Dear readers,
Six new Quantpedia Premium strategies have been added into our database in November, and five new related research papers have been included into existing Premium strategies.
Additionally, we have produced 22 new backtests written in QuantConnect code. Therefore our database currently contains over 190 strategies with out-of-sample backtests/codes…
Three new strategies have been added.
Three 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.
Quantitative Easing policy in the US triggered a massive inflow of liquidity to financial markets. This liquidity, combined with the growing popularity of commodities as an asset class, is a cause for a higher inter-connectedness among equity and commodities markets. A recent academic study written by Ordu-Akkaya and Soytas shows that commodities are not such a good diversifier as they used to be in the past. Moreover, commodity markets are also affected, as periods of higher equity volatility impact commodities significantly more …
Authors: Ordu-Akkaya, Soytas
Title: Unconventional Monetary Policy and Financialization of Commodities
Professor Roger Ibbotson is one of the most respected and influential researchers of the current era. His book “Stocks, Bonds, Bills, and Inflation” is a classic and often serves as a reference for information about capital market returns. Therefore we always pay attention to his publications. His actual work, “Popularity – A Bridge between Classical and Behavioral Finance”, which is written with Thomas M. Idzorek, Paul D. Kaplan, and James X. Xiong, is now available on SSRN.
In their work, authors explain the term “Popularity” from an asset pricing point and show how “Popularity” can be a broad umbrella under which nearly all market premiums and anomalies (including the traditional value and small-cap) can fall. They develop a formal asset pricing model that incorporates the central idea of “Popularity”, which they call the “popularity asset pricing model” (PAPM). Based on this model, they predict characteristics as a company’s brand, reputation, and perceived competitive advantage to be new equity factors.
It’s a long read, but we at Quantpedia really recommended it for all equity portfolio managers …
Authors: Ibbotson, Idzorek, Kaplan, Xiong
Title: Popularity: A Bridge between Classical and Behavioral Finance
Three 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.
Everyone who lived during the 2007 and 2009 crisis knows what the biggest weakness of the equity momentum strategy was. It was right during the spring of 2009 when the financial markets were on its inflection point when the momentum strategy crashed. Right after that inflection point, stocks which were the biggest losers during the previous year performed exceptionally well and caused strong under-performance of classical long-short momentum strategy. How can we prevent this situation from happening again? That’s the topic of our favorite new recent study written by Matthias Hanauer and Steffen Windmueller. They analyze three momentum risk management techniques – idiosyncratic momentum, constant volatility-scaling, and dynamic scaling, to find the remedy for momentum crashes. It’s our recommended read for this week for equity long-short managers …
Authors: Matthias Hanauer and Steffen Windmueller
Title: Enhanced Momentum Strategies
