This is a summary of links featured on Quantocracy on Thursday, 05/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Some Impressions from R Finance 2016 [Revolutions]R / Finance 2016 lived up to expectations and provided the quality networking and learning experience that longtime participants have come to value. Eight years is a long time for a conference to keep its sparkle and pizzazz. But, the conference organizers and the UIC have managed to create a vibe that keeps people coming back. The fact that invited keynote speakers (e.g. Bernhard Pfaff 2012,
Updated Dual Momentum Test [Scott’s Investments]I frequently get asked for updated tests on various strategies. Using Portfolio123 I ran a backtest on a Dual Momentum strategy from 1/1/2007 5/25/2016. The strategy is updated on Scotts Investments monthly, the most recent update is here. The strategy invests equally in one ETF from each of four baskets of ETFs/cash: Equities VTI, EFA, or Cash Credit Risk CIU, HYG, or Cash Real