Quantpedia in February 2022

Hello all,

It has been a very tense period towards the end of February. Like the rest of the world, we were watching how the Ukrainian crisis erupted into a full-fledged war. Ukraine is our neighboring country (as our headquarter is located in the nearby Slovak Republic), and we are not indifferent to this conflict. We can see the tragic consequences, and we strongly denounce this Russian aggression against Ukraine. Therefore, beginning of the 27th of February, the Quantpedia webpage was blocked for any traffic from the Russian Federation and the Republic of Belarus. Oppressors do not need quant models …

Fortunately, we live in a country that’s not under attack, and we can continue to work, research and write for you, our readers. We published our primer for Kelly and Optimal F methods a few days ago. So how does our new Quantpedia Pro report, built based on those theories, work?

As always, you may pick any combination of market, systematic factors, and/or your own uploaded equity curves and build your model portfolio. Our report will then helps you not to overbet when assessing the maximal leverage that’s rational to employ in your portfolio. You can compare the performance of your default model portfolio to different variants of strategies that employ optimal leverage.

BTW, if you are interested in more money management topics, you may also check our Position Sizing course, that’s part of QuantInsti Quantra’s offer.

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:

Should Factor Investors Neutralize the Sector Exposure?
Authors: Sina Ehsani, Campbell R. Harvey, and Feifei Li
Title:  Is Sector-neutrality in Factor Investing a Mistake?

How to Utilize Anticipated ETF Rebalances
Author: Sida Li
Title:  Should Passive Investors Actively Manage Their Trades?

Cryptocurrency Stablecoins – A Review of Recent Research
Authors: Christian Catalini, Alonso de Gortari and Nihar Shah
Title:  Some Simple Economics of Stablecoins
Authors: Jean Barthelemy, Paul Gardin and Benoît Nguyen
Title:  Stablecoins and the real economy
Author: Carol Alexander
Title:  The Tether-Binance Axis and the Great Crypto Crash of 2022

Yours …

Radovan Vojtko
CEO & Head of Research

Are you looking for more strategies to read about? Visit our Blog or Screener.

Do you want to learn more about Quantpedia Pro service? Check its description, watch videos, review reporting capabilities and visit our pricing offer.

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