We present a short article as an insight into the methodology of the Quantpedia Pro report – this time for the Markowitz Portfolio Optimization. As usually, Quantpedia Pro allows the optimization of model portfolios built from the passive market factors (commodities, equities, fixed income, etc.), systematic trading strategies and uploaded user’s equity curves. The current report helps with the calculation of the efficient frontier portfolios based on the various constraints and during various predefined historical periods. The backtests of the periodically rebalanced Minimum-Variance, Maximum Sharpe Ratio and Tangency portfolios will be available at the beginning of July.
Additionally, there is a Case Study dedicated to this Quantpedia Pro tool.

Various research papers show that market sentiment, also called investor sentiment, plays a role in market returns. Market sentiment refers to the general mood on the financial markets and investors’ overall tendency to trade. The mood on the market is divided into two main types, bullish and bearish. Naturally, rising prices indicate bullish sentiment. On the other hand, falling prices indicate bearish sentiment. This paper shows various ways to measure market sentiment and its influence on returns.

Additionally, we take a look at an overnight anomaly in combination with three market sentiment indicators. We analyse the Brain Market sentiment indicator in addition to VIX and the short-term trend in SPY ETF. Our aim is not to build a trading system. Instead, it is to analyze financial markets behaviour. Overall the transaction costs of this kind of strategy would be high. However, more appropriate than using this system on its own would be to use it as an overlay when deciding when to make trades.