Equity Value strategies have suffered hardly during years 2018, 2019 and also 2020. Due to the poor performance of Value during this period, many investors have abandoned the strategy, often expressing view that “Value strategy is not working anymore”. Nevertheless, equity Value strategies have managed a strong comeback recently, turning attention of investors and traders back to them. In our blog today, we will take a close look at many different equity Value strategies, their performance and how they behave. 

Finding a good data source with quality data and long history is one of the greatest challenges in quantitative trading. There definitely are some data sources with very long histories. However, they tend to be on the more expensive side. On the other hand, cheap or free data usually lacks quality and/or has shorter time frames.

This article explains how to combine multiple data sources to create a 100-year daily data history for US 10-year bonds. Having a 100-year history of daily data can be very beneficial to understanding the market patterns and analyzing history and extending backtests to arrive at a new source of out-of-sample data.

Furthermore, suppose you want to examine how your portfolio would have performed during various historical events or to backtest a strategy during multiple market phases. In that case, the long history provides more opportunities. Besides, investors are always on the run to better understand the market. So, having substantial knowledge of history is crucial.

Socially responsible investing, also known as ESG investing, is a recent trend in the world of portfolio management. More and more investors have started to look into the Environmental, Social, and Governance scores of the companies they invest in. However, one major problem with ESG scoring is that there is not one universal scoring system. Many companies sell ESG data, but the scores are not comparable, and additionally, the ESG data providers are not very transparent about how they create the ratings. These problems with ESG data mean we need to have a method to grade and merge the information from multiple providers.

Diversification is one way of minimizing the risk of a portfolio. A well-diversified portfolio contains numerous assets from various sectors, each having a small weight so that a crash of any individual security does not hit the entire portfolio. The authors behind this paper came up with a new idea for diversifying stock portfolios. They examined new emerging asset, carbon futures.

Hello all,

What have we accomplished in the last month?

– A two new Quantpedia Pro reports – Fixed Income Crisis & Commodity Crisis
– 10 new Quantpedia Premium strategies have been added to our database
– 11 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 9 new backtests written in QuantConnect code
– And finally, 2+2 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month