Today, we will venture a little into the fundamental analysis corner, and we will give you a glimpse of an intriguing paper (Hillenbrand and McCarthy, 2024) that discusses the advantages of using ‘Street’ earnings over traditional GAAP earnings. The paper suggests that ‘Street’ earnings provide better valuation estimates and improved financial analysis. Is this a way how to improve the performance of the struggling equity value factor?

Uninformed long-term investors provide an easy target for short-term traders, and they often unscrupulously take advantage of them. But ETF investors with long investment time horizons can mitigate some of the front-running costs if they take transactional costs into account to calculate whether it is economically optimal to participate in these “market games” (exchange and broker fees + classical opportunity costs of actively participating in strategy execution). Today, we will turn our attention to the paper “ETF Rebalancing, Hedge Fund Trades, and Capital Market” from Wang, Yao, and Yelekenova to better understand complex relationship between ETFs (their investors) and hedge funds.

Cryptocurrencies are no longer just a whim of computer nerds, they are part of the mainstream finance and often accepted part of fixed allocation for an overall diversified portfolio. We will not try to predict, whether they are here to stay in the future or will be subject to failure. This is a topic that has been touched on infinitely. Our interest caught up a purely practical paper by Austin Adams, Markus Ibert, and Gordon Liao, in which the authors apply classic macro-finance principles to identify the impact of monetary policy and risk sentiment in conventional markets on crypto asset prices. So let’s explore their results …

Momentum is one of the most researched market anomalies, well-known and widely accepted in both public and academic sectors. Its concept is straightforward: buy an asset when its price rises and sell it when it falls. The goal is to take advantage of these trends to achieve better returns than a simple buy-and-hold strategy. Unfortunately, over the last decades, we have been observers of the diminishing returns of the momentum strategies in all asset classes. In this article, we will present an intra-market correlation filter that can help significantly improve commodity momentum performance and return this strategy once again into the spotlight.

Over the past few years, significant shifts in the financial landscape have reshaped the dynamics of global markets, including the cryptocurrency sector. Events such as the ongoing war in Ukraine, rising inflation rates, the soft landing scenario in the US economy, and the recent Bitcoin halving have all profoundly impacted market sentiment and price movements. Given these developments, we decided to revisit and reassess trading strategies, specifically Trend-following and Mean-reversion in Bitcoin published in 2022, which utilized data from November 2015 to February 2022. This new study explores how these strategies would have performed from November 2015 to August 2024, taking recent changes into account. The study also examines market changes between February 2022 and August 2024, highlighting developments since previous research. Additionally, it evaluates the influence of seasonality on Bitcoin’s price action, similar to our previous article – The Seasonality of Bitcoin. By analyzing these factors, we aim to provide deeper insights into the evolving behavior of the world’s leading cryptocurrency and guide investors through the complexities of today’s market environment.

Hello all,

What have we accomplished in the last month?

– An extension of the Pragmatic Asset Allocation Report
– Quantpedia’s Dashboard
– 11 new Quantpedia Premium strategies have been added to our database
– 9 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 7 new backtests written in QuantConnect code
– 4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month