This is a summary of links featured on Quantocracy on Tuesday, 04/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Block Bootstrapped Monte Carlo in R [Open Source Quant]A few weeks back i wrote a post including the source code for a Monte Carlo simulation function in R. The idea was to randomly sample daily returns produced by a backtest and build a confidence interval distribution of the middle 50% and 90% of returns. Since then Brian Peterson got in touch with me asking if i would work with him in getting some form of Monte Carlo simulation functionality
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A New Analysis of Commodity Momentum Strategy [Quantpedia]Conventional momentum strategies rely on 12 months of past returns for portfolio formation. Novy-Marx (2012) shows that the intermediate return momentum strategy formed using only twelve to seven months of returns prior to portfolio formation significantly outperforms the recent return momentum formed using six to two month returns prior. This paper proposes a more granular strategy termed