As PIMCO expands beyond fixed income, I thought it might be helpful to look at correlation of PIMCO mutual funds to the S&P 500.  Unfortunately due to the large number of funds, I cannot use the chart.Correlation from PerformanceAnalytics.&nbs...

Thank so much to Patrick Burns’ post Variability in maximum drawdown.  He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult.  After spending a lot of time thinking about ...

please see knitR Performance Report 3 (really with knitr) and dprint, knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Here is another iteration of the ongoing performance reporting attempt...

Tactical approaches are often chosen based on the best cumulative return which implicitly incorporates significant hindsight bias.  Just because an approach dominates for a period of time does not indicate that it will be the best approach.  ...

As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P ...

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...

The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast.  In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...

As a quick dprint experiment, I thought I would try to do a quarterly return table that might potentially fit in knitR Performance Report 3 (really with knitr) and dprint.  Although I do not think I will use it in the final report, I do think it i...

please see knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 alstated’s asked a very good question in his comment on knitr Performance Report–Attempt 3, and I’m not sure I could have a...

please see knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Since the time of my last reporting post, RStudio, knitr, and Sweave have worked extremely hard to make document creation easier by becoming even more streamlined and ...

As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference.  While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Ga...

I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community.  To build on Systematic Investor’s series on factors, I thought I should run some ba...

Yesterday as I played with bfast I kept thinking “Yes, but this is all in hindsight.  How can I potentially use this in a system?”  Fortunately, one of the fine authors very generously commented on my post Structural Breaks (Bull or Bear?...

When I spotted the bfast R package, I could not resist attempting to apply it to identify bull and bear markets.  For all the details that I do not understand, please see the references: Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor...

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...

Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately.  I very quickly see the gaps in my knowledge.  This method is far more painful but seems to ...

I get very excited about new R packages, but rarely is my excitement so fulfilled as with knitr.  Even with no skill, I have already been able to adapt the example Yihui Xie provides in his knitr Graphics Manual into a crude first version of a per...

I have always known that at some point I would have to succumb to the power of Latex, but Latex has been uncharacteristically intimidating to me.  I finally found the remedy to my Latex allergy with the amazing and fantastic knitr package from Yih...

I was inspired by the Revolution Analytics blog post http://blog.revolutionanalytics.com/2009/11/charting-time-series-as-calendar-heat-maps-in-r.html on the d3.js style calendar heat map that Paul Bleicher from Humedica developed in R.  In an effo...