Publications by klr
Slideshow of Graphs since TimelyPortfolio’s November Inception
I have had a lot of fun blogging at Timely Portfolio over the last 7 months. Here are all the graphs that I have shown. Thanks especially to R. 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 about R news and tutorials about learnin...
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Kenneth French Gift to the Finance World
Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. I am surprised I have waited so long to write a post about this wonderful resource. After seeing Systematic Relative Strength’s post The #1 Investment Return Factor No One Wants to Talk Abo...
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Cash Might be Your Tail Risk
Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool. Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recession while land and labor are most plentiful. Its scarcity in disaster rewards patient holders of ca...
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Beating Kenneth French Small – High
With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts. I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small Size and High Momentum stocks since 1927. 18% annualized returns are hard to beat, but I thought ...
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A Quantstrat to Build On Part 6
THIS IS NOT INVESTMENT ADVICE. ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as easy as I thought. With some help from experts (please tell me if you would like me to mention you b...
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Scary Derivatives and Scary XML in R
I need some new R skills, and there is no better motivation to learn XML in R than one of the scariest financial datasets out there—the US Department of the Treasury Office of the Comptroller of the Currency (OCC) Quarterly Derivatives Report. I’ll move to the even scarier global BIS derivatives data in a later post to avoid inducing nightmar...
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Drawdown Control Can Also Determine Ending Wealth
As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth. CHTTX was one of the best performers of the four funds OAKMX, CHTTX, FAIRX, and FCTNX mentioned in Smart Money “Bouncing Back with the World’s ...
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More Thoughts on US Death Spiral
What troubles me most about today’s environment is the persistent belief that crisis large or small results in a US dollar rally and lower Treasury rates. However, what happens if the US dollar and US Treasury rates are the source of the crisis? Then the US enters a death spiral and the currency, stocks, and bonds suffer simultaneously and equa...
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Shorting Mebane Faber
Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look. Once we see how it looks, I think it confirms my focus on drawdown as my primary risk measure (see post D...
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Crazy RUT
I have noticed that the Russell 2000 (RUT) acts very differently from most of the other indexes that I have studied. If we apply the system shown in Shorting Mebane Faber to RUT and then extend it with a simple slope, we notice something very different about RUT behavior. No clear dominant strategy really emerges. From TimelyPortfolio ...
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