Publications by klr
Omega as Optimizer
During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he responded nothing. He added that he greatly dislikes optimization and avoids any optimization un...
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Russell Napier, ASIP in FT Says Emerging Market Currencies
Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201001/Long-View-Historian-sees-S-P-fall-to-400. As one of the most bearish money managers in Bar...
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Gifts from BAC ML and the Federal Reserve
Bank of America Merrill Lynch and the Federal Reserve Bank of St. Louis Fed continue to surprise me with even more gifts. This time they added Emerging Market Bond Indexes with history back to 1998 (cannot see Asia Pacific Crisis of 1997-1998 but can see Argentina 2001-2002). Data like this is extremely difficult to attain without significant...
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Wonderful New Blog TimeSeriesIreland
I returned from Scotland to find a wonderful new blog from Ireland http://timeseriesireland.wordpress.com. To highlight his work, I thought I would apply his most recent post AIB Stock Price, EGARCH-M, and rgarch to the S&P 500. Clearly the author of TimeSeriesIreland has a much better grasp of time series statistics than I do, so I will not ...
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Spreads and Stress
Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds. Bond spreads act as a very strong symbol of financial stability and confidence. The St. Louis Fed Stress Index is weekly, but maybe we can use spreads as a daily proxy of stress or financial instability similar to the ...
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Long XLU Short SPY
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash. I generally dislike spreads, but if the bond manager has some flexibility, maybe long Utilities (XLU) and short S&P 500 (SPY) might...
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Long XLU Short SPY Part 2 (More History)
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. The Fed is on a roll adding BAC ML Bond Indicies and now complete history for the four primary Dow Jones Indexes, so I wanted to extend my first post Long XLU Short SPY to add some more historical context. Unfortunately, the Dow Jones Indicies are only price ret...
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Utility Spread and Financial Turbulence
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. In Long XLU Short SPY Part 2 (More History), I explored the defensive nature of the spread and its potential as a bond substitute in troublesome periods for stocks. I thought it would be interesting to see what happens if we use the spread as our cash position i...
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Utility Spread and Financial Turbulence Part 2 with Utility Slope
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I did not intend for this to be a two-part series but I just could not be complacent with Utility Spread and Financial Turbulence (for avid readers, there was a small error in this post that is now corrected). Since the change was so easy and the results so muc...
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Eigen-who? How Can I Write About Eigen-anything and Expect You to Read?
After the very nice Convore reply @timelyportfolio some of your posts include “eigenvalue ratio plots” — kindly tell us what they show and how they might be useful in constructing a portfolio. I felt like I should at least attempt to offer a little more detail on eigenvectors, which allow us to visually see similarity between variables (in...
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