Publications by R on OSM
OMG O2G!
The oil-to-gas ratio was recently at its highest level since October 2013, as Middle East saber-rattling and a recovering global economy supported oil, while natural gas remained oversupplied despite entering the major draw season. Even though the ratio has eased in the last week, it remains over one standard deviation above its long-term average...
13909 sym R (15360 sym/1 pcs) 28 img 1 tbl
OMG O2G!
The oil-to-gas ratio was recently at its highest level since October 2013, as Middle East saber-rattling and a recovering global economy supported oil, while natural gas remained oversupplied despite entering the major draw season. Even though the ratio has eased in the last week, it remains over one standard deviation above its long-term average...
13642 sym R (13829 sym/1 pcs) 28 img 1 tbl
Skew who?
In our last post on the SKEW index we looked at how good the index was in pricing two standard deviation (2SD) down moves. The answer: not very. But, we conjectured that this poor performance may be due to the fact that it is more accurate at pricing larger moves, which occur with greater frequency relative to the normal distribution in the S&P. ...
6865 sym R (6072 sym/1 pcs) 12 img 1 tbl
Skew who?
In our last post on the SKEW index we looked at how good the index was in pricing two standard deviation (2SD) down moves. The answer: not very. But, we conjectured that this poor performance may be due to the fact that it is more accurate at pricing larger moves, which occur with greater frequency relative to the normal distribution in the S&P. ...
6865 sym R (6072 sym/1 pcs) 12 img 1 tbl
Portfolio starter kit
Say you’ve built a little nest egg thanks to some discipline and frugality. And now you realize that you should probably invest that money so that you’ve got something to live off of in retirement. Or perhaps you simply want to earn a better return than stashing your cash underneath your bed, I mean your savings account. How do you choose the...
13049 sym R (6246 sym/1 pcs) 6 img 2 tbl
Portfolio starter kit
Say you’ve built a little nest egg thanks to some discipline and frugality. And now you realize that you should probably invest that money so that you’ve got something to live off of in retirement. Or perhaps you simply want to earn a better return than stashing your cash underneath your bed, I mean your savings account. How do you choose the...
13049 sym R (6227 sym/1 pcs) 6 img 2 tbl
SHARPEn your portfolio
In our last post, we started building the intuition around constructing a reasonable portfolio to achieve an acceptable return. The hero of our story had built up a small nest egg and then decided to invest it equally across the three major asset classes: stocks, bonds, and real assets. For that we used three liquid ETFs (SPY, SHY, and GLD) as pr...
11058 sym R (13246 sym/1 pcs) 24 img 3 tbl
SHARPEn your portfolio
In our last post, we started building the intuition around constructing a reasonable portfolio to achieve an acceptable return. The hero of our story had built up a small nest egg and then decided to invest it equally across the three major asset classes: stocks, bonds, and real assets. For that we used three liquid ETFs (SPY, SHY, and GLD) as pr...
11058 sym R (13246 sym/1 pcs) 24 img 3 tbl
Benchmarking the portfolio
In our last post, we looked at one measure of risk-adjusted returns, the Sharpe ratio, to help our hero decide whether he wanted to alter his portfolio allocations. Then, as opposed to finding the maximum return for our hero’s initial level of risk, we broadened the risk parameters and searched for portfolios that would at least offer the same ...
12006 sym R (11062 sym/1 pcs) 12 img 1 tbl
Benchmarking the portfolio
In our last post, we looked at one measure of risk-adjusted returns, the Sharpe ratio, to help our hero decide whether he wanted to alter his portfolio allocations. Then, as opposed to finding the maximum return for our hero’s initial level of risk, we broadened the risk parameters and searched for portfolios that would at least offer the same ...
12006 sym R (11062 sym/1 pcs) 12 img 1 tbl