Quantpedia in August 2023

Hello and welcome to our August recap!

Our trusted Basic Overview report has long been a cornerstone of the Model Portfolio performance evaluation for Quantpedia Pro subscribers. However, we had a feeling that a deeper examination of the individual components of the portfolio would be desired. Therefore, over August, we worked on the new Component Analysis report that shows performance analysis of the individual components that make up your portfolio within our Portfolio Manager tool.

We made this feature visually attractive and added all of the important charts that are used in the standardized reports – actual portfolio allocation, risk allocation (based on the past 12-month volatility contribution of individual components into the overall portfolio risk), performance, and contributions of the individual portfolio components and year-over-year and summary performance tables.

Let’s also quickly recapitulate Quantpedia Premium development:

11 new Quantpedia Premium strategies have been added to our database
11 new related research papers have been included in existing Premium strategies during the last month
7 new backtests were written in QuantConnect code. Our database currently now contains over 700 strategies with out-of-sample backtests/codes.

Additionally, 5 new articles were published on the Quantpedia blog in the previous month:

Performance of Factor Strategies in India
Authors: Joshy Jacob and K P Pradeep and Jayanth Rama Varma
Title: Performance of Quality Factor in Indian Equity Market

Dissecting the Performance of Low Volatility Investing
Authors: Bernhard Breloer, Martin Kolrep, Thorsten Paarmann, and Viorel Roscovan
Title: Dissecting the Performance of Low Volatility Investing

Predicting Stock Market Performance with the Global Anomaly Index
Authors: Fuwei Jiang, Hongkui Liu, Guohao Tang, Jiasheng Yu
Title: Global Mispricing Matters

Avoid Equity Bear Markets with a Market Timing Strategy – Revisiting Our Research
Authors: Ladislav Durian and Radovan Vojtko
Title: Avoid Equity Bear Markets with a Market Timing Strategy

Technical Analysis Report Methodology + Double Bottom Country Trading Strategy
Authors: Cyril Dujava, Filip Kalús and Radovan Vojtko
Title: Double Bottom Country Trading Strategy

Plus, we have a two other announcements:

One of our recent papers (Avoid Equity Bear Markets with a Market Timing Strategy) has been independently tested and verified by AllocateSmartly in their recent article Testing “TrendYCMacro” from Ďurian and Vojtko of Quantpedia. We consider it a real honor to have one of Quantpedia’s strategies tracked this way …
We would like to sincerely invite you to an online conference/webinar that we co-organize with StarQube. The webinar starts on September 21st (Thursday) at 4 pm CET (10 am EST), and our topic of discussion is “A systematic approach to ESG investing“. So we will discuss quant’s view of ESG investing, data, infrastructure, research etc. Feel free to join us; it would be quite interesting 🙂

Yours …

Radovan Vojtko
CEO & Head of Research

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