The paper, “Adaptive Asset Allocation: A Primer” by Adam Butler, Mike Philbrick, Rodrigo Gordillo, and David Varadi addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. It shows that estimating return and (co)variance parameters over shorter time horizons are superior to estimates over long-term horizons because parameter estimates vary substantially over time. Longer-term estimates do not account for this variability in the short-term. They propose an Adaptive Asset Allocation portfolio construction methodology that uses the new parameter estimates to substantially improve performance relative to Strategic Asset Allocation.
getSymbols() have been a core part of the R/Finance ecosystem for over 15 years. We want to change some things, but they would break existing code. We can make these changes in the new ‘rfimport’ package instead.
An updated version of quantmod is now on CRAN. It adds functions
has.HL() to check for ‘high’ and ’low’ price columns. It also makes accessing Yahoo Finance price, dividend, and split data more robust.
from arguments, like other
getSymbols() methods. The remaining changes are bug fixes and maintenace chores.
An updated version of xts is now on CRAN. This release adds several exciting changes: open-ended time-of-day subsetting, smarter conversions to xts from data.frames/data.tables/tibbles;
to.period() handles custom endpoint values,
print() truncates rows like data.table, and
str() provides more informative output. There are also changes to make xts more consistent with zoo, some minor speed improvements, and the usual smattering of bug fixes.