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7 Comments

    • Defining a Set of Core Asset Classes [view article]
      GC, you wrote >>returns are what you are calling Rate of Change -- i.e. basic percentage change in monthly closing prices. <<
      Correct me if I am wrong, but aren't log-normal returns the "base currency" in quantitative analysis?       Aug 16 02:37 PM
    • Defining a Set of Core Asset Classes [view article]
      [Repeat post; no reply to yesterday's post]
      Geoff,
      Can you clarify:
      - What time frame did you use for Correlation measurement? And the pros/cons of using this time frame vs some other (e.g. why 36 months instead of 12)
      - Did you use returns based on 'raw' prices or 'dividend-adjusted' prices?
      - For returns, did you use RateOfChange (%) or log-normal returns?
      Thanks in advance.       Aug 15 10:14 AM
    • Defining a Set of Core Asset Classes [view article]
      GC, Cna you calrify:
      - What time frame did you use for Correlation measurement? And the pros/cons of using this time frame vs some other.
      - Did you use returns based on 'raw' prices or 'dividend-adjusted' prices?
      - For returns, did you use RateOfChange (%) or log-normal returns?
      Thanks in advance.       Aug 14 03:56 PM
    • Analyzing Absolute Return OEFs [view article]
      [Please don't use uncommon abbreviations w/o explaining them.] What's an OEF? May 28 08:50 AM
    • A Closer Look at REIT-Treasury Yield Spreads (1971- Present) [view article]
      >>I doubt any ready free source is available that would directly give you the spread information in that chart. <<
      While that may be true, my experience is that most of what can be done in Excel I can also do in my trading software using appropriate methodology. But one needs the native price series as a start. Oh, and it doesn't have to be free; I only used Yahoo as an example as its widely known; I would have extrapolated the Yahoo symbol for my data provider.

      >>If you want to use market data going forward and for short historical periods, it might be just as effective to follow one of the REIT ETFs that are based on an index...<<
      The problem with using ETFs as index substitutes is:
      - one doesn't know how closely they track the underlying index ("tracking error")
      - ETFs are realtively new so even the oldest one doesn't have a long history
      - they often pay dividends that distort the price series, making calculations unreliable

      My idea was that if I had the index symbol and its data from a data vendor or Yahoo, then I could backtest the hypothesis for myself and perhaps play around with the variables (I am a systematic trader).

      If you do happen to become aware of the appropriate symbol(s), do post them for the benefit of folks like me. Thank you.       Apr 26 01:17 PM
    • A Closer Look at REIT-Treasury Yield Spreads (1971- Present) [view article]
      Thanks, Rick. I was actually hoping for a symbol whose data I could download from, say, Yahoo finance. Yahoo lists a number of FTSE NAREIT symbols (see finance.yahoo.com/look...) and I am not sure which one is for Equity REIT yields. Is it ^FNER, or some other? Apr 24 05:30 PM
    • A Closer Look at REIT-Treasury Yield Spreads (1971- Present) [view article]
      Where can an individual (small) investor get the data for REIT yields in order to implement this strategy on their own? Is there, for example, an index for this, as there is for the Treasury yield? Apr 24 08:47 AM
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