Quantpedia in April 2024

9.May 2024

Hello all,

What have we accomplished in the last month?

– A Quantpedia Awards 2024 competition update – Grading Phase
– A new Risk Monitor report
– 11 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
– 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Private vs. Public Investment Strategies

1.May 2024

Choosing the right investment strategy plays a crucial in portfolio allocation decisions, particularly when considering both private and public asset classes. While the reported performance of public assets typically matches their real-world performance, the same cannot be said for private assets due to the complexities of fund selection, commitment pacing, and return on uncalled and uncommitted capital. Fortunately, there are ways to incorporate public and private asset classes into one portfolio optimally. One example is the recent paper written by Xiang Xu, which introduces the Fair Comparison (FC) framework, which provides a methodology to measure the real-world performance of private investment strategies.

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ESG Investing during Calm and Crisis Periods

26.April 2024

Over the last decade, investing responsibly and deploying capital for “ethically” correct and sustainable growth has been quite a theme. We dedicated a few blogs to this theme and have a separate ESG category for trading strategies in our database. It is often easy to commit financial resources to noble ideas during liquidity abundance. However, how do these methodologies fare during crisis times, such as when the GFC (Global Financial Crisis) or COVID-19 hit? That’s the question that a new paper by Henk Berkman and Mihir Tirodkar tries to answer.

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Can Google Trends Sentiment Be Useful as a Predictor for Cryptocurrency Returns?

17.April 2024

In the fast-paced world of cryptocurrencies, understanding market sentiment can provide a crucial edge. As investors and traders seek to anticipate the volatile movements of Bitcoin, innovative approaches are continuously explored. One such method involves leveraging Google Trends data to gauge public interest and sentiment towards Bitcoin. This approach assumes that search volume on Google not only reflects current interest but can also serve as a predictive tool for future price movements. This blog post delves into the intricacies of using Google Trends as a sentiment predictor, exploring its potential to forecast Bitcoin prices and discussing the broader implications of sentiment analysis in the financial market.

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Impact of Business Cycles on Machine Learning Predictions

15.April 2024

As an old investing adage goes, “Everybody’s a genius in a bull market.” It is easy to fall victim to the Dunning-Kruger effect, where attribution bias makes us mistake our luck for abilities. When the business cycles change, there are great problems with precise stock price predictability. And this is not the only problem for humans, who are baffled by many mental heuristics. Machine learning algorithms experience similar problems, too. What is happening, and why is it so? A new paper by Wang, Fu, and Fan gives an explanation and proposes some remedies …

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FX Carry + Value + Momentum Strategies over Their 200+ Year History

11.April 2024

We mentioned multiple times that we at Quantpedia love historical analysis that spans over a long period of time as it offers a unique glimpse into the different macro environments and periods of political and economic instabilities. These long-term studies help a lot in risk management, and they also help investors set the right expectations about the range of outcomes in the future. Historical analysis of equity and fixed-income markets is not rare, but currency markets are less explored. Therefore, we are happy to investigate a recent paper by Joseph Chen that analyzes carry, momentum, and value strategies in the currency markets over the 200-year history.

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