Publications by klr
GARCH Panel in plot.xts
I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST: Related To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio. R-bloggers.com offers daily e-mail updates ab...
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plot.xts with Moving Average Panel
(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays. We will use the ETFs shown by Mebane Faber at http://www.mebanefaber.com/timing-model/. With the panel functionality, it is very ...
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Bonds Much Sharpe -r Than Buffett
Mebane Faber’s post Buffett’s Alpha points out Warren Buffett’s 0.76 Sharpe Ratio discussed in the similarly title paper Buffet’s Alpha. I of course immediately think about the 8th Wonder of the World – the US Bond Market, whose Sharpe Ratio has trounced Buffett’s for the last 30 years. What I like even better are all the tactical...
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Horizon on ggplot2
SocialDataBlog’s kind reference in post Horizon plots with ggplot (not) motivated me to finish what the post started. I knew that ggplot2 would be a little more difficult to use for the purpose of a horizon plot, but I felt compelled to provide at least one example of a horizon plot for each of the major R graphing packages. I achieved a go...
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Another Great Google Summer of Code 2012 R Project
Tradeblotter announced the very nice features that will be added to the PerformanceAnalytics package as a result of the Google Summer of Code (GSOC) 2012 project: “…Matthieu commenced to produce dozens of new functions, extend several more existing ones, and add more than 40 pages of additional documentation (complete with formulae and examp...
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Russell 2000 Softail Fat Boy
If the Russell 2000 were a motorcycle, maybe it should be a Harley-Davidson Softail Fat Boy. I have explored the exception case of the Russell 2000 in quite a few posts More Exploration of Crazy RUT Where are the Fat Tails? Crazy RUT but I still am not sure I have done a job of clearly and simply explaining some of the unique characteristics ...
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Big Issue with System Backtests
Almost always, when I see a system backtested, the backtest assumes a static portfolio with no contributions or withdrawals. This assumption only covers an extremely limited subset of my clients. Cash flows in and out of a portfolio or system can have a much larger impact on ending net worth than the geometrically linked performance of a syst...
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Obviousness of REITs?
I very much enjoy papers such as Antonacci, Gary, Risk Premia Harvesting Through Momentum (September 5, 2012). Available at SSRN: http://ssrn.com/abstract=2042750 or http://dx.doi.org/10.2139/ssrn.2042750 Faber, Mebane T., A Quantitative Approach to Tactical Asset Allocation (February 17, 2009). Journal of Wealth Management, Spring 2007. Availab...
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When Russell 2000 is Low Vol
Continuing in my exploration of the Russell 2000 (Russell 2000 Softail Fat Boy), I thought I would try to approach the topic with a low volatility paradox mindset. Since 2005, beta of the Russell 2000 compared to the S&P 500 has exceeded 1.2 with a max of 1.6 for almost every rolling 1 year period. This suggests that the Russell 2000 is anyth...
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Emerging as Low Vol
Extending the series begun with When Russell 2000 is Low Vol, I thought I should take a look at Emerging Market stocks during periods of low relative volatility to the S&P 500. So you can replicate even without access to expensive data, let’s use the Vanguard Emerging Market Fund (VEIEX) and the Vanguard S&P 500 Fund (VFINX) as proxies. In ...
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