Six 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.

The U.S. (and the world’s) economy is currently entering a recession. Right now, everybody can see it, the only question is how deep it will be. But is it possible in a real-time predict if the economy will enter a recession? And will that information help us to better set % allocation of equities in our portfolio? Most of the macroeconomic data shows recession in macroeconomic reports with a significant lag. There are multiple different forecasting models which try to predict recession or at least estimate the probability that we are entering into one. We are presenting one interesting research paper written by Jonathan Hartley which shows that prediction markets (betting markets created for the purpose of trading the outcome of events) can be successfully used as a complementary tool in various economic forecasting tools. Prediction markets can be used to measure risk in U.S. equities, credit spreads, the U.S. Treasury yield curve, and U.S. dollar foreign exchange rates.

Author: Hartley

Title: Recession Prediction Markets and Macroeconomic Risk in Asset Prices

A month ago, nobody could expect what March would bring to us. Every person and every company around the world had to turn around its existence completely. That change is still in progress, and we are no exception. The ordinary life of every member of our team has been affected by measures used against coronavirus threat. But we were able to adjust to a new situation flexibly, and we are bringing you your periodical stream of quant research.

We were able to double our rate of research as ten new Quantpedia Premium strategies have been added into our database, and six new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 15 new and amended around 20 older backtests written in QuantConnect code. Our database currently contains 260 strategies with out-of-sample backtests/codes.

Also, five new blog posts you may find interesting have been published on our Quantpedia blog. One is about an interesting academic research paper:

Five new strategies have been added.

Three new related research papers have been included into existing strategy reviews. And one short free blog posts has been published during last few weeks.

Markets are in turmoil, and there exist very few investors who are unscathed by current global events related to coronavirus pandemic. It’s a good time to revisit how are various groups of algorithmic trading strategies navigating current troubled times. The selected sample for this short article consists of 7 well-known equity factor strategies – size, value, momentum, quality, investment, short-term reversal and low volatility factors.

Our analysis shows that we have two groups of factors: strong winners and bad losers. There is no middle ground. A current bear market is ruthless, equity long-short factor strategies either totally nailed it and had a stellar performance or totally disappointed.