Demand and Supply of Safe Dollar Assets Move Markets

19.September 2019

The United States has a special place in a global financial system. The U.S. dollar is the world’s reserve currency, and U.S. Treasuries are used as primary safe assets. Therefore, it is no surprise that the U.S. has some benefits from this arrangement. Academic research paper written by Krishnamurthy & Lustig shows that the U.S. derives a “convenience yield” from a demand of foreign investors. They consequently incur lower returns on their holdings of dollar-denominated safe assets. The FED’s conventional and unconventional monetary policy actions directly impact the supply of dollar-denominated safe assets. These decisions also affect the size of convenience yield, which causes moves in global financial markets…

Authors: Krishnamurthy, Lustig

Title: Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

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Commodity Futures Predict Stock Market Returns

11.September 2019

Commodities are an essential exporting asset for a lot of countries around the world. Therefore, it is not surprising that the stock market returns of some emerging market countries are dependent on the returns of those commodities. What is more striking is that commodities do not forecast equity returns for only those few small exporting countries. Academic research paper written by Alves & Szymanowska shows that commodity futures returns predict stock market returns in 65 out of 70 countries and macroeconomic fundamentals in 62 countries. That is looking like an idea worth dig into …

Authors: Alves, Szymanowska

Title: The Information Content of Commodity Futures Markets

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Retail Day Trading is an Uphill Battle

4.September 2019

Do retail day traders have a chance in current financial markets? They often lack proper trading research and infrastructure; they are facing high fees and stiff competition from professionals. But it’s always useful to view actual hard numbers and performance statistics and not just rely on feelings. Luckily, some academic research papers are exploring the question of the performance of retail traders. Chague, De-Losso, and Giovannetti have written the newest one, and as expected, their findings are not very favorable for retail day traders.

Authors: Chague, De-Losso, Giovannetti

Title: Day Trading for a Living?

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Quantpedia in August 2019

1.September 2019

Dear readers,

The biggest story in August was our successful migration to a new core back-end system. But we have accomplished much more – four new Quantpedia Premium strategies have been added into our database and two new related research papers have been included into existing Premium strategies.

Additionally, we have produced over 30 new backtests written in QuantConnect code. Therefore our database currently contains over 120 strategies with out-of-sample backtests/codes.

Also, four new blog posts you may find interesting have been published on our Quantpedia blog.

Best regards,

Radovan Vojtko
CEO & Head of Research

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What Affects the Correlation Between Stocks and Bonds

26.August 2019

The correlation between bonds and stocks is essential information for asset allocation decisions; therefore understanding its macro-economic drivers is very valuable for all investors. Stocks-bonds correlation isn’t stable, as we have experienced in the last 30 years, as the correlation, which was positive until the end of the 1990s, changed sign at the turn of the century. Research paper written by Marcello Pericoli sheds more light on this issue and shows that the correlation is primarily influenced by the uncertainty about inflation and real interest rates as well as by co-movement between inflation, real interest rates and dividend growth.

Author: Pericoli

Title: Macroeconomics Determinants of the Correlation Between Stocks and Bonds

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UPDATE – Quantpedia’s Site Maintenance

22.August 2019

Hello,

We’ve launched our new website with the updated core back-end technology. Therefore it’s required for all users to change their password (your previous will not work anymore).

It’s really simple, just visit this link.

If you would like to submit any feedback regarding our new website, please let us know at info@quantpedia.com

We appreciate your patience and understanding.

Thanks,

Radovan Vojtko

CEO

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