In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →

Nowadays there are many trading strategies shared online with reproducible, decent, results. Have you asked yourself, if the strategies are so profitable, why the author bother even sharing them, when the path to riches is clear – just implement the strategy and use it? There are people, of course, who are fascinated and challenged by

Regime Detection comes handy when you are trying to decide which strategy to deploy. For example there are periods (regimes) when Trend Following strategies work better and there are periods when Mean Reversion strategies work better. Today I want to show you one way to detect market Regimes. To detect market Regimes, I will fit

I'm a regular reader of Paul Krugman's NYT blog. A couple of months ago I decided to replicate some of the plots Paul published. At the time I was evaluating the quantmod package which seemed to made things easy. An easy startIn the first part I'll rep...

An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the

I first read about the Couch Potato strategy in the MoneySense magazine. I liked this simple strategy because it was easy to understand and easy to manage. The Couch Potato strategy is similar to the Permanent Portfolio strategy that I have analyzed previously. The Couch Potato strategy invests money in the given proportions among different

Today I want to show a simple example of how we can value a company using Discounted Cash Flow (DCF) analysis. The idea is to compute the company’s Intrinsic Value based on the discounted future cash-flows. To compute future cash-flows I will use the historical Free Cash Flow growth rate. To compute present value of

I have previously described and back-tested the Permanent Portfolio strategy based on the series of posts at the GestaltU blog. Today I want to show how we can improve the Permanent Portfolio strategy perfromance using following simple tools: Volatility targeting Risk allocation Tactical market filter First, let’s load the historical prices for the stocks(SPY), gold(GLD),

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