Quantpedia in June 2023

Hello all,

We spent June mostly tidying up and improving existing reports based on the requests we gathered over the last few months (and we didn’t have time to implement them due to May’s changes in the backend). We added over 20 new charts and tables, so let’s quickly review the new content…

The first update is related to the ETF Replication report. We extended the multi-factor model to look for a long-only combination of ETFs replicating the selected Model Portfolio.

The second update is related to the Complementary Strategies report – we added equity curves to tables listing suggestions for complements to your model portfolio.

Next, we added equity curves also into the Trend/Reversal Analysis report. It can help you to assess the overlay strategies better.

We also updated the Crisis Analysis reports (equity, commodity, and fixed income) and added analysis related to the Russian invasion of Ukraine.

And lastly, for easier analysis and visualization, we added equity curves also to the Seasonality Analysis report.

Let’s also quickly recapitulate Quantpedia Premium development:

12 new Quantpedia Premium strategies have been added to our database
12 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 contains over 670 strategies with out-of-sample backtests/codes.

Additionally, 4 new articles were published on the Quantpedia blog in the previous month:

Combining Gold, Bonds and Low Volatility Stocks
Authors: Pim van Vliet and Harald Lohre
Title: The Golden Rule of Investing

Why Naively Pursuing Premiums at the Industry and Country Levels Often Does Not Add Value
Authors: Audrey Dong, Mia Huang, and Mamdouh Medhat
Title: Few and Far Between: Why Pursuing Premiums at the Industry and Country Levels Does Not Add Value

Which Investors Drive Factor Returns?
Author: Morad Elsaify
Title: Which Investors Drive Factor Returns?

ESG Ratings Disagreement in 2023
Authors: Paul Ehling and Lars Qvigstad Sørensen
Title: Portfolio Choice with ESG Disagreement

Yours …

Radovan Vojtko
CEO & Head of Research

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