Quantpedia Highlights in January 2022

Hello all,

As we hinted a few days ago, a new Dollar-Cost Averaging report is now ready for all Quantpedia Pro clients. So how does it work?

You may pick any combination of market factors (with over 200 most-liquid ETFs as proxies), systematic factors (300+ monthly updated Quantpedia strategies), and/or your own uploaded equity curves and build your model portfolio. Then you can test and analyze different approaches to investment and divestment of model portfolio on any selected horizon. You have four different DCA strategies in your disposition, and you may compare the performance of all strategies to the Lump-Sum investment strategy in graphical and table forms.

Then, in the second section of your analysis, you simulate rolling 5-year periods to see how DCA strategies perform compared to Lump Sum at different points in time.

Let’s also quickly recapitulate Quantpedia Premium development:

Additionally, 6 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 3x Quantpedia studies:

Analysis of research papers:

Factor Performance in Bull and Bear Markets
Authors: Paul Geertsema and Helen Lu
Title: Where is the risk in risk factors?

VIX-Yield Curve Cycles May Predict Recessions
Author: Anne Lundgaard Hansen
Title: Predicting Recessions Using VIX-Yield-Curve Cycles

Periodicity in Cryptocurrencies – Recurrent Patterns in Volatility and Volume
Authors: Peter Reinhard Hansen, Chan Kim, and Wade Kimbrough
Title: Periodicity in Cryptocurrency Volatility and Liquidity

Happy trading …

Radovan Vojtko
CEO & Head of Research

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