In JustinMShea/ExpectedReturns: Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

knitr::opts_chunk$set(echo = TRUE)

Effectively create an open source Barra.

• Replicate all factors from q-factor testing portfolios http://global-q.org/testingportfolios.html

• Port all stata code to R code from Open Source Cross Sectional Asset Pricing https://github.com/OpenSourceAP/CrossSection

• Replicate all Factors from …and the Cross-Section of Expected Returns "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2249314

• Replicate factors from Doug Martin's The fundamental law of active management: Redux https://ideas.repec.org/a/eee/empfin/v43y2017icp91-114.html

• Replicate Buffett's Alpha paper.

• https://www.tandfonline.com/doi/pdf/10.2469/faj.v74.n4.3?needAccess=true
• https://www.nber.org/papers/w19681.pdf

JustinMShea/ExpectedReturns documentation built on June 28, 2024, 5:37 p.m.