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Right Now It’s KDA…Asset Allocation.
This post will introduce KDA Asset Allocation. KDA — I.E. Kipnis Defensive Adaptive Asset Allocation is a combination of Wouter Keller’s and TrendXplorer’s Defensive Asset Allocation, along with...
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KDA–Robustness Results
This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using the original filter weights in Defensive Asset Allocation than in...
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How You Measure Months Matters — A Lot. A Look At Two Implementations of KDA
This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial...
View ArticleA Tale of an Edgy Panda and some Python Reviews
This post will be a quickie detailing a rather annoying…finding about the pandas package in Python.For those not in the know, I’ve been taking some Python courses, trying to port my R finance skills...
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A Python Investigation of a New Proposed Short Vol ETF–SVIX
This post will be about analyzing SVIX–a proposed new short vol ETF that aims to offer the same short vol exposure as XIV used to–without the downside of, well, blowing up in 20 minutes due to...
View ArticleTwo Different Methods to Apply Some Corey Hoffstein Analysis to your TAA
So, first off: I just finished a Thinkful data science in python bootcamp program that was supposed to take six months, in about four months. All of my capstone projects I applied to volatility...
View ArticleA Review of Modern Asset Allocation For Wealth Management, by David M. Berns,...
This post will be a review of the book Modern Asset Allocation for Wealth Management, by Dr. David Berns, PhD. The long story short is that I think the book is a must-read for a new and different...
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A quick example on using next day open-to-open returns for Tactical Asset...
First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some analytical reporting coding for them in Python, I am on the job market. Feel free to...
View ArticleThis function VITAL for portfolio backtesting is now in Python, written with...
So, it’s been a little while. But after a couple of years of some grunt work analytics jobs *and* consulting for a $1B AUM fund, I’ve decided that I had a bit more in the tank to share as far as quant...
View ArticleSeveral Key PerformanceAnalytics Functions From R Now In Python (special...
So, thanks to my former boss, and head of direct indexing at BNY Mellon, Vijay Vaidyanathan, and his Coursera course, along with the usual assistance from chatGPT (I officially see it as a pseudo...
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