Five new strategies have been added.
Six new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks. Plus, six trading strategies have been backtested in QuantConnect in the previous two weeks.
The presidential campaign is becoming hotter as we are moving closer to this year’s election. But we still have enough time to dig deeper into data about the past elections and prepare for autumn. Therefore, we have prepared a short video recapitulation of our paper on the pre-election drift.
Earnings announcement days are really important dates in a usual yearly corporate routine. The stock market usually reacts sharply on earnings announcement news and stocks on average earn statistically significant return excess of the market over the short window centred around the announcements. But how does the movement of stocks look before earnings announcement? The recent research paper written by Gao, Hu, and Zhang analyzes price action before and after earnings announcement and shows that a majority of the announcement month premium is realized during the pre-announcement period. Stocks with higher levels of uncertainty (stocks are sorted based on their option implied volatilities) experience larger pre-announcement returns and more uncertainty resolution during the pre-announcement period…
Authors: Gao, Chao and Hu, Grace Xing and Zhang, Xiaoyan.
Title: Uncertainty Resolution Before Earnings Announcements
The best course of action for every quant researcher is to try to fundamentally understand anomalies and explore their functioning besides the original scope of the academic research papers. The goal of this article was to look for inspiration and further explore the Skewness affect – the tendency of assets with the lowest skewness to outperform assets with the highest skewness. It seems that this anomaly is present not only in commodities but also in currencies, fixed income and equities. Trading strategy that exploits the effect of skewness in the multi-asset setting would earn an annual return of 7.67% when leveraged to the 15% volatility.
Five new strategies have been added.
Five new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks. Plus, nine trading strategies have been backtested in QuantConnect in the previous two weeks.
Some companies have relatively more of their value in near-term cash flow (for ex. General Motors Corporation). Others (for ex. Tesla), are growth stocks, with a greater proportion of their market value based on long-term expected future cash flow. It seems that coronavirus pandemic has hit mainly the first group, the “low equity duration” companies. A new academic research paper written by Dechow, Erhard, Sloan, and Soliman explains how the equity duration factor can be used to assess how are companies exposed to short-term unexpected macroeconomic events (like COVID-19 pandemic), and how equity duration sensitivity can also explain relative underperformance of value vs growth stocks during the last bear market.
Authors: Dechow, Patricia and Erhard, Ryan and Sloan, Richard G. and Soliman, Mark T.
Title: Implied Equity Duration: A Measure of Pandemic Shutdown Risk
