UPDATE – Quantpedia’s Site Maintenance

22.August 2019


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.


Radovan Vojtko


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Media Attention and the Low Volatility Effect

18.August 2019

The low volatility factor is a well-known example of a stock trading strategy that contradicts the classical CAPM model. A lot of researchers are trying to come up with an explanation for driving forces behind the volatility effect. One such popular explanation is the ‘attention-grabbing’ hypothesis – which suggests that low-volatility stocks are ‘boring’ and therefore require a premium relative to ‘glittering’ stocks that receive a lot of investor attention. Research paper written by Blitz, Huisman, Swinkels and van Vliet tests this theory and concludes that ‘attention-grabbing’ hypothesis can't be used to explain outperformance of low volatility stocks.

Related to: #7 – Low Volatility Factor Effect in Stocks

Authors: Blitz, Huisman, Swinkels, van Vliet

Title: Media Attention and the Volatility Effect

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Quantpedia Premium Update – 15th August 2019

15.August 2019

Two new strategies have been added:

One new related research paper has been included into existing strategy reviews. And two short free blog posts about interesting related research papers have been published during last few weeks.

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Metcalfe’s Law in Bitcoin

12.August 2019

Cryptocurrencies are a new asset class, and researchers have just started to understand better fundamental forces which are behind their price action. A new research paper shows that Bitcoin’s price can be modeled by Metcalfe’s Law. Bitcoin (and other cryptocurrencies) are in this characteristic very similar to Facebook as their value depends on the number of active users – network size

Authors: Peterson

Title: Bitcoin Spreads Like a Virus

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Three New Insights from Academic Research Related to Equity Momentum Strategy

4.August 2019

What are the main insights?

– The momentum spread (the difference of the formation-period recent 6-month returns between winners and losers) negatively predicts future momentum profit in the long-term (but not in the following month), the negative predictability is mainly driven by the old momentum spread (old momentum stocks are based on whether a stock has been identified as a momentum stock for more than three months)

– The momentum profits based on total stock returns can be decomposed into three components: a long-term average alpha component that reverses, a stock beta component that accounts for the dynamic market exposure (and momentum crash risk), and a residual return component that drives the momentum effect (and subsumes total-return momentum)

– The profitability and the optimal combination of ranking and holding periods of momentum strategies for a sample of Core and Peripheral European equity markets the profitability vary across markets

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Quantpedia in July 2019

30.July 2019

Dear readers,

With summer at full steam, July was a busy month for the Quantpedia team. Four new Quantpedia Premium strategies have been added into our database and four new related research papers have been included into existing Premium strategies.

Additionally, we have produced 21 new backtests written in QuantConnect code. Our database currently contains 90 strategies with such codes/backtests.

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

50 Years in PEAD (Post Earnings Announcement Drift) Research
Authors:  Sojka
Title:  50 Years in PEAD Research

Equity Factor Strategies In Frontier Markets
Authors: Zaremba, Maydybura, Czapkiewicz, Arnaut
Title:  Trends Everywhere

Two Versions of CAPM
Author:  Siddiqi
Title:  CAPM: A Tale of Two Versions

Factor Investing in Currency Markets
Authors:  Baku, Fortes, Herve, Lezmi, Malongo, Roncalli, Xu
Title:  Factor Investing in Currency Markets: Does it Make Sense?

Best regards,

Team Quantpedia.com

Are you looking for more strategies to read about? Check http://quantpedia.com/Screener

Do you want to see performance of trading systems we described? Check http://quantpedia.com/Chart/Performance

Do you want to know more about us? Check http://quantpedia.com/Home/About

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