Quantpedia in June 2020

Dear readers,

One more month is behind us and now it’s time for a short recapitulation. Nine new Quantpedia Premium strategies have been added into our database, and ten new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 16 new backtests written in QuantConnect code. Our database currently contains over 310 strategies with out-of-sample backtests/codes.

Also, four new blog posts you may find interesting have been published on our Quantpedia blog:

YTD Performance of Crisis Hedge Strategies
Authors: Vojtko, Cisar
Title: YTD Performance of Crisis Hedge Strategies

Transaction Costs Optimization for Currency Factor Strategies
Author: Michael Melvin, Wenqiang Pan, Petra Wikstrom
Title: Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

Trend Breaks in Trend-Following Strategies
Authors: Garg, Goulding, Harvey, Mazzoleni
Title: Breaking Bad Trends

Embedded Leverage in High Beta Funds and Management Fees
Authors: Hitzemann, Sokolinski, Tai
Title: Paying for Beta: Embedded Leverage and Asset Management Fees

Stay safe …

Radovan Vojtko
CEO & Head of Research

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