Blog Archives

Another Way to Look at Vanguard and Pimco

February 20, 2013
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Another Way to Look at Vanguard and Pimco

I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that the plot allowed a quick summary comparison of the two massive fund complexes.  I am much more pl...

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Onepager Now with knitR

February 19, 2013
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Since at some point I had trouble with a conflict between knitr and the latex package textpos, I used the lesser Sweave in Another Experiment with R and Sweave.  I ran the Sweave2knitr command and discovered that textpos and knitr play well togeth...

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Another Experiment with R and Sweave

February 12, 2013
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The R package PApages is a great start towards addressing the very common problem of internal and external reporting in the money management industry.  Advent's APX, Axys, and Black Diamond and the up and coming extremely well-connected and well-f...

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Japanese Government Bonds (JGB) Total Return Series

February 3, 2013
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Japanese Government Bonds (JGB) Total Return Series

In a follow up to Yen and JGBs Short-Term vs Long Term and a series of posts on Japan, I thought the Bloomberg article "Japan Pension Fund’s Bonds Too Many If Abe Succeeds, Mitani Says" was particularly interesting.  It is difficult to find a to...

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Yen and JGBs Short-Term vs Long Term

February 1, 2013
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Yen and JGBs Short-Term vs Long Term

I have read some articles arguing that the recent move in the Japanese Yen is overdone.  However, considering the short-term without regard to the long-term context is naïve and potentially dangerous.  Although I do not have significant proo...

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Approaching the Zero Bound – Bonds

January 30, 2013
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Approaching the Zero Bound – Bonds

As bonds approach the artificial zero bound, where do we go next especially after the record setting +30% in 2011?  The rolling 250-day total return has rarely gone negative since the inception of the Vanguard Funds VBMFX and VUSTX.  I am int...

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Applying Tradeblotter’s Nice Work Across Manager Rather than Time

January 28, 2013
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Applying Tradeblotter’s Nice Work Across Manager Rather than Time

Ever since I saw the very helpful distribution page first presented in Download and parse EDHEC hedge fund indexes, I have used it liberally.  Now that it is has been functionalized (Visually Comparing Return Distributions), I thought I would amen...

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Slightly Different Measure of Valuation

January 16, 2013
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Slightly Different Measure of Valuation

I grow tired of the tried and true standard measures of valuation, and from time to time I try to think of alternate methods.  One thought was to analyze Ken French’s Market(ME) to Book(BE) Breakpoints by percentile.  We can see by year at ...

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Shiny/R Conversion of Another One of My Favorite Mike Bostock d3 Examples

December 20, 2012
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Mike Bostock has revolutionized visualization with his d3 and his seemingly infinite examples.  In another adaptation of his amazing work, I will adapt one of my favorite examples to supplement the interactive scatterplot with data supplied by R t...

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Shiny SVG no d3–New and Improved

December 20, 2012
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The fine author Joe Cheng of RStudio Shiny suggested in this Google Groups message to use htmlOutput rather than the ugly hack in my last post R Shiny svg with no d3.  As I should have known, it works great and eliminates all the useless javascrip...

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