Quantpedia in March 2023

Hello all,

Most of the Quantpedia team now works on a new feature that we hope to unveil in the coming months. Unfortunately, we do not have a new Quantpedia Pro report for you for the previous month but do trust us; something is bubbling in our cauldron; it just needs a little more time to brew 🙂

But we not sat idly during March, and as a part of the preparations, our analysts spent a significant amount of time on backtesting, and we built more Quantconnect backtests as usual – 19 new Quantpedia Premium strategies have been added to our database, and 15 new backtests were written in QuantConnect code. We focused our efforts mainly on GTAA (global tactical asset allocation) strategies and analyzed and tested a lot of new research papers that we previously did not cover.

Additionally, 7 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research paper and 4x Quantpedia study:

And here are links to 3x analysis of research papers:

Which Factors Drive the Hedge Fund Returns: A Machine Learning Approach
Authors: Chen, Young and Li Zhengzi, Sophia and Tang, Yushan and Zhou Guofu
Title: Anomalies as New Hedge Fund Factors: A Machine Learning Approach

Overview of Different Short Volatility Strategies
Authors: Julian Dörries, Olaf Korn, Gabriel Power
Title: How Should the Long-term Investor Harvest Variance Risk Premiums?

Is Gold a Safe Haven? It Depends on the Country
Authors: Dirk G. Baur
Title: Is Gold a Safe Haven in all Currencies?

Yours …

Radovan Vojtko
CEO & Head of Research

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

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