Ready for Tail events?!

Let me first dispel a myth, just because you apply Money Management Rules does not mean you are prepared for tail events. You are not even close!

Read insight

Reading a Table from Yahoo Finance 5 Dec 2016

As you know, the composition of an Index changes over time and this script takes the Yahoo Finance page and retrieves all individual stock symbols for you and stores it in the object called tickers.

I had to update my R-Version to use the RCurl package - this is required as it is a https:// connection we would like to use.

I was surprised how easy it is to parse the xml page and retrieve all the tables on the page.

Using R to analyse MAN AHL Trend 30 Dec 2015

Let's use the great PerformanceAnalytics package to get some insights on the risk profile of the MAN AHL Trend Fund. It's a program with a long track record - I believe in the late 80'. The UCITS Fund NAV Data can be downloaded from the fund webpage as xls file- starting 2009.

First let's import the data into R. I'm using a small function, to import .csv which returns an .xts object named ahl.

#Monthly NAV MAN AHL
  a=read.table("ahl_trend.csv",sep = ",",dec = ",")
  a$date = paste(substr(a$V1,1,2),substr(a$V1,4,5),substr(a$V1,7,10),sep="-")

shaping the future 25 Jul 2015

Fuji X20 Hamburg Harbour

I have found TED Talks a good source of inspiration. And the Talks get far more airplay as the mere audience of the conference suggests.

On my new Samsung Smart TV I even found the TED - Talks App on my homescreen.

With all the tools we have at hand currently - blogger, youtube - we can become proactive ourselves. We have certainly equal rights for broadcasting our opinion and try to find our audience and maybe in the near future you'll get recommended as TED speaker.

I was against the rescue of greece but I did not want to air that statement. Instead I'm trying to be a bit more precise and uplifing by suggesting alternative options but before I reveal them, I would like to model them in R.

and....surprise, surprise my alternative route would have caused most likely more damage on the long run.

Now, one could say "Analysis. Paralizes" and there is some truth in that.

What has been decided in a rush, to violate the Maastricht Treaty no bail-out clause was certainly not the result of Analysis more desperation I suppose.

but the future hasn't happened yet - we shape it.

Premium to NAV 11 Mar 2015

Looking at the db Equity Strategies Hedge Fund Index
it comes as a surprise that the ETF Index has a premium to the NAV, whereas other well known

hedgefunds like Bluecrest Allblue (feeder) are listed with 5 % discounts to the NAV since many years.

Check out the chart

Bonds are this 8 Dec 2014

If you would have invested in 1992 in the DAX ETF - provided it would have been around, of course - you would have earned a decent amount of money.

That's the story of the passive guys and in my previous post I'm borrowing a few arguments of this guys to support Buy & Hold.

I'm sure you know the problem, when you wish to backtest a new strategy over a long period and you don't have enough observations available.

My Bond - Data Proxy is usually Pimco Total Return (PTTRX) and if you believe Bonds are boring read more.