THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I did not intend for this to be a two-part series but I just could not be complacent with Utility Spread and Financial Turbulence (for avid readers, there was a sm...
Blog Archives
Utility Spread and Financial Turbulence
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. In Long XLU Short SPY Part 2 (More History), I explored the defensive nature of the spread and its potential as a bond substitute in troublesome periods for stocks...
Long XLU Short SPY Part 2 (More History)
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. The Fed is on a roll adding BAC ML Bond Indicies and now complete history for the four primary Dow Jones Indexes, so I wanted to extend my first post Long XLU Shor...
Long XLU Short SPY
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash. I generally dislike spreads...
Spreads and Stress
Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds. Bond spreads act as a very strong symbol of financial stability and confidence. The St. Louis Fed Stress Index is ...
Wonderful New Blog TimeSeriesIreland
I returned from Scotland to find a wonderful new blog from Ireland http://timeseriesireland.wordpress.com. To highlight his work, I thought I would apply his most recent post AIB Stock Price, EGARCH-M, and rgarch to the S&P 500. Clearly...
Gifts from BAC ML and the Federal Reserve
Bank of America Merrill Lynch and the Federal Reserve Bank of St. Louis Fed continue to surprise me with even more gifts. This time they added Emerging Market Bond Indexes with history back to 1998 (cannot see Asia Pacific Crisis of 1997-1998 but...
Russell Napier, ASIP in FT Says Emerging Market Currencies
Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...
Omega as Optimizer
During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...
S&P 500 High Beta and Low Volatility Indexes and Powershares ETFs
There must be a useful insight, concept, or system provided by the new S&P 500 High Beta and Low Volatility Indexes. Now with the announcement by Powershares of etfs for these indicies http://www.invescopowershares.com/volatility/, any of the...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
