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Re: Best Book To Learn R Programming

Here is a link to a pdf on Monte Carlo methods:

http://www.stat.ufl.edu/archived/casell ... C-UseR.pdf

gatorman
by gatorman
Sun Jan 25, 2015 6:22 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

Thanks for posting the links Gatorman. Back in the day, I learnt R with Robert Gentleman and Ross Ihaka as part of my degree. They were the original developers of R. Brings back a lot of memories, perhaps I'll have to dig into the books you posted :sharebeer You are certainly welcome. It must have ...
by gatorman
Sun Jan 25, 2015 6:20 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

Portfolio Analysis in R http://www.capitalspectator.com/portfolio-analysis-in-r-a-6040-us-stockbond-portfolio/ More info on the quantmod package here: http://www.quantmod.com/examples/intro/ but the documentation on CRAN is a lot better. I also found this to be helpful: http://statmath.wu.ac.at/~ho...
by gatorman
Sat Jan 24, 2015 6:00 am
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

Reading that post is inspiring me to start watching the coursera videos. The libraries available for R look interesting. I'd still recommend learning python first, absent a special reason, for most people. I'd recommend the Learn R in a Day as a quick way to get into it. There's also another book, ...
by gatorman
Fri Jan 23, 2015 6:49 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

richard wrote:Portfolio Analysis in R
http://www.capitalspectator.com/portfol ... portfolio/


Great post! Thank you!
gatorman
by gatorman
Thu Jan 22, 2015 3:24 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

jstat wrote:"The R Inferno" gives some good insights into R traps and pitfalls. http://www.burns-stat.com/documents/books/the-r-inferno/

Thanks! Great book, I read the first couple chapters and saved a copy to read the rest later.
gatorman
by gatorman
Sun Jan 18, 2015 5:16 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

Thanks for all the replies. R is the language I want to learn at this time, and I have good reasons which I don't want to go into on this forum. I appreciate the discussion of other languages, and I may pick some of them up down the road, but my current emphasis is on learning R. Victoria (and anyon...
by gatorman
Sun Jan 18, 2015 4:02 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Best Book To Learn R Programming

market timer wrote:Have you looked at Coursera? Johns Hopkins offers a course in R, along with a data science specialization track that is based on R.


Thanks for that suggestion! I didn't know that anything like that was even available.
gatorman
by gatorman
Sun Jan 18, 2015 4:25 am
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Best Book To Learn R Programming

I'm learning to program in R. Any ideas as to the best book to use to learn the language? I'm currently working through "learn R In a Day" which is a nice introductory book, but obviously won't get me to a high level of proficiency. Many years ago I was pretty good at programming in Fortra...
by gatorman
Sat Jan 17, 2015 10:55 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 31
Views: 2710

Re: Tobias Moskowitz on value and momentum

3) How could one implement a value/momentum strategy in bonds? I don't think it's possible with current ETFs. It isn't too difficult if you use time series momentum, as described in this paper: https://www.aqr.com/library/journal-articles/time-series-momentum instead of cross-sectional momentum. Ti...
by gatorman
Sat Jan 17, 2015 8:17 pm
 
Forum: Investing - Theory, News & General
Topic: Tobias Moskowitz on value and momentum
Replies: 19
Views: 2075

Re: Any Momentum Investors Out There?

The authors of the paper cited below studied the Singapore stock market and found that a 6 month look back period combined with a 1 month holding period yielded the highest returns of all the combinations they studied. Here is the link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1350193 gato...
by gatorman
Mon Jan 12, 2015 6:54 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Anti- Market Timers still seem to endorse market-timing?

So why should someone who can trade without transaction fees not overweight the recent losers? A lot of folks would give a simple answer: Momentum . . . The trick is to discover when Momentum changes. My reading indicates that momentum does reverse, but it takes quite awhile for that to happen. Tod...
by gatorman
Sun Jan 11, 2015 7:33 pm
 
Forum: Investing - Theory, News & General
Topic: Anti- Market Timers still seem to endorse market-timing??
Replies: 22
Views: 2723

Re: a good etf total return website

Thanks, interesting site. I like the correlation calculator.
gatorman
by gatorman
Thu Jan 08, 2015 8:00 pm
 
Forum: Investing - Theory, News & General
Topic: a good etf total return website
Replies: 3
Views: 754

Re: Any Momentum Investors Out There?

