This is a summary of links featured on Quantocracy on Thursday, 07/21/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Quantitative Strategy Development Overview Brian Peterson [Open Source Quant]I have had the pleasure of getting to know and work with Brian Peterson of late building out the blotter::mcsim function in the blotter package. I will be writing about this function soon and where it is headed, but in this post i wanted to share a presentation Brian gave the CapeR User Group last week on Developing and Backtesting Systematic Trading Strategies with an application in R, and in
Risk Managing Risk Management [Flirting with Models]Well, despite some recent market turmoil from the Brexit, the S&P 500 is still hovering near its high from last year on a price basis. If we include the reinvestment of dividends, then we have already seen new highs in April, May, and June of this year. As we wrote about previously, a bear market might be the only way to boost the expected returns on U.S. equities. Investor who thought they
Stale Performance Chasing: Beware of Horizon Effects [Alpha Architect]Investors talk a big game when describing how they evaluate mutual funds. They say they consider things like the objectives of the fund, its size, and the longevity of its managers. But theres one factor that looms larger than all the others: Performance. We wrote here about how investors tend to chase the performance of funds, allocating to funds that have done well, and redeeming from