Life on the Big International Frontier

October 16, 2012 | klr

Although I have used the Kenneth French data library extensively in various posts, I have not yet used the international data sets paired with the wonderful paper. Eugene F. Fama and Kenneth R. French (2012) "Size, Value, and Momentum in International...
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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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With Size, Does Risk–>Return?

December 15, 2011 | klr

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...
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A Tale of Two Frontiers

December 9, 2011 | klr

In a follow up to Evolving Domestic Frontier, I wanted to explore the efficient frontier including international indexes since 1980.  Life is great when your primary indexes (Barclays Aggregate and S&P 500) lie on the frontier as they did 1980...
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Evolving Domestic Frontier

November 1, 2011 | klr

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...
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Efficient Frontier of Buy-Hold and Tactical System

October 6, 2011 | klr

In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...
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