Here is a link to a blog post in which the author claims a 70% value/30% momentum portfolio yielded average returns in excess of 18% per annum. Other combinations tested were inferior to the 70/30 value/momentum portfolio. There aren't really enough details to tell whether the test was valid, but it...
by gatorman
Mon Jan 05, 2015 8:30 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

Here is a paper presentation. The author makes the interesting claim that whether one should select a value or a momentum strategy depends on one's time horizon. According to the authors, investors with a long time horizon should prefer value strategies whereas investors with a short time horizon sh...
by gatorman
Sun Jan 04, 2015 6:59 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Bogleheads 2015 Hedge Fund Contest

Name: Quantitative Unified Asset Control Kondratieffians (QUACK)

Long:
PTRY- The Pantry, Inc.
ALK- Alaska Air Group, Inc.
UEIC- Universal Electronics
Short:
SD- Sandridge Energy
ACI- Arch Coal Inc.
AKS -AK Steel Holdings
by gatorman
Thu Jan 01, 2015 9:26 pm
 
Forum: Investing - Theory, News & General
Topic: Bogleheads 2015 Hedge Fund Contest
Replies: 112
Views: 9737

Re: Any Momentum Investors Out There?

Morningstar apparently has a momentum strategy for sale. More info here:

http://corporate1.morningstar.com/WorkA ... x?id=10517

gatorman
by gatorman
Tue Dec 30, 2014 12:13 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

Here's an example of a momentum portfolio implementation:

http://anthonyfjgarner.net/2014/10/24/t ... llocation/

I'm not recommending this, just posting it as an example of one way the strategy could be implemented.
gatorman
by gatorman
Sun Dec 28, 2014 9:54 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Goodish frozen supermarket chicken nuggets?

I know I am going to have scorn heaped on my head for even asking, and I wouldn't go so far as to say that Chicken McNuggets and other fast-food chain chicken nuggets truly rise to the level of good . Yet the frozen chicken nuggets from supermarkets, from the familiar brands like Perdue and Tyson's...
by gatorman
Sat Dec 27, 2014 11:56 am
 
Forum: Personal Consumer Issues
Topic: Goodish frozen supermarket chicken nuggets?
Replies: 23
Views: 1978

Re: Downloading historical ETF data to Openoffice Calc

The Google spreadsheet works great, but it still involves a couple of extra steps, so if anyone has an easy way to bring the data in directly to my Calc spreadsheet from an internet data source, without going through a bunch of steps, I'd appreciate an explanation of how to do it.
Thanks,
gatorman
by gatorman
Sat Dec 27, 2014 9:09 am
 
Forum: Investing - Theory, News & General
Topic: Downloading historical ETF data to Openoffice Calc
Replies: 9
Views: 871

Re: Downloading historical ETF data to Openoffice Calc

Have you tried creating a google spreadsheet and using the GoogleFinance() function? It handles historical data. https://support.google.com/docs/answer/3093281?hl=en Thanks for the idea. I tried it and was able to update the closing prices for all my etfs in just a couple of minutes, so that part w...
by gatorman
Fri Dec 26, 2014 10:20 pm
 
Forum: Investing - Theory, News & General
Topic: Downloading historical ETF data to Openoffice Calc
Replies: 9
Views: 871

Re: Downloading historical ETF data to Openoffice Calc

HueyLD wrote:What's so cumbersome about it?
. . .
The entire process took less than one minute.


I have roughly 100 ETFs I'm downloading daily closing data once a week for a study I'm doing.
gatorman
by gatorman
Fri Dec 26, 2014 3:30 pm
 
Forum: Investing - Theory, News & General
Topic: Downloading historical ETF data to Openoffice Calc
Replies: 9
Views: 871

Downloading historical ETF data to Openoffice Calc

I'm trying to automate the download of historical etf data from Yahoo Finance to a Calc spreadsheet. As an example, I'd like to download the past year's closing price of VTI to my spreadsheet, along with the dates associated with each closing price and be able to easily update it on a periodic basis...
by gatorman
Fri Dec 26, 2014 2:09 pm
 
Forum: Investing - Theory, News & General
Topic: Downloading historical ETF data to Openoffice Calc
Replies: 9
Views: 871

Re: Any Momentum Investors Out There?

gatorman wrote: Postby gatorman » Thu Dec 25, 2014 9:14 am AQR's take on the case for momentum and how to setup momentum portfolios: http://www.aqrindex.com/resources/docs/ ... mentum.pdf This article made a compelling case for momentum investing and indicated that AQR believed its index, as repres...
by gatorman
Thu Dec 25, 2014 12:47 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

AQR's take on the case for momentum and how to setup momentum portfolios:

http://www.aqrindex.com/resources/docs/ ... mentum.pdf

gatorman
by gatorman
Thu Dec 25, 2014 8:14 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Advice re cashing in life insurance policy in estate

Have you contacted a viatical settlement company (or two) to see how much they would give you for the policy? It might be worth considerably more than $300K. Have you considered taking out a policy loan and using the loan proceeds to pay the premiums? You might be able to purchase a life annuity on ...
by gatorman
Wed Dec 24, 2014 11:02 pm
 
Forum: Personal Finance (Not Investing)
Topic: Advice re cashing in life insurance policy in estate
Replies: 25
Views: 1276

Re: Paying for a Copy of Annunity Contract Language?

