The topic of Smart-Beta is widely recognized, and we cover, monitor, and inform about its developments. The analyzed piece is about the importance of the correct rebalancing strategy and is kindly provided by Research Affiliates. According to a recent research article, investors should re-consider rebalancing with turnover constraint only those stocks that have the strongest signal. Prioritizing trades in stocks that are the farthest removed from the portfolio selection threshold is likely to minimize the expected need for additional trading.

The commodity momentum strategy is a crucial driving force behind Commodity Trading Advisor (CTA) strategies, as it capitalizes on the persistence of price trends in various commodity markets. By identifying and exploiting these trends, CTAs can achieve robust returns and diversification benefits. In their new paper, John Hua FAN and Xiao QIAO (February 2023) present their perspective and understanding of cross-country and cross-sector influences on the behavior of commodity momentum beyond established commodity fundamentals focusing on U.S. and China markets.

Hello all,

What have we accomplished in the last month?

– An extension of the Strategy Grading Quantpedia Pro report
– 10 new Quantpedia Premium strategies have been added to our database
– 12 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– And finally, 4+1 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Continuing our research of different factor allocations and models, we will look at the evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study reexamined the relationship between the factor and price momentum on an extensive sample of 95 years of data from 51 countries. And what are the main takeaways? Let’s find out …

Today, we will evaluate some specifics that are akin to the now second-largest market in the world – China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research by Zhiyong Li and Xiao Rao (2022) that proposes a new alternative filter, which excludes the stocks with a high estimated shell probability when constructing equity factor models.

Two leading political parties, the Democrats and Republicans, have dominated the United States politic for decades. As a consequence, the significant differences in views on major issues of partisans from different parties may influence their economic expectations. Recent studies found that partisan politics significantly impacts household beliefs and economic decision-making. But do political beliefs matter to institutional investors?