Blog Archives

Emerging as Low Vol

October 2, 2012
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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

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When Russell 2000 is Low Vol

October 1, 2012
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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 ...

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Obviousness of REITs?

September 20, 2012
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Obviousness of REITs?

I very much enjoy papers such as Antonacci, Gary, Risk Premia Harvesting Through Momentum (September 5, 2012). Available at SSRN: http://ssrn.com/abstract=2042750 or http://dx.doi.org/10.2139/ssrn.2042750 Faber, Mebane T., A Quantitative Approach to T...

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Big Issue with System Backtests

September 7, 2012
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Big Issue with System Backtests

Almost always, when I see a system backtested, the backtest assumes a static portfolio with no contributions or withdrawals.  This assumption only covers an extremely limited subset of my clients.  Cash flows in and out of a portfolio or syst...

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Russell 2000 Softail Fat Boy

August 31, 2012
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Russell 2000 Softail Fat Boy

If the Russell 2000 were a motorcycle, maybe it should be a Harley-Davidson Softail Fat Boy.  I have explored the exception case of the Russell 2000 in quite a few posts More Exploration of Crazy RUT Where are the Fat Tails? Crazy RUT but I st...

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Another Great Google Summer of Code 2012 R Project

August 30, 2012
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Another Great Google Summer of Code 2012 R Project

Tradeblotter announced the very nice features that will be added to the PerformanceAnalytics package as a result of the Google Summer of Code (GSOC) 2012 project: “…Matthieu commenced to produce dozens of new functions, extend several more existin...

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Horizon on ggplot2

August 27, 2012
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Horizon on ggplot2

SocialDataBlog’s kind reference in post Horizon plots with ggplot (not) motivated me to finish what the post started.  I knew that ggplot2 would be a little more difficult to use for the purpose of a horizon plot, but I felt compelled to provide...

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Bonds Much Sharpe -r Than Buffett

August 23, 2012
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Bonds Much Sharpe -r Than Buffett

Mebane Faber’s post Buffett’s Alpha points out Warren Buffett’s 0.76 Sharpe Ratio discussed in the similarly title paper Buffet’s Alpha.  I of course immediately think about the 8th Wonder of the World – the US Bond Market, whose Sharpe ...

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plot.xts with Moving Average Panel

August 20, 2012
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plot.xts with Moving Average Panel

(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays.  We will use the ETFs shown by M...

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GARCH Panel in plot.xts

August 17, 2012
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GARCH Panel in plot.xts

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:

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