Publications by klr
Yen and JGBs Short-Term vs Long Term
I have read some articles arguing that the recent move in the Japanese Yen is overdone. However, considering the short-term without regard to the long-term context is naïve and potentially dangerous. Although I do not have significant proof, I believe long-term mean reversion can completely dominate short-term mean reversion hopes. Just to...
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Japanese Government Bonds (JGB) Total Return Series
In a follow up to Yen and JGBs Short-Term vs Long Term and a series of posts on Japan, I thought the Bloomberg article “Japan Pension Fund’s Bonds Too Many If Abe Succeeds, Mitani Says” was particularly interesting. It is difficult to find a total return series for the JGBS, so here is an example of how we might construct it in R with the...
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Another Experiment with R and Sweave
The R package PApages is a great start towards addressing the very common problem of internal and external reporting in the money management industry. Advent’s APX, Axys, and Black Diamond and the up and coming extremely well-connected and well-funded Addepar provide basic and acceptable reporting but generally don’t provide the full set of...
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Onepager Now with knitR
Since at some point I had trouble with a conflict between knitr and the latex package textpos, I used the lesser Sweave in Another Experiment with R and Sweave. I ran the Sweave2knitr command and discovered that textpos and knitr play well together now. Here is the result using knitr (go to https://www.box.com/s/4nftk6qpa0cugapmncsn if the em...
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Another Way to Look at Vanguard and Pimco
I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that the plot allowed a quick summary comparison of the two massive fund complexes. I am much more pleased with this Ecdf plot from the HMisc package. From TimelyPortfolio R code at GIST: Related...
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Additional Plots on French Breakpoints as Valuation
I feel like there might be some merit in Slightly Different Measure of Valuation using Ken French’s Market(ME) to Book(BE) Breakpoints by percentile to offer an additional valuation metric for US stocks. I thought some additional plots might help me flesh out the concept. This plot struck me as particularly helpful. From TimelyPortfoli...
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Shading and Points with xtsExtra plot.xts
For some reason, I feel like have much better control with plot.xts function from the xtsExtra package described here over some of the other more refined R graphical packages. Maybe, it is just my simple mind, but recently I wanted to shade holding periods with points for buy and sale dates. With plot.xts from xtsExtra I was able to quickly and e...
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How Did I Miss “The Golden Dilemma”?
I am ashamed to admit that I am way behind (about 10,127 downloads) in discovering this wonderful paper: The Golden Dilemma (January 8, 2013)Erb, Claude B. and Harvey, Campbell R.Available at SSRN: http://ssrn.com/abstract=2078535 Here are the authors presenting the concept in July 2012 if you prefer slideshow format (thanks http://abnormalretu...
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One Pager Performance Report with knitr, R, and a Different Font
Although I suffer from complete ignorance of typography, with a little help from a post from Hyndsight and post from mages’ blog, I wanted to try a different font on the one-pager performance report that we created in Onepager Now with knitR. I do not think Open Sans Light is the best choice for this report, but since it is the most popular fon...
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Production Quality Report with R and knitr on Yen
Sometimes I actually use my experiments for real work. For example, I wanted to send an update on the Japanese Yen. This was a great opportunity to use the chart created in Shading and Points with xtsExtra plot.xts.I was fairly pleased with the finished product (click here if embed does not show).R sweave file from GIST: Related To leave ...
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