Two new strategies have been added:

Two new related research papers have been included into existing strategy reviews. And two short free blog posts about interesting related research papers have been published during last few weeks.

Commodities are an essential exporting asset for a lot of countries around the world. Therefore, it is not surprising that the stock market returns of some emerging market countries are dependent on the returns of those commodities. What is more striking is that commodities do not forecast equity returns for only those few small exporting countries. Academic research paper written by Alves & Szymanowska shows that commodity futures returns predict stock market returns in 65 out of 70 countries and macroeconomic fundamentals in 62 countries. That is looking like an idea worth dig into …

Authors: Alves, Szymanowska

Title: The Information Content of Commodity Futures Markets

Do retail day traders have a chance in current financial markets? They often lack proper trading research and infrastructure; they are facing high fees and stiff competition from professionals. But it’s always useful to view actual hard numbers and performance statistics and not just rely on feelings. Luckily, some academic research papers are exploring the question of the performance of retail traders. Chague, De-Losso, and Giovannetti have written the newest one, and as expected, their findings are not very favorable for retail day traders.

Authors: Chague, De-Losso, Giovannetti

Title: Day Trading for a Living?

Dear readers,

The biggest story in August was our successful migration to a new core back-end system. But we have accomplished much more – four new Quantpedia Premium strategies have been added into our database and two new related research papers have been included into existing Premium strategies.

Additionally, we have produced over 30 new backtests written in QuantConnect code. Therefore our database currently contains over 120 strategies with out-of-sample backtests/codes.

Also, four new blog posts you may find interesting have been published on our Quantpedia blog.

Best regards,

Radovan Vojtko
CEO & Head of Research

Two new strategies have been added:
One new related research paper has been included into existing strategy reviews. And two short free blog posts about interesting related research papers have been published during last few weeks.

The correlation between bonds and stocks is essential information for asset allocation decisions; therefore understanding its macro-economic drivers is very valuable for all investors. Stocks-bonds correlation isn’t stable, as we have experienced in the last 30 years, as the correlation, which was positive until the end of the 1990s, changed sign at the turn of the century. Research paper written by Marcello Pericoli sheds more light on this issue and shows that the correlation is primarily influenced by the uncertainty about inflation and real interest rates as well as by co-movement between inflation, real interest rates and dividend growth.

Author: Pericoli

Title: Macroeconomics Determinants of the Correlation Between Stocks and Bonds