Publications by klr
Join the Reserves
Most forget that the tremendous macro imbalances caused by the 10 Trillion in foreign reserves are just 14 years old phenomenon but the results have been and will be profound. The buying started after the Asia Pacific collapse of 1997, and the Asian central banks chose to continuously engage a different form of quantitative easing that far exce...
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Dividend Quartiles with Kenneth French Data
Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks. Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we can explore the datasets from 1927 with dividend quartiles to see how it looks over the long term. ...
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System Failure-Maybe it Will Help
I hope everyone is enjoying the market. After a crazy week personally and 6% intraday swings, I remember why I abandoned day trading. I often wonder if I should share ideas that do not work as well as I would like. In this case, I know I have generated an acceptable system in a previous life in Excel, but I cannot remember the details. So f...
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Unrequited lm Love
In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework. Maybe this blog post John Mayer on Finishing Awful Songs inspired me or maybe I’m just being foolish, but...
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lm System on Nikkei with New Chart
I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit. Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the Russell 2000. THIS IS STILL NOT INVESTMENT ADVICE, AND I TAKE NO RESPONSIBILITY FOR THE LOSSES THAT A...
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ttrTests Experimentation
I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6. ttrTests offers a nice start to my ideal setup for system development, testing, and reporting. In upcoming posts, I hope to bui...
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-1% Guaranteed Real Real Return! Yummy??
If we’re cooking up a bond return, we have access to 3 ingredients: inflation, credit, and real. Historically, the recipe looks like this (as described in Historical Sources of Bond Returns).0-5 parts inflation + 1-2 parts credit + 1-3 parts realand the chart looks like this. From TimelyPortfolioIn the good old days credit did not apply to U S...
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Real Squeeze
Real yields even out to 10 years have now been competely squeezed. Either bond investors need to accept even worse negative real yields or deflation needs to get ugly for additional price returns from here. If deflation is the outcome, then shorts in stocks and commodities will be much more rewarding than long bonds. From TimelyPortfolioR code:...
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Drawdown Visualization
Drawdown is my favorite measure of risk. It picks up extended autocorrelated pain often not seen in risk measures, and best illustrates frustration, panic, and loss of confidence (Drawdown Control Can Also Determine Ending Wealth). I thought I should try some new ways to see it in R. This first graph uses the zoo package to show 20% drawdow...
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Modest Modeest for Moving Average
I have no idea who originated the idea of using moving averages to determine entry and exit points in a trading system. I do know that Mebane Faber (briefly discussed in Shorting Mebane Faber) has recently popularized the notion through his >75,000 download SSRN working paper Faber, Mebane T., A Quantitative Approach to Tactical Asset Allocati...
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