Articles from this Tag
This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial (after fee) performance numbers for the Stance Equity product at […]
Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and the like. The goal of the experiment here is to see […]
Quick preview I will be expanding on this in the days to come.
In this quick data-tidbit we aim to explore the hypothesis that current Oil Price decreases are driven by US dollar strength. First let’s define some data, when I say Oil I am referring to the WTI Crude Futures, Continuous Contract #1 and for the U.S.D. I am using the Trade Weighted U.S. Dollar index (https://research.stlouisfed.org/fred2/series/DTWEXM). Let’s […]