Two new strategies have been added.
Three new related research papers have been included into existing strategy reviews. And two short free blog posts have been published during last few weeks.
Our society teaches us, that it is good to be different. That our trading strategy must be always unique, creative and individualistic. It is boring and unprofitable to be the “average”, to do what the others do. And then, there is a research paper written by Bollen, Hutchinson and O’Brian which offers the opposite view. Their analysis explains there exist one hedge fund style where everything is the other way round – trend-following CTAs funds. Their interesting (but for some maybe controversial) paper shows that CTAs with returns that correlate more strongly with those of peers have higher performance. It appears that CTA strategy conformity is a signal of managerial skill. Now, that is an eccentric idea 🙂
Authors: Bollen, Hutchinson and O’Brian
Title: When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance
Dear readers,
Five new Quantpedia Premium strategies have been added into our database in January, and five new related research papers have been included into existing Premium strategies.
Additionally, we have produced 16 new backtests written in QuantConnect code. Therefore our database currently contains over 220 strategies with out-of-sample backtests/codes.
Three new strategies have been added.
Two new related research papers have been included into existing strategy reviews. And two short free blog posts have been published during last few weeks.
Every hedge fund manager and every trader wants to know what strategies are employed in a fund ran by his competition. The curiosity is even stronger if we want to see how strategies are mixed in the kitchen of the most successful hedge funds. Top performing funds are usually notoriously secretive about their portfolios. But we still can learn something from the history of their monthly returns. One such interesting methodology is described in a research paper written by Canepa, Gonzalez, and Skinner. Their analysis hints that the top-performing hedge funds are usually successful because they are able to manage their factor exposure better. They are not dependent so much on classical equity risk factors as average funds are. And if they are exposed to some risk factor, the top-performing hedge funds are able to close underperforming factor strategy sooner than average funds.
Authors: Canepa, Gonzales, Skinner
Title: Hedge Fund Strategies: A non-Parametric Analysis
Two new strategies have been added.
Two new related research papers have been included into existing strategy reviews. And two short free blog posts have been published during last few weeks.
