Hello all,

– An updated Seasonality Analysis report
– 10% discount code for those who help us and fill out our survey
– an invitation to Quantpedia Awards 2025 competition with a $25.000 prize pool
– 9 new Quantpedia Premium strategies have been added to our database
– 8 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
– 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Last year, we promised our readers that the Quantpedia Awards would be back! And now it’s again time to unveil what we have prepared for you.

For a quick recapitulation (for those who were not around in 2024, when we started this activity for the first time), our Quantpedia Awards 2025 aims to be the premier competition for all quantitative trading researchers. If you have an idea in your head about systematic/quantitative trading or investment strategy, and you would like to gain visibility on the professional scene, then submit your research paper, and you can compete for an attractive list of prizes. All info about the prizes, submission process, expert committee, and our partners are described in detail on our dedicated subpage: Quantpedia Awards 2025. However, we will also give you a quick overview in this blog post.

Building upon the established research on market seasonality and the potential for front-running to boost associated profits, this article investigates the application of seasonal strategies within the context of crisis hedge portfolios. Unlike traditional asset allocation strategies that may falter during market stress, crisis hedge portfolios are designed to provide downside protection. We examine whether incorporating seasonal timing into these portfolios can enhance their performance and return-to-risk ratios, potentially offering superior risk-adjusted returns compared to static or non-seasonal approaches.

The growing urgency of climate change has increased scrutiny of companies’ ESG (Environmental, Social, and Governance) practices. Investors are now more inclined to support firms that demonstrate strong ESG commitments, often willing to pay a green premium for sustainable investments. However, is the spread in performance between the ‘Sin’ and ‘Saint’ stocks driven by the ESG factor or some other omitted variable? The recent study by Zhan Shi and Shaojun Zhang suggests that the hidden force that may be in play is the price of the oil.

Can we simplify the complexities of the stock market and distill them into a simple set of quantifiable metrics? A lot of academic papers suggest this, and they offer formulas that should make the life of a stock picker easier. Some of the most compelling methodologies within this realm are the F-Score, Magic Formula, Acquirer’s Multiple, and the Conservative Formula. These quantitative strategies are designed to identify undervalued stocks with robust fundamentals and potential for high returns. But do they really work out-of-sample? A new paper by Marcel Schwartz and Matthias X. Hanauer tries to answer this interesting question…

Ever thought about investing in cryptocurrencies? Before diving in, it’s worth understanding the shadowy practice of wash trading, where fake trade volumes distort the market. Our latest blog explores how this manipulation impacts major assets like Bitcoin and Ethereum, the methods used to detect it, and why regulatory clarity is key to a more trustworthy crypto ecosystem.