Tom Brakke from http://researchpuzzle.com/ wrote a great thought piece Cash as Trash, Cash as King, and Cash as a Weapon for the CFA Institute blog. My favorite part comes in the last paragraph: “That’s the kind of analysis that should be br...
Posts Tagged ‘ stocks ’
Life on the Big International Frontier
Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...
Emerging as Low Vol
Extending the series begun with When Russell 2000 is Low Vol, I thought I should take a look at Emerging Market stocks during periods of low relative volatility to the S&P 500. So you can replicate even without access to expensive data, let
When Russell 2000 is Low Vol
Continuing in my exploration of the Russell 2000 (Russell 2000 Softail Fat Boy), I thought I would try to approach the topic with a low volatility paradox mindset. Since 2005, beta of the Russell 2000 compared to the S&P 500 has exceeded 1.2 ...
The Failure of Asset Allocation – Bonds Are An Imperfect Hedge
US investors were spoiled by US Treasuries which acted as a near perfect hedge to stocks during the 2008-2009 crisis. However, in real crisis, bonds rarely offer any comfort, and asset allocation fails (see post Death Spiral of a Country and IMF ...
Statistics of Drawdown–paper and post
Thank so much to Patrick Burns’ post Variability in maximum drawdown. He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult. After spending a lot of time thinking about ...
Evaluation of Tactical Approaches
Tactical approaches are often chosen based on the best cumulative return which implicitly incorporates significant hindsight bias. Just because an approach dominates for a period of time does not indicate that it will be the best approach. ...
System from Trend Following Factors
As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P ...
French Global Factors
I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community. To build on Systematic Investor’s series on factors, I thought I should run some ba...
Real Time Structural Break
Yesterday as I played with bfast I kept thinking “Yes, but this is all in hindsight. How can I potentially use this in a system?” Fortunately, one of the fine authors very generously commented on my post Structural Breaks (Bull or Bear?...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
