Publications by klr
knitr Performance Report–Attempt 3
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 cooperative (New Version of RStudio (v0.96)). Thanks so much for these extremely helpful and g...
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knitR Performance Report 3 (really with knitr) and dprint
please see knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 alstated’s asked a very good question in his comment on knitr Performance Report–Attempt 3, and I’m not sure I could have answered well until I endured some frustrations with Sweave. I actually did not use knitr for t...
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Quick dprint Experiment
As a quick dprint experiment, I thought I would try to do a quarterly return table that might potentially fit in knitR Performance Report 3 (really with knitr) and dprint. Although I do not think I will use it in the final report, I do think it is a nice example of the very powerful dprint package. If you do not see the embed below, please go...
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Trend Following Factors from Hsieh and Fung
The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast. In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. The Review of Financial Studies, Vol. 14, ...
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Conditional Drawdown Exploration
After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimizing-downside-risk/http://www.rinfinance.com/agenda/2010/Carl+Peterson+Boudt_Tutorial.pdf As alwa...
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System from Trend Following Factors
As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P 500. Now, THIS ABSOLUTELY SHOULD NOT BE CONSIDERED INVESTMENT ADVICE, especially since the factor ...
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Evaluation of Tactical Approaches
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. As the investment community abandons buy-and-hold and embraces tactical allocation, my guess is that the...
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knitr Performance Report 4
please see knitR Performance Report 3 (really with knitr) and dprint, knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Here is another iteration of the ongoing performance reporting attempts using R, knitr, and latex. In this version, I used the dev=”tikz” option (don’t like b...
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Statistics of Drawdown–paper and post
Thank so much to Patrick Burns’ post Variability in maximum drawdown. He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult. After spending a lot of time thinking about his post and trying to replicate the referenced paper Casati, Alessandro, About the Statistics of the M...
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Pretty Correlation Map of PIMCO Funds
As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500. Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics. I think I have made a pretty correlation heatmap of PIMCO institutional share funds with inception prior ...
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