagging Lead

November 18, 2011
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Let the Lagging Lead

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...

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Update on Scary Derivatives

November 16, 2011
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Update on Scary Derivatives

After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. ...

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Evolving Domestic Frontier

November 1, 2011
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Evolving Domestic Frontier

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...

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