Category: English

Seeking Alpha and finding nonsense – never trust CAPM and linear regression blindly

I show by the example of my portfolio "somewhat better than DUCKS" that CAPM alpha is a very non-robust measure of performance as well as that linear regression on an index should be considered very critically.

Recently, one of my facebook contacts has meant that my portfolio "Somewhat better than DUCKS" repeats the DAX with a beta but without alpha. He even did not make an effort to calculate the linear regression before making this statement. However, even if he did, the results would not be comprehensive.

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Market Spotlight: Pick up Commodities but be picky

Currently the stocks are expensive and the commodities are cheap (though not all of them). We conduct a lite analysis of investment opportunities and construct a mid-term commodity portfolio for a retail investor with €10000+ capital. Continue reading "Market Spotlight: Pick up Commodities but be picky"

R-script for Fixer.io – get FX rates in R for 31 currencies

Even if you are not a Forex trader, it is often necessarily to get currency exchange rates, e.g. if you trade [the options on] foreign stocks.  Fixer.io provides daily FX-rates from European Central Bank for 31 currencies via JSON API. We present a script to get data in R.
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YaWhore Dance with Yahoo Finance

On 17.04.2017 Yahoo.Finance changed its API, so ichart.finance.yahoo.com is (temporarily?!) unavailable. In particular it means that many R-scripts that rely on quantmod/getSymbols() will not function anymore. We discuss the ways to circumvent the API change of Yahoo.Finance and alternatives to it, esp. Alpha Vantage.
YaWhore_Yahoo_Finance Continue reading "YaWhore Dance with Yahoo Finance"

Integrating QuantLib with R and Web – Barrier Options Pricer

Some of QuantLib functionality is ported to R in RQuantLib. In particular the pricing of Barrier options. Unfortunately, only European. But we need American in order to price and simulate future scenarios for the so-called KO-Zertifikate (Knock-Out Warrants), which are quite popular among German retail traders. We show how to quickly adopt the code from QuantLib testsuite, compile it under Linux and integrate with R and web.
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PUT on nVIDIA turned out to be far from perfect trade, but…

On 25.12.2016 I bought a put on nVIDIA since I found the stock extremely overpriced. I called it "nearly perfect trading decision", inter alia, because the implied volatility was though plausible but still high. Yesterday after the publication of Q1 financial report the stock jumped 18%. My put option is about 50% down since purchase time. But due to a strict money management I have capital for the 2nd and even fors 3rd attempt and I still consider nVIDIA as heavily overpriced.
NVIDIA stock chart - Dec2016_May2017 Continue reading "PUT on nVIDIA turned out to be far from perfect trade, but…"

Portfolio Simulator – estimate the expected risk and return of your investments

Our simulator allows you to simulate 100 future scenarios of your portfolios, estimate the expected risk, return and correlations, helping you to improve the diversification of your portfolios. The simulator projects the historical returns in future and is completely model-free (in particular, we don't make an unrealistic assumption of Normally-distributed returns). Though the past doesn't capture all possible future scenarios, it provides a good idea of possible outcomes.
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Perfect diversification means no asset can be dropped from (rather than added to) a portfolio

A common belief: adding extra asset to a portfolio will automatically reduce the portfolio risk. We provide a counter-example resorting only to the simplest algebra and explain why this erroneous belief is so common. 

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Quantopian – why I don’t take part

Quantopian is a very interesting FinTech project for virtually everybody, who wants to try the algorithmic trading. Yet I explain why I myself - a successful trader, experienced quant and good programmer - don't take part. Continue reading "Quantopian – why I don’t take part"

Why I am skeptical about investing in “global trends”

Investing in a "globaly demanded" product or service seems (at first glance) to be a nice idea. However, it may be (too) dangerous: not all global trends turn into profit and even if they do, you need to get in early since most of global trends (even genuine) turn into bubbles and do burst. 

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