Portfolio import

You may now import portfolios from Excel. Click on ‘Import’ and follow the guided steps. During the import process, you may select which columns contain the data to import:

Portfolio analysis

Please refer to the user manual for more information.

Modeling financial time series with S-PLUS (Zivot & Wang)

Modeling financial time series / Zivot

A well organized reference book with both a theory refresher and code examples for each topic: univariate and multivariate regressions, GARCH, cointegration, state space models and much more. This is a practical book  for that may be also be used with R, the open-source alternative to S-PLUS. A solid background in statistics is recommended.

Shorting leveraged ETFs pairs

Research on leveraged ETFs has explained some important characteristics of these products:

  • their negative exposure to volatility
  • the resulting possible value erosion for long term buyers

However, the research also shows that the value erosion is not systematic. Shorting leveraged ETFs by pairs does not necessarily produce a positive return. In trending markets with low volatility, the power of compounded returns dominates the effect of value erosion (click on image to access calculator).

A random walk down wall street (Malkiel)

First published in 1973 and revised nine times since, this classic offers practical advice that is backed by no non-sense explanations.

On the theory side, you will find this book useful if you are looking for an introductory explanation on these topics: modern portfolio theory and CAPM, efficient markets, random walk.

Rebalancing or not ?

Should you rebalance your portfolio ? There are conflicting opinions on this topic. For David Swensen, author of “Unconventional success”, rebalancing imposes a disciplined “buy low, sell high” strategy. Mr. Swensen is known for his impressive track record at the head of the Yale endowment. For John Bogle, “rebalancing is a personal choice, not a choice that statistics can validate”.

You can see for yourself the effects of rebalancing in our portfolio analysis tool. We have added an option that makes it straightforward to compare it against buy-and-hold.