Publications by klr
Since My Last Trip to Disney
My family is off to DisneyWorld for a week, so there will not be any posts while I am there. However, I thought it would be interesting to see how Disney stock has done since my last trip September 2010.Maybe since Disney has done so poorly, the crowds will be smaller. Of course I know better than that.Maybe since the Japanese Yen has continued...
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Evolving Domestic Frontier
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 look at just US Stocks (SP 500) and US Bonds (Barclays Agg), we can see how this shifting frontier can dra...
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Update on Scary Derivatives
After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. http://bloom.bg/txiyuG I thought we should update my post Scary Derivatives and Scary XML in R in w...
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Let the Lagging Lead
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 off the system proposed in Unrequited lm Love, apply that signal to utilities as my total entry/exit, and...
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Cross Pollination from Systematic Investor
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. Let’s explore the Legg Mason Value Trust run by Bill Miller to get some insight into the sour...
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Magical Russell 2000
I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff. With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 continues its magical display. From TimelyPortfolio R code: #look at distance from the 3 month min...
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Magical RUT with GIST
In search of better ways to post my R code, I finally discovered how GIST can help make my R blogging easier. I know I am way behind, and I apologize to my loyal readers for my shortcomings. Here is yesterday’s Magical Russell 2000 code using GIST: Related To leave a comment for the author, please follow the link and comment on their blo...
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Is Drawdown the Biggest Determinant of System Success?
In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold. Also, I have found very little discussion, so maybe R with some help from ttrTests can help answer my question of when I should just go buy-and-hold (a very pleasant...
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Improved Moving Average?
When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract=1926376 Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Tradi...
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World Since June 2008
For a client meeting, I struggled with how best to illustrate world markets since June 2008. I used R to produce this, but I’m still not completely satisfied. Anyone have suggestions to improve? From TimelyPortfolio What I thought was interesting was US equity outperformance and the US 10y yield move through the financial collapse low 2....
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