Quantpedia in July 2022

6.August 2022

Hello all,

The summer is usually a less hectic time, but we in Quantpedia continue our development, and we prepared and tested the new ETF Replication report for you.

Our ETF Replication report for Quantpedia Pro is similar in nature to the “Multi-Factor Analysis” report. It enables you to decompose your custom model portfolio (built from a custom combination of Quantpedia’s trading strategies, passive market factors, and your uploaded equity curves) into elementary investment factors using our multi-factor regression analysis but using just ETFs as underlying factors. Therefore, this report allows you to find which ETFs you can use if you want to passively replicate any 3rd party mutual/hedge fund, trading strategy, or custom portfolio. Of course, the passive holding of ETFs can’t replicate all funds/strategies, but if it’s possible, our ETF Replication report will uncover it for you.

Let’s also quickly recapitulate Quantpedia Premium development:

9 new Quantpedia Premium strategies have been added to our database
10 new related research papers have been included in existing Premium strategies during the last month
10 new backtests were written in QuantConnect code. Our database currently contains nearly 590 strategies with out-of-sample backtests/codes.

Additionally, 4 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 1x Quantpedia study:

The Worst One-Day Shocks and The Biggest Geopolitical Events of the Past Century

Analysis of research papers:

The Buffett Indicator
Authors: Laurens Swinkels and Thomas S. Umlauft
Title: The Buffett Indicator: International Evidence

The Importance of Factor Construction Choices
Authors: Amar Soebhag, Bart van Vliet, and Patrick Verwijmeren
Title: Non-Standard Errors in Asset Pricing: Mind Your Sorts?

Takeover Factor Explains the Size Effect
Authors: Sara Easterwood, Jeffry Netter, Bradley Paye, Michael Stegemoller
Title: Taking Over the Size Effect: Asset Pricing Implications of Merger Activity

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.

Do you want to know more about us? Check how Quantpedia works and our mission.

Are you looking for historical data or backtesting platforms? Check our list of Algo Trading Discounts.

Or follow us on:

Facebook Group, Facebook Page, Twitter, Linkedin, Medium or Youtube

Share on Refer to a friend

We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.

Browse Strategies