We recently read two blog posts from Robot Wealth and FOSS Trading on calculating rolling pairwise correlations for the constituents of an S&P 500 sector index. Both posts were very interesting and offered informative ways to solve the problem using different packages in R: tidyverse or xts. We’ll use ...

We recently read two blog posts from Robot Wealth and FOSS Trading on calculating rolling pairwise correlations for the constituents of an S&P 500 sector index. Both posts were very interesting and offered informative ways to solve the problem using different packages in R: tidyverse or xts. We’ll use ...

We’re taking a break from our portfolio series and million sample simulations to return to a subject that we haven’t discussed of late despite its featured spot in this blog’s name—options. In this post, we’ll look at the buy-write (BXM) and put-write (PUT) indices on ...

We’re taking a break from our portfolio series and million sample simulations to return to a subject that we haven’t discussed of late despite its featured spot in this blog’s name—options. In this post, we’ll look at the buy-write (BXM) and put-write (PUT) indices on ...

We’re taking a break from our portfolio series and million sample simulations to return to a subject that we haven’t discussed of late despite its featured spot in this blog’s name—options. In this post, we’ll look at the buy-write (BXM) and put-write (PUT) indices on ...

In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We ...

In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We ...

In our last post, we ran simulations on our 1,000 randomly generated return scenarios to compare the average and risk-adjusted return for satisfactory, naive, and mean-variance optimized (MVO) maximum return and maximum Sharpe ratio portfolios.1 We ...

In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is choosing the best ...

In our last post, we explored mean-variance optimization (MVO) and finally reached the efficient frontier. In the process, we found that different return estimates yielded different frontiers both retrospectively and prospectively. We also introduced the concept of satsificing, originally developed by Herbert Simon. Simply put, satisficing is choosing the best ...