Comparison of Commodity Momentum Strategy in the U.S. and Chinese Markets

12.May 2023

The commodity momentum strategy is a crucial driving force behind Commodity Trading Advisor (CTA) strategies, as it capitalizes on the persistence of price trends in various commodity markets. By identifying and exploiting these trends, CTAs can achieve robust returns and diversification benefits. In their new paper, John Hua FAN and Xiao QIAO (February 2023) present their perspective and understanding of cross-country and cross-sector influences on the behavior of commodity momentum beyond established commodity fundamentals focusing on U.S. and China markets.

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Quantpedia in April 2023

8.May 2023

Hello all,

What have we accomplished in the last month?

– An extension of the Strategy Grading Quantpedia Pro report
– 10 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
– And finally, 4+1 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Price Momentum or Factor Momentum: What Leads What?

27.April 2023

Continuing our research of different factor allocations and models, we will look at the evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study reexamined the relationship between the factor and price momentum on an extensive sample of 95 years of data from 51 countries. And what are the main takeaways? Let’s find out …

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Evaluating Factor Models in China

21.April 2023

Today, we will evaluate some specifics that are akin to the now second-largest market in the world – China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research by Zhiyong Li and Xiao Rao (2022) that proposes a new alternative filter, which excludes the stocks with a high estimated shell probability when constructing equity factor models.

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Political Beliefs Matter for Fund Managers

19.April 2023

Two leading political parties, the Democrats and Republicans, have dominated the United States politic for decades. As a consequence, the significant differences in views on major issues of partisans from different parties may influence their economic expectations. Recent studies found that partisan politics significantly impacts household beliefs and economic decision-making. But do political beliefs matter to institutional investors?

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Are Funds Flows Influenced by Mortality?

14.April 2023

Countries from the majority of the developed world face one challenge: Their population is steadily aging; the average age of individuals has been rising over recent periods. The United States is not different in this sense. Whenever there’s a never-inevitable reaching of higher ages, people reconsider their choices and often cut on riskier ones. So, is there a potential link between demographic changes associated with aging and aggregate financial market outcomes?

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