Publications by klr
Unsolved Mysteries of Rebalancing
There is a lot not yet fully understood about rebalancing in portfolio management. This 2013 paper from Nardon and Kiskiras is the best I have read yet. Kiskiras, John and Nardon, AndreaPortfolio Rebalancing: A Stable Source of AlphaJanuary 18, 2013Available at SSRN: http://ssrn.com/abstract=2202736 I wanted to share both a summary...
812 sym
More on Rebalancing | With Data from Research Affiliates
While on the topic of rebalancing (see Unsolved Mysteries of Rebalancing), I thought it would be good to highlight another good research paper with some quick rCharts analysis. Arnott, Robert D., et al.The Surprising Alpha from Malkiel’s Monkey and Upside-Down StrategiesThe Journal of Portfolio Management 39.4 (2013): 91-105. I hav...
805 sym
Must See R blog
Last year in my post d3 var vglnk = {key: '949efb41171ac6ec1bf7f206d57e90b8'}; (function(d, t) { var s = d.createElement(t); s.type = 'text/javascript'; s.async = true; // s.defer = true; // s.src = '//cdn.viglink.com/api/vglnk.js'; s.src = 'https://www.r-bloggers.com/wp...
910 sym
Bond Shop Views with dimplejs and rCharts
I saw this chart in a presentation and thought I could make it better and interactive. Here is a short article on the iteration process. Click on the screenshot below or here for the full post. Note: these are not my views and this is not financial advice. I did not name the original source of the graphic. If you are the sourc...
812 sym
Help Me Understand bfast breakpoints
The R package bfast enthralls me. I have posted 3 times on bfast but still did not understand the impact of the h parameter. Armed now with some d3.js, angular.js, and rCharts I thought I could see it better with a fancy interactive visualization. Here is the result when applied to the S&P 500 monthly price series since 1950. ...
812 sym
Interactive Discovery of Research Affiliates JoPM Paper
In my previous post More on Rebalancing | With Data from Research Affiliates , I did some really basic visualizations, but I thought this data would be great for some more powerful interactive discovery using an interesting javascript SQL-like query language objeq along with the d3.js charting library dimple.js. Next, I hope to ext...
806 sym
Slopegraphs | rCharts –> maybe finance versions
Back in 2011, Charlie Park did two very thorough posts on Edward Tufte’s table graphics or slopegraphs. http://charliepark.org/slopegraphs/ http://charliepark.org/a-slopegraph-update/ These type graphics can provide very effective visualizations of finance and economic information. For my first test though I will stick with cance...
812 sym
xts like endpoints in Javascript
I decided to promote this from a Twitter comment to a blog post. I had hoped to do a prototype javascript interactive rebalancing visualization of Unsolved Mysteries of Rebalancing integrating this, but I have not had the time, so I’ll release it into the wild in its current state. I hope someone can use it. Related To l...
728 sym
R as a Publishing Engine | CPI Components Use Case
R was certainly not designed to be a publishing engine, but in my workflow, R is the primary method of content creation. With that in mind, I have been thinking about a very different use case of rCharts in which we might want to include inflexible and not really reusable custom javascript components in our document. As a quick ex...
807 sym
Find it Humorous … “Not So Bad” in the “long-term”
I agree the market selloff has been weak thus far (especially as a frustrated bear). However, I find it humorous as some widely followed commentators say things like “You’re only down x% ytd. It’s not that bad”. I wonder if this selloff gets worse will they extend to a 12 month horizon since last year was so good. Imme...
811 sym