Diversification is one way of minimizing the risk of a portfolio. A well-diversified portfolio contains numerous assets from various sectors, each having a small weight so that a crash of any individual security does not hit the entire portfolio. The authors behind this paper came up with a new idea for diversifying stock portfolios. They examined new emerging asset, carbon futures.

Hello all,

What have we accomplished in the last month?

– A two new Quantpedia Pro reports – Fixed Income Crisis & Commodity Crisis
– 10 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 9 new backtests written in QuantConnect code
– And finally, 2+2 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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, four trading strategies have been backtested in QuantConnect in the previous two weeks.

How often do you think about the weights of the assets in your portfolio? Do you weigh your assets equally, or do you prefer value-weighting? The researchers behind a recent research paper analyzed various weighting schemes and examined their effect on factor strategy return. They studied five weighting schemes that ignore prices: equal weighting, rank weighting, z-score weighting, inverse volatility weighting, and fundamental weighting, and three price-based weighting schemes: Rank x mcap (rank-times-mcap), Z-score x mcap (z-score-times-mcap), and Integrated core.

They found that schemes that are not based on price can inflate turnover and costs. However, the weighting schemes based on price are the most practical to target multiple premiums, provide robust risk control, and decrease turnover and expenses.

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, five trading strategies have been backtested in QuantConnect in the previous two weeks.