Files in JustinMShea/ExpectedReturns

Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

.Rbuildignore

.gitignore

.travis.yml

DESCRIPTION

ExpectedReturns.Rproj

NAMESPACE

R/DHS.monthly.R R/FF3.monthly.R R/FF4.monthly.R R/FF5.monthly.R R/FF6.monthly.R R/GetFactors.R R/MomSignal.R R/Q-Factors.R R/SY.monthly.R R/SetFactorModel.R R/SignalStats.R README.md

data/DHS3.monthly.RData

data/FF3.monthly.RData

data/FF4.monthly.RData

data/FF5.monthly.RData

data/FF6.monthly.RData

data/Q4.monthly.RData

data/Q5.monthly.RData

data/SY4.monthly.RData

inst/parsers/CFP.R inst/parsers/COMLR.R inst/parsers/CRP.R inst/parsers/CRSP-wrds.R inst/parsers/Commodities-for-the-Long-Run.R inst/parsers/DHS-2020.R inst/parsers/Devil-in-HML-Details.R inst/parsers/FFdownloads_factors_package.R inst/parsers/FamaFrench-Download.R inst/parsers/HouXueZhang-Q-Factors.R inst/parsers/Liquidity-Data-Pastor.R inst/parsers/MSCI-ACWI.R inst/parsers/MSCI-WI.R inst/parsers/SY-2017.R inst/parsers/Shiller_Alternative_TRCAPE.R inst/parsers/Shiller_CAPE.R inst/parsers/Shiller_Home_Prices.R inst/parsers/TED-Spread.R inst/parsers/TSM.R inst/parsers/VIX-CBOE.R inst/parsers/VIX-FRED.R inst/parsers/VME-Factors-orig.R inst/parsers/VME-Factors.R inst/parsers/VME-Portfolios.R inst/parsers/Value--Devil-in-HMLs-Details.R inst/parsers/wrds-Open-source-cross-sectional-data.R inst/tinytest/test_fitFfm.R man/DHS3.monthly.Rd man/ExpectedReturns-package.Rd man/FF3.monthly.Rd man/FF4.monthly.Rd man/FF5.monthly.Rd man/FF6.monthly.Rd man/GetFactors.Rd man/MomSignal.Rd man/Q4.monthly.Rd man/Q5.monthly.Rd man/SY4.monthly.Rd man/SetFactorModel.Rd man/SignalStats.Rd

sandbox/.placeholder

sandbox/Fundamental-Factor-Models-Talk-R-finance2017.R sandbox/GSOC-2021.Rmd sandbox/GSoC-2021-ideas.Rmd sandbox/bryan_kelly.R

sandbox/data/.~lock.historyIndex.xls#

sandbox/data/MSCI_ACWI.xls

sandbox/data/MSCI_WI.xls

sandbox/data/historyIndex.xls

sandbox/man-roxygen/construction-factor-dhs.R sandbox/man-roxygen/construction-factor-ff3.R sandbox/man-roxygen/construction-factor-ff5.R sandbox/man-roxygen/construction-factor-q.R sandbox/man-roxygen/construction-factor-sy.R sandbox/man-roxygen/factor-cma.R sandbox/man-roxygen/factor-eg.R sandbox/man-roxygen/factor-fin.R sandbox/man-roxygen/factor-hml.R sandbox/man-roxygen/factor-ia.R sandbox/man-roxygen/factor-me.R sandbox/man-roxygen/factor-mgmt.R sandbox/man-roxygen/factor-mktrf.R sandbox/man-roxygen/factor-mom.R sandbox/man-roxygen/factor-pead.R sandbox/man-roxygen/factor-perf.R sandbox/man-roxygen/factor-rmw.R sandbox/man-roxygen/factor-roe.R sandbox/man-roxygen/factor-smb-sy.R sandbox/man-roxygen/factor-smb.R sandbox/man-roxygen/general-data-providers.R sandbox/man-roxygen/general-french-copyright.R sandbox/man-roxygen/general-missing-data.R sandbox/man-roxygen/portfolios-6-size-bm.R sandbox/man-roxygen/portfolios-6-size-inv.R sandbox/man-roxygen/portfolios-6-size-op.R sandbox/man-roxygen/variable-be.R sandbox/man-roxygen/variable-bm.R sandbox/man-roxygen/variable-ia.R sandbox/man-roxygen/variable-inv.R sandbox/man-roxygen/variable-me.R sandbox/man-roxygen/variable-op.R sandbox/man-roxygen/variable-rf.R sandbox/man-roxygen/variable-roe.R sandbox/table1-replicationVME.R tests/tinytest.R vignettes/Commodities-long-run.Rmd vignettes/Improving-time-series-momentum.Rmd vignettes/Time-series-momentum.Rmd vignettes/Value--Devil-in-HMLs-Details.Rmd vignettes/Value-momentum-everywhere.Rmd vignettes/Which-factors.Rmd vignettes/expected-returns-replications.Rmd

vignettes/references.bib

JustinMShea/ExpectedReturns documentation built on Sept. 9, 2023, 9:41 p.m.