Cryptocurrency markets have matured into a distinct asset class characterized by extreme volatility, deep liquidity pools, and worldwide retail participation. Traditional equity and commodity markets exhibit a well-documented pre-holiday effect, where returns on trading days immediately preceding public holidays tend to outperform other days. Given that Bitcoin is often described as the archetypal absolute risk asset, it is natural to hypothesize that any calendar-driven anomalies observed in equities should manifest—or even amplify—in crypto markets.

However, unlike equity markets, where institutional investors and marketing calendars drive collective behavior, crypto markets are more dispersed, retail-dominated, and influenced by nontraditional information flows. This article investigates whether the classic pre-holiday effect applies to Bitcoin and assesses the extent to which it can be amplified by an attention-grabbing momentum filter based on local price highs.

Understanding how Bitcoin-related instruments can fit into traditional portfolios is increasingly relevant for investors. Some risk-averse investors do not like to hold cryptocurrencies in their portfolios strategically; however, they may be open to investing in crypto-linked assets on a tactical level. In this context, our goal is to explore how we can provide short-term Bitcoin exposure while contributing to overall portfolio balance and potential downside protection.

The low-risk anomaly in financial markets has puzzled researchers and investors, challenging the traditional risk-return paradigm (higher risk->higher return). This phenomenon, where low-risk assets outperform their high-risk counterparts on a risk-adjusted basis, has been observed across various asset classes, including stocks and mutual funds. What may be the possible explanation? Pass-through mutual funds, which aim to replicate the performance of specific market indices, play a crucial role in this context by channeling investor flows and potentially influencing asset prices through demand pressure.

Foreign exchange (FX) markets are a cornerstone of global finance, offering investors and corporations opportunities to manage currency risk, enhance returns, and optimize portfolio performance. Among the most critical challenges in FX is the design of robust hedging strategies to mitigate exposure to volatile currency movements. How does the financial industry deal with this task? We can draw inspiration from the paper written by Castro, Hamill, Harber, Harvey, and Van Hemert, which explores strategies such as dynamic hedging, trend-following, and momentum-based approaches, the concept of carry, and the interplay of these strategies with fundamental concepts like Purchasing Power Parity (PPP) and valuation metrics.

In the realm of quantitative finance, understanding the dynamics of real estate returns over extended periods is often overlooked, which is not good, as real estate constitutes a significant portion of investors’ portfolios. The article titled Global Housing Returns, Discount Rates, and the Emergence of the Safe Asset, 1465-2024 fills the gap and provides a comprehensive historical overview of real estate yields, offering a chronological overview of real estate returns not just over a few decades but over several centuries.

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– New custom data import procedure
– 5th episode of our YouTube video series QuantBeats
– Interview with the winners of Quantpedia Awards 2025
– 10 new Quantpedia Premium strategies have been added to our database
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