Quantpedia in January 2023

7.February 2023

Hello all,

What have we accomplished in the last month?

– One new Quantpedia Pro report – the Rebalancing Analysis
– 9 new Quantpedia Premium strategies have been added to our database
– 10 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 9 new backtests written in QuantConnect code
– And finally, 5+1 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Continue reading

How to Use ETF Flows to Predict Subsequent Daily ETF Performance

3.February 2023

Exchange-traded funds (ETFs) are incredibly versatile investment vehicles. They have become more popular in recent years as investors have grown more comfortable with passive investing strategies. But ETFs can be very useful also in active trading strategies, as they can be used to gain exposure to specific markets, sectors, or themes. But when you invest in ETFs or trade them regularly; it’s really good to look under the hood and learn some tricks where to obtain a new source of alpha. And one such possible source or information advantage may be the possibility of analyzing the ETF flows data …

Continue reading

An Analysis of Rebalancing Performance Dispersion

1.February 2023

The theme of rebalancing in longer-term investing is neglected but important as it influences the overall portfolio’s performance and risk. Unfortunately, many investors are inconsistent in choosing dates for their rebalances of portfolios, resulting in hardly predictable results (whether positively or negatively affecting it), and not contributing to handling risk management properly. The following article presents our analysis of the impact of rebalancing on portfolio returns. It also serves as an introduction to the methodology for an upcoming Quantpedia Pro report that our users would be able to use to quickly assess the impact of the rebalancing period on any selected combination of trading strategies, custom equity curves, and ETFs.

Continue reading

160 Years of Wars and Disasters in Markets

27.January 2023

Life is not always rosy; many tragedies and unexpected events hurt individuals and society. While some are hardly avoidable, such as natural disasters, some others as wars, are generally only functions of hate and greed. In the case of predictable events, risk measures can be employed, but unexpected outbreaks of aggression can hardly be hedged across the spectrum of different financial assets. We had previously touched on a similar topic and looked at some historical geopolitical shocks and price reactions around that time. Now, we would like to do a short review of an interesting 140-page paper by Dat Mai and Kuntara Pukthuanthong (2022), which, while not providing actionable strategy, provides insightful retrospection and takes war topic modeling to the higher level, covering developing narratives and influence factors extensively.

Continue reading

Size Factor vs. Monetary Policy Regime

25.January 2023

We have brought attention to the importance of evaluating factors models in different market regimes, and now, we will take a closer look at the size factor. Size [SMB (small minus big)] factor is a popular investment choice for asset investigation by many portfolio managers worldwide. The Size earned prominence in Fama and French’s three and five-factor models, and enjoy the continued discussion about its place in today’s portfolio construction. But it’s crucially important for investors seeking to capture the Size premium to realize that it is dependent on the monetary policy being pursued by the Federal Reserve, as the monetary easing seems to induce a Size premium.

Continue reading

What Is an Optimal Allocation to Cryptocurrencies?

18.January 2023

Cryptocurrencies are a very controversial asset class. Some people may hate it, others may glorify it, and a significant part may ignore it. But what’s the opportunity cost of complete ignorance? Are we able to numerically calculate it? That’s a hard question that Duchin, Solomon, Tu, and Wang tried to answer in their recent paper, and we will take a look at some of their findings and discuss it.

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content

    The Encyclopedia of Quantitative Trading Strategies

    Log in