Hello all,

What have we accomplished in the last month?

– A Quantpedia Awards 2024 competition – winners announcement
– Automatic detection of equity-like assets
– 12 new Quantpedia Premium strategies have been added to our database
– 10 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
– 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine distinct asset classes, including Double Leveraged ETFs and an implementation of the Pragmatic Asset Allocation (PAA) strategy, over an almost-century-long horizon, we simulate and compare the outcomes of three passive and three active strategies. This comparative analysis focuses on their influence on key investment characteristics, including Final Portfolio Size, Maximum Drawdown, and Maximum Loss, to determine their potential in enhancing long-term investment results.

Convolutional neural networks (CNNs), inspired by the human brain’s ability to recognize visual patterns, excel in tasks like object detection, facial recognition, and image classification, making them powerful tools for extracting insights from visual data. However, we are traders, so a natural question arises: Can we use that in trading? A recent paper shows that we can actually do it. Utilizing CNNs, Niklas Paluszkiewicz introduces a novel approach to pairs trading by visually analyzing historical price movements while converting traditional time series data into image representations. 

This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will the authors of the papers receive?

Let’s find out …

Quantpedia Days 2024

– Celebrate with us a crossing of the threshold of 1000 strategies
– You can now subscribe to any of our services, be it 3-, 12- or 36-months Quantpedia Prime, Premium, or Pro subscription, and get the same 2nd subscription for your co-worker or fellow researcher for free – an offer valid between 24th May and 31st May 2024
– The winner of the first season of our Quantpedia Awards 2024 competition will be announced on Monday, 27th May 2024
– What’s your favorite paper from the presented top 10?

The topic of today’s short blog post concerns a subject that’s connected to everybody participating in financial markets worldwide: different subjective return expectations. It is reasonable to have some expected returns you can count on if you are putting your money at risk. But how do they differ between different market professionals? And are return expectations influenced by recessions? We will look closely at financial analysts and their views on risk premia. The main point from the authors of the analyzed paper stresses the idea that analysts are counter-cyclical.