├── .Rbuildignore ├── .gitignore ├── .travis.yml ├── DESCRIPTION ├── ExpectedReturns.Rproj ├── NAMESPACE ├── R ├── DHS.monthly.R ├── FF3.monthly.R ├── FF4.monthly.R ├── FF5.monthly.R ├── FF6.monthly.R ├── GetFactors.R ├── MSFT.R ├── MSFT_bookValue.R ├── MSFT_cashFlowYield.R ├── MSFT_earningsYieldPIT.R ├── MSFT_earningsYieldRes.R ├── MSFT_epsPIT.R ├── MSFT_epsRes.R ├── MSFT_liquidity.R ├── MSFT_marketCap.R ├── MSFT_momentumSimp.R ├── MSFT_pbRatio.R ├── MSFT_pePIT.R ├── MSFT_peRes.R ├── MSFT_volatility.R ├── MSFT_wso.R ├── MomSignal.R ├── Q-Factors.R ├── SY.monthly.R ├── SetFactorModel.R ├── SignalStats.R ├── cashFlowYield.R ├── earnings_yield.R ├── factor_framework.R ├── fetch_mcap_data.R ├── fetch_price_data.R ├── fetch_wso_data.R ├── market_cap.R ├── pb_ratio.R └── pe_ratio.R ├── README.md ├── data ├── DHS3.monthly.RData ├── FF3.monthly.RData ├── FF4.monthly.RData ├── FF5.monthly.RData ├── FF6.monthly.RData ├── MSFT.RData ├── MSFT_BookValue.RData ├── MSFT_cashFlowYield.RData ├── MSFT_earningsYieldPIT.RData ├── MSFT_earningsYieldRes.RData ├── MSFT_eps.RData ├── MSFT_epsPIT.RData ├── MSFT_epsRes.RData ├── MSFT_liquidity.RData ├── MSFT_marketCap.RData ├── MSFT_momentumSimp.RData ├── MSFT_pbRatio.RData ├── MSFT_pePIT.RData ├── MSFT_peRes.RData ├── MSFT_volatility.RData ├── MSFT_wso.RData ├── Q4.monthly.RData ├── Q5.monthly.RData ├── SY4.monthly.RData └── data_ml.RData ├── inst ├── parsers │ ├── CFP.R │ ├── COMLR.R │ ├── CRP.R │ ├── CRSP-wrds.R │ ├── Commodities-for-the-Long-Run.R │ ├── DHS-2020.R │ ├── Devil-in-HML-Details.R │ ├── FFdownloads_factors_package.R │ ├── FamaFrench-Download.R │ ├── HouXueZhang-Q-Factors.R │ ├── Liquidity-Data-Pastor.R │ ├── MSCI-ACWI.R │ ├── MSCI-WI.R │ ├── MSFT.R │ ├── MSFT_FCFYield.R │ ├── MSFT_Liquidity.R │ ├── MSFT_bookValue.R │ ├── MSFT_cashFlowYield.R │ ├── MSFT_earningsYieldPIT.R │ ├── MSFT_earningsYieldRes.R │ ├── MSFT_epsPIT.R │ ├── MSFT_epsRes.R │ ├── MSFT_marketCap.R │ ├── MSFT_momentumSimp.R │ ├── MSFT_pbRatio.R │ ├── MSFT_pePIT.R │ ├── MSFT_peRes.R │ ├── MSFT_volatility.R │ ├── MSFT_wso.R │ ├── SY-2017.R │ ├── Shiller_Alternative_TRCAPE.R │ ├── Shiller_CAPE.R │ ├── Shiller_Home_Prices.R │ ├── TED-Spread.R │ ├── TSM.R │ ├── VIX-CBOE.R │ ├── VIX-FRED.R │ ├── VME-Factors-orig.R │ ├── VME-Factors.R │ ├── VME-Portfolios.R │ ├── Value--Devil-in-HMLs-Details.R │ └── wrds-Open-source-cross-sectional-data.R └── tinytest │ ├── test_fitFfm.R │ ├── test_market_cap.R │ └── test_pe_ratio.R ├── man ├── DHS3.monthly.Rd ├── ExpectedReturns-package.Rd ├── FF3.monthly.Rd ├── FF4.monthly.Rd ├── FF5.monthly.Rd ├── FF6.monthly.Rd ├── GetFactors.Rd ├── MomSignal.Rd ├── Q4.monthly.Rd ├── Q5.monthly.Rd ├── SY4.monthly.Rd ├── SetFactorModel.Rd └── SignalStats.Rd ├── sandbox ├── .placeholder ├── Fundamental-Factor-Models-Talk-R-finance2017.R ├── GSOC-2021.Rmd ├── GSoC-2021-ideas.Rmd ├── Pipeline.Rmd ├── Pipeline.nb.html ├── al │ ├── AQR_AMOMX_largeCapMomentum.R │ ├── QK_marketCap.R │ ├── QK_universe.R │ ├── dev_log_al.md │ ├── fetch_price_data_WITHFROMTO.R │ ├── qk100_returnGenerator.R │ └── qk100_weightedPortfolio.R ├── bryan_kelly.R ├── data │ ├── .