What a bunch of idiots! As I write this there have been 836 page views of this thread. That's 836 potential customers who may be thinking about the company's customer-no-service policy, and who may go elsewhere when it comes time for them to purchase an annuity. Just makes me wonder where they get t...
by gatorman
Wed Dec 24, 2014 2:24 pm
 
Forum: Investing - Theory, News & General
Topic: Paying for a Copy of Annunity Contract Language?
Replies: 14
Views: 1828

Re: Momentum and Market Timing

Momentum strategies employ trend following techniques. They usually are not good at picking up trend changes, so don't do well near market tops or bottoms when the trend changes. This is discussed in detail in the you tube video of Kent Daniel of Columbia I posted on page 1 of the Any Momentum Inve...
by gatorman
Mon Dec 22, 2014 4:44 am
 
Forum: Investing - Theory, News & General
Topic: Momentum and Market Timing
Replies: 14
Views: 1321

Re: Momentum and Market Timing

Momentum strategies employ trend following techniques. They usually are not good at picking up trend changes, so don't do well near market tops or bottoms when the trend changes. This is discussed in detail in the you tube video of Kent Daniel of Columbia I posted on page 1 of the Any Momentum Inves...
by gatorman
Sun Dec 21, 2014 6:02 pm
 
Forum: Investing - Theory, News & General
Topic: Momentum and Market Timing
Replies: 14
Views: 1321

Re: Any Momentum Investors Out There?

Gatorman, those are all good ideas, but exactly how do you intend to implement those? I'm still on the fence, so I haven't even decided if I'm going to implement a momentum strategy. If I do, it would most likely be in conjunction with a small value etf or fund to try and capture at least some of t...
by gatorman
Sat Dec 20, 2014 4:55 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

In this thread: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=122497&p=2300064#p2300064 the OP links to this article: http://seekingalpha.com/article/2715325-rebalancing-of-fixed-asset-allocation-portfolios-how-often Wherein the author makes a compelling claim that return can be dra...
by gatorman
Sat Dec 20, 2014 5:32 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

just a side question for you mo' guys, what broker do you use for your trades? thanks for all your posts, don I'm currently with Scottrade, but am not currently including momentum as a planned aspect of my allocation strategy. If I decide to implement a momentum strategy, I'm thinking of moving my ...
by gatorman
Fri Dec 19, 2014 10:56 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

The charting of the MOM factor by Research Affiliates in gatorman's prior post ([url]https://www.researchaffiliates.com/Our% ... actor.aspx[/url] is quite interesting to me. It shows that MOM factor was significantly positive every year for 40 years, 1974 - 2004, more positive than SmB or any other...
by gatorman
Fri Dec 19, 2014 10:50 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

In this thread: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=122497&p=2300064#p2300064 the OP links to this article: http://seekingalpha.com/article/2715325-rebalancing-of-fixed-asset-allocation-portfolios-how-often Wherein the author makes a compelling claim that return can be dra...
by gatorman
Fri Dec 19, 2014 10:39 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

It is extremely dangerous to run a trading fund that is based on a publically available TRADING factor index. E.g., the MSCI USA Momentum factor is published and disseminated to hedge funds. If you have a mutual fund that basically follows this strategy, then you are subject to legal front-running ...
by gatorman
Thu Dec 18, 2014 8:40 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: We made our own Will

A will is one of the most technical of all legal documents to draft. It does not take effect until after you are dead, which means it can not be changed if a mistake is found after you are gone. So, it is not a good idea to do it yourself, it is a very bad idea. You should consult an experienced at...
by gatorman
Thu Dec 18, 2014 5:33 pm
 
Forum: Personal Finance (Not Investing)
Topic: We made our own Will
Replies: 52
Views: 3741

Re: We made our own Will

A will is one of the most technical of all legal documents to draft. It does not take effect until after you are dead, which means it can not be changed if a mistake is found after you are gone. So, it is not a good idea to do it yourself, it is a very bad idea. You should consult an experienced att...
by gatorman
Thu Dec 18, 2014 3:06 pm
 
Forum: Personal Finance (Not Investing)
Topic: We made our own Will
Replies: 52
Views: 3741

Re: Your Favorite Cookbook?

