Articles by klr

Pretty Correlation Map of PIMCO Funds

June 14, 2012 | klr

As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500.  Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics.&nbs...
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Statistics of Drawdown–paper and post

June 11, 2012 | klr

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 ...
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knitr Performance Report 4

June 8, 2012 | klr

please see knitR Performance Report 3 (really with knitr) and dprint, knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Here is another iteration of the ongoing performance reporting attempt...
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Evaluation of Tactical Approaches

June 8, 2012 | klr

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.  ...
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System from Trend Following Factors

June 1, 2012 | klr

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 ...
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Conditional Drawdown Exploration

May 31, 2012 | klr

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...
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Trend Following Factors from Hsieh and Fung

May 25, 2012 | klr

The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast.  In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...
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Quick dprint Experiment

May 24, 2012 | klr

As a quick dprint experiment, I thought I would try to do a quarterly return table that might potentially fit in knitR Performance Report 3 (really with knitr) and dprint.  Although I do not think I will use it in the final report, I do think it i...
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knitr Performance Report–Attempt 3

May 22, 2012 | klr

please see knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Since the time of my last reporting post, RStudio, knitr, and Sweave have worked extremely hard to make document creation easier by becoming even more streamlined and ...
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Skew of Bonds

May 15, 2012 | klr

As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference.  While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Ga...
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French Global Factors

April 30, 2012 | klr

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...
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Real Time Structural Break

April 27, 2012 | klr

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?...
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Structural Breaks (Bull or Bear?)

April 26, 2012 | klr

When I spotted the bfast R package, I could not resist attempting to apply it to identify bull and bear markets.  For all the details that I do not understand, please see the references: Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor...
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Drawdown Look at Frontier of Assets and Systems

April 23, 2012 | klr

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...
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Efficient Frontier of Funds and Allocation Systems

April 18, 2012 | klr

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...
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knitr Performance Report-Attempt 2

April 18, 2012 | klr

Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately.  I very quickly see the gaps in my knowledge.  This method is far more painful but seems to ...
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knitr Performance Report-Attempt 1

April 13, 2012 | klr

I get very excited about new R packages, but rarely is my excitement so fulfilled as with knitr.  Even with no skill, I have already been able to adapt the example Yihui Xie provides in his knitr Graphics Manual into a crude first version of a per...
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Latex Allergy Cured by knitr

April 11, 2012 | klr

I have always known that at some point I would have to succumb to the power of Latex, but Latex has been uncharacteristically intimidating to me.  I finally found the remedy to my Latex allergy with the amazing and fantastic knitr package from Yih...
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Piggybacking and Hopefully Publicizing R Experts

April 9, 2012 | klr

I was inspired by the Revolution Analytics blog post http://blog.revolutionanalytics.com/2009/11/charting-time-series-as-calendar-heat-maps-in-r.html on the d3.js style calendar heat map that Paul Bleicher from Humedica developed in R.  In an effo...
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