Hello all,
Welcome to Quantpedia’s monthly recapitulation, written during the hot summer season, when market activity slows down, and everybody is out of the office :). We hope that our usual short newsletter will bring you a quick refreshment on your deserved vacation.
Firstly, a new Quantpedia Pro update. Last month, we hinted at the development path for Quantpedia Pro reporting, and it’s time to show the progress—the new Attribution Analysis report.
The Attribution Analysis report gives Quantpedia Pro users the ability to understand why a Model portfolio’s performance differed from the Benchmark. The report uses the industry standard Brinson & Fachler (1986) method to split active returns due to active management into Security Selection – return achieved through selecting different securities than the Benchmark, and Asset Allocation – return achieved through weighting asset classes in a portfolio differently than the Benchmark. We calculate Asset Allocation and Security Selection on a monthly granularity and then use the proprietary smoothing algorithm to translate single-period results into a multi-period setting. At the moment, we split the Benchmark and Model Portfolio into equity-like and non-equity portions, but as time progresses, we plan to gradually implement division into the more granular asset classes.
Secondly, we would like to reiterate Quantpedia’s cooperation with our partner QuantInsti, equips you with essential skills in Algorithmic Trading, providing comprehensive knowledge from industry experts and hands-on experience in backtesting and trading using institutional-grade technological tools.
QuantInsti now offers Exclusive Limited-Time Offers for Quantpedia Readers -> For the next 5 days (until July 16, 2024), take advantage of these exclusive benefits:
A/ 55% discount on two collaborative courses with Quantra by QuantInsti:
Use code QP55 during registration to avail of this discount
B/ 10% Discount (up to USD 800) on EPAT Standard Fees
Read More and Register Today! Use code QP55 for all discounts. Don’t miss out on these exclusive benefits!
And as usual, let’s also quickly recapitulate Quantpedia Premium development:
Additionally, 5 new research articles were published on the Quantpedia blog in the previous month:
How to Construct a Long-Only Multifactor Credit Portfolio?
Author: Joris Blonk and Philip Messow
Title: How to Construct a Long-Only Multifactor Credit Portfolio?
A Few Thoughts on Pragmatic Asset Allocation
Author: Radovan Vojtko
Title: A Few Thoughts on Pragmatic Asset Allocation
The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People
Authors: Carlo Zarattini and Andrew Aziz
Title: The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People
Oh My! I Bought A Wrong Stock! – Investigation of Lead-Lag Effect in Easily-Mistyped Tickers
Authors: Cyril Dujava
Title: Oh My! I Bought A Wrong Stock! – Investigation of Lead-Lag Effect in Easily-Mistyped Tickers
Quantpedia Composite Seasonality in MesoSim
Authors: Vojtko, Kiss, Pauchlyova
Title: Quantpedia Composite Seasonality in MesoSim
Yours …
Radovan Vojtko
CEO & Head of Research
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