~lock.historyIndex.xls# │ ├── AQR_commodity_for_the_long_run_OG.RData │ ├── FF6.monthly.RData │ ├── MSCI_ACWI.xls │ ├── MSCI_WI.xls │ ├── data_ml.RData │ └── historyIndex.xls ├── harry │ ├── KNN.R │ ├── MLutils.R │ ├── TSCV │ │ ├── RollingWindowCV.R │ │ ├── TSCV.Rproj │ │ ├── blocked_splits.R │ │ ├── expanding_window_splits.R │ │ ├── monte_carlo_splits.R │ │ ├── purged_kfold_splits.R │ │ ├── rolling_window_splits.R │ │ └── stratified_block_splits.R │ ├── TSML.R │ ├── benchmark.R │ ├── benchmark_strategy.R │ ├── build_strategy.R │ ├── calculate_loss.R │ ├── combinatorial_purged.R │ ├── cv_score.R │ ├── cvglmnet.R │ ├── developer_log_harry.md │ ├── evaluation.R │ ├── featureselection.R │ ├── final_report_harry.md │ ├── lda.R │ ├── naiveBayes.R │ ├── nnet.R │ ├── outliers.R │ ├── plot_strategy.R │ ├── portfolio_metrics.R │ ├── purged_kfold.R │ ├── qda.R │ ├── ranger.R │ ├── rescale.R │ ├── rpart.R │ ├── rsq.R │ ├── sampledata.R │ ├── seq_split.R │ ├── simpleML.Rmd │ ├── svm.R │ ├── table1-replicationVME.R │ ├── train_predict.R │ ├── train_test_split.R │ ├── train_validate_predict.R │ ├── triple_barrier.R │ └── walkforward_kfold.R └── man-roxygen │ ├── construction-factor-dhs.R │ ├── construction-factor-ff3.R │ ├── construction-factor-ff5.R │ ├── construction-factor-q.R │ ├── construction-factor-sy.R │ ├── factor-cma.R │ ├── factor-eg.R │ ├── factor-fin.R │ ├── factor-hml.R │ ├── factor-ia.R │ ├── factor-me.R │ ├── factor-mgmt.R │ ├── factor-mktrf.R │ ├── factor-mom.R │ ├── factor-pead.R │ ├── factor-perf.R │ ├── factor-rmw.R │ ├── factor-roe.R │ ├── factor-smb-sy.R │ ├── factor-smb.R │ ├── general-data-providers.R │ ├── general-french-copyright.R │ ├── general-missing-data.R │ ├── portfolios-6-size-bm.R │ ├── portfolios-6-size-inv.R │ ├── portfolios-6-size-op.R │ ├── variable-be.R │ ├── variable-bm.R │ ├── variable-ia.R │ ├── variable-inv.R │ ├── variable-me.R │ ├── variable-op.R │ ├── variable-rf.R │ └── variable-roe.R ├── tests └── tinytest.R └── vignettes ├── Commodities-long-run.Rmd ├── Improving-time-series-momentum.Rmd ├── Time-series-momentum.Rmd ├── Value--Devil-in-HMLs-Details.Rmd ├── Value-momentum-everywhere.Rmd ├── Which-factors.Rmd ├── expected-returns-replications.Rmd └── references.bib /.Rbuildignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JustinMShea/ExpectedReturns/HEAD/.Rbuildignore -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/JustinMShea/ExpectedReturns/HEAD/.gitignore -------------------------------------------------------------------------------- /.travis.yml: -------------------------------------------------------------------------------- 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