Hello all,

– A new Savings Plan Analysis report
– 10% discount code for those who help us and fill out our survey
– an invitation to the webinar – ETFs Uncovered: Strategies, Data, and Innovations
– a new Quantpedia Awards 2024 competition with a $15.000 prize pool
– 11 new Quantpedia Premium strategies have been added to our database
– 12 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– 6 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Two weeks ago, we promised you a surprise, and now it’s finally time to unveil what we have prepared for you :).

Our Quantpedia Awards 2024 aims to be the premier competition for all quantitative trading researchers. If you have an idea in your head about systematic/quantitative trading or investment strategy, and you would like to gain visibility on the professional scene, then submit your research paper, and you can compete for an attractive list of prizes. All info about the prizes, submission process, expert committee, and our partners are described in detail on our dedicated subpage: Quantpedia Awards 2024. But we will also give you a quick overview in this blog post.

Commodity Trading Advisor (CTA) funds are commonly associated with managed futures investing; however, beyond commodities, they have the flexibility to venture into other assets, including interest rates, currencies, fixed income, and equity indices. Most of the CTA strategies are trend-following, taking long positions in markets experiencing upward trends and short positions in markets undergoing downward trends, with the expectation that these trends will persist. CTA funds demonstrate a negative correlation with traditional assets, especially evident during periods of pronounced downturns in equity markets, and this characteristic positions them as an appealing alternative investment option, serving as a protective measure against extreme events in financial markets. We aim to explore these trend-following strategies by creating a “CTA proxy” using ETFs across all asset classes. Using ETFs allows for maintaining the diversification of CTA funds and represents an alternative with easier data availability compared to futures contracts. Additionally, we are very interested in seeing the contribution of the short leg of CTA sub-strategies to performance, as we have a hypothesis that we can significantly improve the risk-return profile of the CTA strategies by removing a short leg portion of the strategy from some assets.

Dear readers & clients,

So, what are the main highlights?

As usual, at this time of the year, let us do a short recapitulation of posts on our blog in the previous 12 months. We have published over 75 short analyses of academic papers and our own research articles on this blog in 2023. We want to use this opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics tool). The top 10 is really diverse; maybe you will be able to find something you have not read yet …

Hello all,

What have we accomplished in the last month?

– A new Alpha Analysis report
– 13 new Quantpedia Premium strategies have been added to our database
– 11 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– 4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month