How’s that rebalancing strategy working out for ‘ya? Results will vary, of course, depending on when we run the analysis, the architecture of the strategy, and a number of other variables. Deciding if the results are satisfying or disappointing could be due to any number of factors, such as the choice of assets, the rebalancing rules, or the selection of ETFs to implement the strategy. But whether you’re running a backtest to kick the tires on a rebalancing idea or monitoring an existing portfolio in real time, keeping an eye on risk and return–and understanding what’s driving results–is critical. The good news is that this essential task is relatively easy thanks to R, the data analysis software. As a brief illustration, let’s kick the tires on a simple 60%/40% US stock/bond strategy with a couple of ETFs.
Continue reading →

● Will The Fed Take a Dovish Turn? | Tim Duy’s FedWatch
● Chinese stocks plummet 8% as regulators prick stock bubble | Fortune
● Euro near 11-year low as investors bet on ECB quantitative easing | Reuters
● Syriza says it is ready to rule Greece and Europe ‘should not be afraid’ | Euronews
● China Likely To Miss 2014 Growth Target | RTT
● What the Swiss FX shock says about risk models | VoxEU