Comments for Systematic Investor http://systematicinvestor.wordpress.com Systematic Investor Blog Tue, 21 May 2013 06:15:10 +0000 hourly 1 http://wordpress.com/ Comment on R/Finance 2013 slides by Daily Wrap for 5/20/2013 | The Whole Street http://systematicinvestor.wordpress.com/2013/05/20/rfinance-2013-slides/#comment-2651 Tue, 21 May 2013 06:15:10 +0000 http://systematicinvestor.wordpress.com/?p=1736#comment-2651 […] R/Finance 2013 slides [Systematic Investor]I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods th… […]

]]> Comment on R/Finance 2013 slides by tstudent2012 http://systematicinvestor.wordpress.com/2013/05/20/rfinance-2013-slides/#comment-2648 Mon, 20 May 2013 19:38:09 +0000 http://systematicinvestor.wordpress.com/?p=1736#comment-2648 Congrats for your performance at R/Finance

]]> Comment on Maximum Sharpe Portfolio by systematicinvestor http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2423 Tue, 16 Apr 2013 23:32:52 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2423 Using risk free rate > 0% will push risk and return up for the Maximum Sharpe portfolio

]]> Comment on Maximum Sharpe Portfolio by Dan http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2400 Mon, 15 Apr 2013 10:42:26 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2400

systematicinvestor :
Currently I’m using (0,0)

Is is safe to say that starting from say 1%,0 would push up risk AND return?

]]> Comment on Maximum Sharpe Portfolio by Mohamed http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2386 Sat, 13 Apr 2013 13:22:18 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2386 Hello,
Has anyone tried testing the following; instead of picking the top 4, picking the top 3 and the bottom one as per their momentum in a long-short setup of say 120/20.
Sorry to be frozen like a deer in the headlights when it comes to R.
Thanks.

]]> Comment on Maximum Sharpe Portfolio by systematicinvestor http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2383 Sat, 13 Apr 2013 00:36:35 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2383 Currently I’m using (0,0)

]]> Comment on Maximum Sharpe Portfolio by Dan http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2381 Fri, 12 Apr 2013 14:44:08 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2381 Michael,
Quick question – What are you using as your starting point: 0,0 or the risk free rate x%,0?
Thanks,

]]> Comment on Maximum Sharpe Portfolio by tstudent2012 http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2248 Sat, 23 Mar 2013 11:05:09 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2248 Mohamed,
to get list af all trades write: tradelist = bt.trade.summary(data,models$yourmodel)

]]> Comment on Maximum Sharpe Portfolio by Mohamed http://systematicinvestor.wordpress.com/2013/03/22/maximum-sharpe-portfolio/#comment-2244 Fri, 22 Mar 2013 20:53:56 +0000 http://systematicinvestor.wordpress.com/?p=1711#comment-2244 Thanks Michael again for this.
I was trying to get the trades list by adding the below command without success:
plotbt.custom.report.part3(models$MS, trade.summary = TRUE).
Any help would be very appreciated.

]]> Comment on Adaptive Asset Allocation by Maximum Sharpe Portfolio | Systematic Investor http://systematicinvestor.wordpress.com/2012/08/14/adaptive-asset-allocation/#comment-2235 Fri, 22 Mar 2013 00:49:59 +0000 http://systematicinvestor.wordpress.com/?p=1252#comment-2235 [...] Variance, Maximum Diversification, Minimum Correlation) on the 10 asset universe used in the Adaptive Asset Allocation [...]

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