This is a summary of links featured on Quantocracy on Friday, 04/22/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Machine Learning with R [Amazon]Machine learning, at its core, is concerned with transforming data into actionable knowledge. This makes machine learning well suited to the present-day era of big data. Given the growing prominence of a cross-platform, zero-cost statistical programming environment there has never been a better time to start applying machine learning to your data. Whether you are new to data analytics or a
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PDF: Combining Value and Momentum [Gerstein Fisher]This paper considers several popular portfolio implementation techniques that maximize exposure to value and/or momentum stocks while taking into account transaction costs. Our analysis of long-only strategies illustrates how a strategy that simultaneously incor- porates both value and momentum outperforms a strategy that combines pure-play value and momentum portfolios that are formed
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50% Returns Coming for Commodities and Emerging Markets? [Meb Faber]If history is any guide, were standing at the edge of 40%96% returns over the next two years. This isnt wishful thinking or wild speculation. Im not selling anything. Rather, Im just reporting historical gains from a market set-up thats repeating itself right now. So whats going on? Well, imagine a rubber band. If you stretch it only slightly then let it go, its not going
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Minimum volatility: what’s in a name? [Factor Investor]Mad Men watchers may recognize the name Bernbach from the quote above. Bernbach is referred to in the second season as the innovative competitor firm that challenges Sterling Cooper's orthodoxy. Bill Bernbach was the brain behind several successful campaigns, including Avis' We Try Harder and Volkswagen's Think Small. The quote couldn't be more applicable to many of the Smart
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The Moving Average Research King: Valeriy Zakamulin [Alpha Architect]Some weekend reading for trend-followers who want to question their beliefs. Valeriy Zakamulin is an animal when it comes to generating research on moving averages. Weve done a lot of the same work, but were too lazy to tabulate the results in an academic paper format. king of ma The king of moving average research. Check these papers out: Revisiting the Profitability of Market Timing with
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Research Review | 22 Apr 2016 | Risk Analysis [Capital Spectator]The Market Portfolio is NOT Efficient: Evidences, Consequences and Easy to Avoid Errors Pablo Fernandez (University of Navarra), et al. March 16, 2016 The Market Portfolio is not an efficient portfolio. There are many evidences that tell us that: the equal weighted indexes have beaten their market-value weighted indexes for many years, many easy-to-build portfolios (some smart-beta,