Author: Franklin J. Parker
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How to Pass the CFA Exam on Your First Try
I passed Levels I, II, and III on my first try, and completed them all within the fastest possible time of 18 months. In addition, I scored in the 90th percentile on the Level III exam (I honestly don’t remember my percentiles for I and II). While I wouldn’t consider myself an expert, I believe…
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PerformanceAnalytics — An Indespensible Quant Tool for any Investor
I’m in the thick of our annual portfolio investment due diligence at work. Basically, this involves surveying all the potential investments we could hold in our portfolios, and then deciding whether we should continue to hold what we own or switch to something else. It is a big job, involving lots of data analysis. I…
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How to Calculate the Sortino Ratio in Excel
Used in post-modern portfolio theory (PMPT), the Sortino Ratio punishes only downside risk relative to some required return (usually zero). Unlike the Sharpe ratio, which punishes any type of volatility–up or down. It has some rationality to it–after all, I’ve never had someone call me mad about upside vol. The discrete form of the Sortino…
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NNET in R — A Quick Tour & Test
I spent some time today learning the nnet package in R. nnet makes building, training, and predicting with neural nets really easy. Here is a quick tour. Keep in mind, my objective here is to get a sense of the package, rather than demonstrate how it could be used. In addition, I have drawn heavily…
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Franklin J. Parker, CFA 