Five new strategies have been added. Seven new related research papers have been included into existing strategy reviews and two short free blog posts has been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks.

Continuing our research of different factor allocations and models, we will look at the evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study reexamined the relationship between the factor and price momentum on an extensive sample of 95 years of data from 51 countries. And what are the main takeaways? Let’s find out …

Today, we will evaluate some specifics that are akin to the now second-largest market in the world – China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research by Zhiyong Li and Xiao Rao (2022) that proposes a new alternative filter, which excludes the stocks with a high estimated shell probability when constructing equity factor models.

Five new strategies have been added. Five new related research papers have been included into existing strategy reviews and three short free blog posts has been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.

Two leading political parties, the Democrats and Republicans, have dominated the United States politic for decades. As a consequence, the significant differences in views on major issues of partisans from different parties may influence their economic expectations. Recent studies found that partisan politics significantly impacts household beliefs and economic decision-making. But do political beliefs matter to institutional investors?

Countries from the majority of the developed world face one challenge: Their population is steadily aging; the average age of individuals has been rising over recent periods. The United States is not different in this sense. Whenever there’s a never-inevitable reaching of higher ages, people reconsider their choices and often cut on riskier ones. So, is there a potential link between demographic changes associated with aging and aggregate financial market outcomes?