Not sure I should post this. I don't want you hurting yourselves. Promise me you will act responsibly. Ok, here it is: http://www.foodnetwork.com/chefs/alton-brown/alton-browns-top-recipes.html?affiliate=blocker&omnisource=SEM&c1=Outbrain_Paid&c2=Outbrain&c4=Alton-Browns-Top-Recipes ...
by gatorman
Thu Dec 18, 2014 2:30 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 68
Views: 5664

Re: Your Favorite Cookbook?

No cookbook here. I was fortunate enough to have a little old Italian grandmother (la mia nonna!) who gave me lessons. Of course, I had to guess at the ingredient amounts when I was writing down her "recipes".....she used no inanimate measuring devices whatsoever. That's the way I cook mo...
by gatorman
Wed Dec 17, 2014 10:27 am
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 68
Views: 5664

Re: Any Momentum Investors Out There?

This is interesting . These researchers claim momentum profits accrue overnight, as opposed to the profits attributable to the other anomalies which occur interday. Make money while you sleep?
Here is a link:
https://www2.bc.edu/~pontiff/Conference ... 141201.pdf

gatorman
by gatorman
Mon Dec 15, 2014 9:45 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Your Favorite Cookbook?

So, I've finished looking through the Nero Wolfe Cookbook. There are probably 15-20 recipes I'd like to try. Most of the desserts look good. I'm especially interested in one just because I like the name, Blueberry Grunt. Many of the meat dishes reflect a cooking style no longer popular, lots of sauc...
by gatorman
Sun Dec 14, 2014 11:54 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 68
Views: 5664

Re: What is the best meal you've had at a restaurant?

We had the good fortune to attend the annual wine club dinner at Tahbilk winery in Central Victoria, AU. Great wines with every course, terrific food, including the best lamb I've ever had. I still remember the cheese tray at the end, best cheese I've ever had. Just superb from beginning to end. gat...
by gatorman
Sun Dec 14, 2014 9:22 pm
 
Forum: Personal Consumer Issues
Topic: What is the best meal you've had at a restaurant?
Replies: 88
Views: 6939

Re: Your Favorite Cookbook?

I use very few cookbooks these days, but the ones I pull are Becky Crocker which I use for the meatloaf recipe and Famous Dave's for all things good in the summer. The Pioneer Woman puts out some good stuff and I typically pull her recipes off of the web. In fact, when I am cooking something and am...
by gatorman
Sun Dec 14, 2014 7:33 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 68
Views: 5664

Re: Your Favorite Cookbook?

Big Green Egg Cookbook. Started me on natural charcoal grill cooking and smoking several years ago, never looked back. Now get most of my recipes for charcoal grill online but still use this cookbook as basic source. Now have more Dutch Oven pots than can use, need to start giving some away. But we...
by gatorman
Sun Dec 14, 2014 5:37 pm
 
Forum: Personal Consumer Issues
Topic: Your Favorite Cookbook?
Replies: 68
Views: 5664

Re: Taste testing wine at home

Host a wine tasting party. Have everyone bring a bottle and share them around. Let everyone rate them and see what comes out on top. Or, go find a wine bar with a good selection and see if they offer tasting samples. Sometimes they'll offer a deal like six different samples of Merlot for $10. I'd ca...
by gatorman
Sun Dec 14, 2014 5:28 pm
 
Forum: Personal Consumer Issues
Topic: Taste testing wine at home
Replies: 23
Views: 1725

Re: Any Momentum Investors Out There?

Most studies that try to find optimal momentum horizons are probably accurate, but only historically so. The key aspect of momentum horizon is that such a horizon is variable, and in general is a function of flow of funds. If some research came out, and the said research advocated for monthly rebal...
by gatorman
Sun Dec 14, 2014 5:16 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

Most studies that try to find optimal momentum horizons are probably accurate, but only historically so. The key aspect of momentum horizon is that such a horizon is variable, and in general is a function of flow of funds. If some research came out, and the said research advocated for monthly rebal...
by gatorman
Sun Dec 14, 2014 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

TradingPlaces wrote:Any boggle head investor who is not rebalancing daily is a momentum investor. Any other answer, and you are not being truthful.


Trying to get a rise outta them?
BTW "boggle" should just have one g.
gatorman
by gatorman
Sun Dec 14, 2014 4:29 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617

Re: Any Momentum Investors Out There?

These researchers simulated a momentum approach and found in regard to optimum lookback periods: The highest Sharpe ratio of momentum is achieved using a window of four months, and is 40%. Moreover, windows from one to 11 months yield Sharpe ratios larger than 30%, the ratio of the market index. The...
by gatorman
Sun Dec 14, 2014 4:17 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 116
Views: 13617
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