Quantpedia in April 2021

Hello all,

The time flies very fast, and like every month, we have again a bunch of interesting improvements we would like to present to all of you.

Firstly, let’s recapitulate Quantpedia Premium development. Ten new Quantpedia Premium strategies have been added to our database, and twelve new related research papers have been included in existing Premium strategies during the last month. Additionally, we have produced 11 new backtests written in QuantConnect code. Our database currently contains over 430 strategies with out-of-sample backtests/codes.

And now, let us present the two new reports for our Quantpedia Pro subscription offering.

The first one, the Market Phase Analysis report, is once again inspired by the idea described in the “Momentum Turing Points” research paper written by Garg, Goulding, Harvey and Mazzoleni. Once again, we decompose the equity market (we use the SPY ETF as a proxy for the dominant equity market) into the four phases (Bull Market, Correction, Bear Market, Recovery). Afterwards, the report offers the possibility to investigate past 12-months performance and future 20-day correlation of benchmark SPY ETF and model portfolio in each of those four phases. Additionally, user can also review the future average 1-, 3-, 6- and 12-months performances (and their 20th to 80th percentile interval) of SPY and model portfolio in each market phase.

The second new Quantpedia Pro report is related to the Risk Parity portfolio allocation strategy. It calculates the model portfolio’s weights based on the inverse volatility methodology and compares Risk Parity’s performance and risk contributions to an equally-weighted benchmark portfolio. In May, we will extend this report to cover also Equal Risk Contribution and Maximum Diversification methods. A short research article that will explain all Risk Parity methodologies in more detail will be published in a few days.

Risk Parity

Additionally, we have added a correlation matrix and a new chart that displays average portfolio intra-correlations over time (average correlations between model portfolio’s individual constituents) into the Correlation Analysis report.

And finally, four new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month:

Hunt for Yield
Authors: Hao Jiang, Lily Li and Lu Zheng & Alexandru Barbu, Christoph Fricke and Emanuel Moench & Matthijs Korevaar
Titles: Beware of Chasing Yield: Bond Fund Yield, Flows and Performance & Procyclical Asset Management and Bond Risk Premia & Reaching for Yield: How Investors Amplify Housing Booms and Busts

Market Sentiment and an Overnight Anomaly
Author: Daniela Hanicova
Title: Market Sentiment and an Overnight Anomaly

Crowding in Commodity Factor Strategies
Author: Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
Title: Crowding and Factor Returns

An Analysis of Volatility Clustering of Equity Factor Strategies
Author: Dominik Cisar
Title: An Analysis of Volatility Clustering of Equity Factor Strategies

Stay safe …

Radovan Vojtko
CEO & Head of Research

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