This is a summary of links featured on Quantocracy on Sunday, 10/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diversification Key To Factor Investing [Larry Swedroe]As my co-author, Andrew Berkin, and I explain in our forthcoming book, Your Complete Guide to Factor-Based Investing, no matter how strong the evidence regarding the persistence and pervasiveness of an investment factors return premium, theres some chance that the factor will experience long periods of underperformance. You can see the evidence of this in the table below, which shows
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The Walk-Forward Loop [Quintuitive]The previous post described the high level architecture of a walk-forward forecasting for time series data. As a hands-on implementation lets apply a simple QDA classifier on the series discussed previously. First things first, most of the relevant code is available on GitHub. Although in general I try to publish run-able code, this is not a self-contained executable script. There are