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 m...

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 sm...

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...

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 Shor...

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...

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 ...

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...

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...

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/946244201...

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 re...

There must be a useful insight, concept, or system provided by the new S&P 500 High Beta and Low Volatility Indexes.  Now with the announcement by Powershares of etfs for these indicies http://www.invescopowershares.com/volatility/, any of the...

After all my complaining about proprietary data, the St. Louis Federal Reserve announced today the availability of Bank of America Merrill Lynch Bond Indicies on their FRED site.  The data is limited in scope and duration, but accessibility especi...

After the helpful comment by Bradley on my post Commodity Index Estimators, How about the National Agricultural Statistics Service (NASS)? Looks like they have information for prices received back to 1908 for many agricultural goods (http://www.nass.u...

When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea.  While this 3 mont...

In this post I will show my first try at a commodity index substitute.  Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data.  I hav...

I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend.  You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages.  I hate that I coul...

After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...

In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

Building on posts Great FAJ Article on Statistical Measure of Financial Turbulence and Great FAJ Article on Statistical Measure of Financial Turbulence Part 2, I will now build a system incorporating a new correlation-based measure of turbulence and a ...

I did not intend for this to be a multi-part series, but after some clear thinking at the beach over the weekend, I decided that it needed some more analysis.  For those of you that read the article or know Mahalanobis distance, the measure I pre...