Magical Russell 2000

November 21, 2011
By

[This article was first published on Timely Portfolio, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff.  With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 continues its magical display.

From TimelyPortfolio

R code:

#look at distance from the 3 month minimum
#to compare the magical US Russell 2000
#to the world

require(quantmod)

tkrs <- c(“^W2DOW”,”^RUT”)

getSymbols(tkrs,from=”1896-01-01″,to=Sys.Date())

#merge the closing values
markets <- na.omit(merge(W2DOW[,4],RUT[,4]))

#this is ugly but it works
altitude <- function(x) x/min(x)-1
mins <- as.xts(apply(markets[(NROW(markets)-250):NROW(markets),1:2],
    MARGIN=2,FUN=
    altitude))
plot.zoo(mins,screens=1,
    col=c(“cadetblue4″,”darkolivegreen3”),
    lwd=2,ylab=”% from 250 day minimum”,xlab=NA,
    main=”Russell 2000 and DJ World ex US
    Distance from 250 Day Minimum”)
legend(“bottom”,c(“DJ World ex US”,”Russell 2000″),lty=1,lwd=2,
    col=c(“cadetblue4″,”darkolivegreen3”),horiz=TRUE)

To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: ,

Comments are closed.

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)