Four new strategies have been added. Four new related research paper have been included into existing strategy reviews and three new short free blog posts have been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous four weeks.
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.
The crypto-enthusiast’s mantra—“just add Bitcoin and watch the efficient frontier fly”—runs into a hard empirical wall when you extend the sample, tighten the econometrics, and force the asset to compete on identical risk-adjusted footing with equities. Alistair Milne’s new SSRN paper applies a textbook Markowitz mean–variance framework to a two-asset universe (S&P 500 vs. Bitcoin) and finds that the ex-ante optimal long-term weight on BTC is not merely small; it is outright negative. In other words, a rational, variance-averse allocator who believes expected returns equal historical equity premia plus a fair compensation for BTC’s non-diversifiable volatility should be short, not long, the flagship digital token.
Market concentration has become one of the most discussed structural risks in today’s equity markets. A small group of mega-cap stocks—often the largest five to ten names—now accounts for an unusually large share of major market indices. This has led to widespread concerns that such concentration makes markets more fragile and that elevated index weights at the top may foreshadow weaker future returns. Many investors worry that history is repeating itself and that extreme concentration today implies disappointment tomorrow.
Hello all,
What have we accomplished in the last month?
– A new Fee Impact & Net Performance Analysis module
– 10% discount code for those who help us and fill out our survey
– an invitation to Uncorrelated Miami conference (with a 10% discount code)
– 10 new Quantpedia Premium strategies
– 6 new related research papers
– 7 new backtests written in QuantConnect code
– and finally, 5 new blog posts on our Quantpedia blog
Ten new strategies have been added. Six new related research paper have been included into existing strategy reviews and five new short free blog posts have been published during last few weeks. Plus, seven trading strategies have been backtested in QuantConnect in the previous four weeks.
