Articles by From Guinness to GARCH

Monitoring an ETF Portfolio in R

July 1, 2013 | From Guinness to GARCH

Adam Duncan Also avilable on Some time ago, I read an interesting article about an interview with David Swensen, the renownd money manager from Yale University’s investment office. He’s quite famous and is considered by many to be the architect of the modern “endowment portfolio.” The ...
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Creating Jekyll blog posts from R.

June 3, 2013 | From Guinness to GARCH

Adam Duncan Also avilable on Setting up a Jekyll/Jekyll Bootstrap blog site is a very worthwhile experience. Should you choose to use Jekyll as your blogging platform, you will find many resources out there describing the setup process. This post is not about getting set up using ...
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Volatility Regimes: Part 2

May 5, 2013 | From Guinness to GARCH

Adam Duncan from January, 2013Also avilable on Strategy Implications In this part of the volatility regimes analysis, we’ll use the regime identification framework established in part 1 to draw conclusions about which strategies work best is each regime. That should prove useful to us and goes a long ... [Read more...]

Volatility Regimes: Part 1

May 1, 2013 | From Guinness to GARCH

This is a ‘do over’ of a project I started while at my former employer in the fall of 2012. I presented part 1 of this framework at the FX Invest West Coast conference on September 11, 2012. I have made some changes and expanded the analysis since then. Part 2 is complete and will ... [Read more...]

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