asset management

Big Issue with System Backtests

September 7, 2012 | klr

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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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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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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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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Cross Pollination from Systematic Investor

November 20, 2011 | klr

After reading the fine article Style Analysis from Systematic Investor and What we can learn from Bill Miller and the Legg Mason Value Trust from Asymmetric Investment Returns, I thought I should combine the two in R with the FactorAnalytics package.&n...
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Reporting Good Enough to Share

September 15, 2011 | klr

Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as dis...
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