Blog Archives

Extreme Bond Returns

January 6, 2012
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Extreme Bond Returns

20 years of data is nowhere near enough to satisfy my insatiable appetite for bigger datasets.  While I showed Record Long Term Treasury Returns with Vanguard’s US Long Treasury mutual fund, its 20 year life is not sufficient to give me comfort ...

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Record Long Term Treasury Returns

December 21, 2011
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Record Long Term Treasury Returns

I mistakenly assume everyone knows that US Treasury Returns have been extreme in 2011.  As we near the end of the year, I thought it would be beneficial to look at the world’s best performer while incorporating some new graphical techniques.&nbs...

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Lattice Explore Bonds

December 16, 2011
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Lattice Explore Bonds

Since my fifth most popular post has been Bond Market as a Casino Game Part 1, I thought I would use Vanguard Total US Bond Market mutual fund (VBMFX) monthly returns to build our skills in the lattice R package and help visualize the unbelievable run ...

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With Size, Does Risk–>Return?

December 15, 2011
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With Size, Does Risk–>Return?

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...

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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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