French

Life on the Big International Frontier

October 16, 2012 | 0 Comments

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...
[Read more...]

48 Industries (Dendrogram Ordered) Over 50 Years

August 9, 2012 | 0 Comments

Thanks to reader AHWest for the comment on post 48 Industries Since 1963. “I think it would be interesting to see the industries ordered by some sort of similarity of returns.” I think this is a great suggestion, and I would like to see it also.&n...
[Read more...]

“Trend is Not Your Friend” Applied to 48 Industries

August 8, 2012 | 0 Comments

Please see previous post Crazy RUT in Academic Context Why Trend is Not Your Friend. I’ll repeat the intro to the post mentioned above, so we can all get caught back up. In response to Where are the Fat Tails?, reader vonjd very helpfully referred me...
[Read more...]

48 Industries Since 1963

August 7, 2012 | 0 Comments

Please see http://timelyportfolio.blogspot.com/search/label/horizonplot for all horizon plot posts. Once more thanks to Ken French for his data, we can accomplish something I think is fairly amazing.  In 640x800, we can see 250 day rollling return...
[Read more...]

French Global Factors

April 30, 2012 | 0 Comments

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...
[Read more...]

With Size, Does Risk–>Return?

December 15, 2011 | 0 Comments

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 &...
[Read more...]

Let the Lagging Lead

November 18, 2011 | 0 Comments

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...
[Read more...]

Dividend Quartiles with Kenneth French Data

August 1, 2011 | 0 Comments

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks.  Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...
[Read more...]

Beating Kenneth French Small – High

June 30, 2011 | 0 Comments

With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts.  I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...
[Read more...]

Kenneth French Gift to the Finance World

June 29, 2011 | 0 Comments

Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.  I am surprised I have waited so long to write a post about this wonderful resource.  Aft...
[Read more...]

Beta translation done!

August 29, 2010 | 0 Comments

Once my team of four translators had handed back to me all the chapters of the French version of Introducing Monte Carlo Methods with R to me, I had to go over the book to ensure some minimal consistency between the chapters. I started the editing in the plane to ...
[Read more...]

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)