Daily Archives: Oct 10, 2017 at 07:01 am EDT

Replicating Indexes In R With Style Analysis: Part I

In the quest for clarity in portfolio analytics, Professor Bill Sharpe’s introduction of returns-based style analysis was a revelation. By applying statistical techniques to reverse engineer investment strategies using historical performance data, style analysis offers a powerful, practical tool for understanding the source of risk and return in portfolios. The same analytical framework can be used to replicate indexes with ETFs and other securities, providing an intriguing way to invest in strategies that may otherwise be unavailable.
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Macro Briefing: 10 October 2017

Raging wildfires destroy thousands of Northern California homes: USA Today
Richard Thaler wins Nobel for behavioral economics research: The Atlantic
EPA chief says wind and solar tax credits should be eliminated: The Hill
Turkey-US diplomatic crisis deepens: Bloomberg
Is Spain’s Catalonia crisis an investment opportunity? Bloomberg
German industrial output in Aug posts the strongest  rise in 6 years: RTT