Daily Archives: Apr 26, 2018 at 07:14 am EDT

Backtesting Four Portfolio Optimization Strategies In R

Investing strategies run the gamut, but every portfolio shares a common goal: delivering optimal results. The catch is that there’s a wide range of possibilities for defining optimal and so your mileage may vary, depending on preferences, assets, and other factors. Eran Raviv offers a useful review by comparing how four strategies with different portfolio-design strategies stack up via number-crunching in R with the FRAPO package. Let’s build on his profile by analyzing how the strategies fare with a broader set of asset classes based on resetting the optimized weights at the end of each year starting in 2001.
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Macro Briefing: 26 April 2018

Korean leaders to meet at North-South border on Friday: BBC
Chinese geologists say N. Korea’s main nuclear test site has likely collapsed: WaPo
China air force intimidates Taiwan with military flights around island: Reuters
Conservative Supreme Court justices appear to back Trump’s travel ban: The Hill
French president expects Trump will withdraw from Iranian nuclear deal: BBC
Rising interest rates keep Wall Street on edge: CBS
Investors will focus on various inflation numbers in days ahead: Bloomberg
A closer look at the 10-year Treasury yield’s rise to 3%: Calafia Beach Pundit
T. Rowe Price’s assets under mgt top $1 trillion–a sign of active mgt growth: P&I
World trade volume slumped 0.4% in Feb, first monthly loss since Oct: CPB