Alternative ETFs sit at an unusual intersection of public-market accessibility and hedge-fund-style investment techniques. They package managed futures, merger arbitrage, and option-based income strategies into exchange-traded products, yet they remain thinly traded and relatively niche compared to mainstream equity or bond ETFs. This combination makes them intriguing: they offer exposure to alternative risk premia, and their limited liquidity raises possibilities to build short-term reversal strategies. 

Calendar strategies are often viewed as weak when assessed individually. Their annualized returns tend to be low, market exposure is limited, and trading activity is sparse. Compared to trend following or swing strategies, which can remain invested for extended periods, calendar strategies may appear inefficient at first glance. This impression, however, largely stems from evaluating these strategies outside of their intended context. Calendar strategies are not designed to operate as standalone trading systems. Their primary role is within a portfolio, where their structural properties become relevant rather than their individual performance metrics.

Hello all,

– A three new volatility-based regime filters for the Trading Edge Analysis Report
– 7th episode of our YouTube video series QuantBeats, this time with David Kaiser from Methodical Investments
– And the Quantpedia Awards 2026 competition is back!
– 11 new Quantpedia Premium strategies
– 8 new related research papers
– 9 new backtests written in QuantConnect code
– and finally, 5 new blog posts on our Quantpedia blog

Pragmatic Asset Allocation is a systematic, multi-asset investment strategy designed to adapt dynamically to evolving market conditions. Rather than maintaining a static equity exposure, the model actively allocates capital across a diversified set of asset classes—including equities, bonds, commodities, gold, and cash-like instruments—using momentum-based signals and disciplined periodic rebalancing. The strategy’s primary objective is to deliver attractive long-term returns while materially reducing drawdowns during adverse market environments.

It has now been two highly volatile years since we first published our paper on PAA, making this an opportune moment to review the strategy’s performance over the past year.

Recent market action has once again underscored how rapidly volatility can surface across asset classes, as evidenced by pronounced price swings in gold, silver, and cryptocurrency markets. Such episodes routinely revive debate within the quantitative community about structural drivers of intraday instability, with particular attention paid to the growing prominence of S&P 500 zero-days-to-expiration (0DTE) options. The rapid proliferation of these ultra-short-dated contracts has fueled concerns among practitioners, regulators, and exchange operators that concentrated option activity may transmit destabilizing hedging flows into the cash equity market. At the same time, the paper under review challenges this prevailing spillover hypothesis, suggesting that the availability of 0DTE options systematically alters market-makers’ hedging exposures in a way that may dampen, rather than amplify, realized index volatility. So, do 0DTE options truly increase market volatility?

An interesting transaction-level study we take a closer look at today asks who takes the other side of trades when the most pro-cyclical players in markets — primarily asset managers — buy in booms and sell in busts. The paper uses comprehensive transaction data across major European equity and interest-rate cash and derivatives markets to classify counterparties by sector and to measure, at horizons from 15 minutes to one month, which sectors absorb net flows from pro-cyclical investors. Dealer banks emerge as the dominant liquidity providers across asset classes. At intraday and daily horizons, dealer banks absorb the vast majority of the net flow coming from asset managers. Other active liquidity sources, such as principal trading firms and hedge funds, play only minor roles.