Quantpedia in March 2024

Hello all,

Welcome to Quantpedia’s monthly recapitulation. Based on the readers’ demands, our March efforts were dedicated to turning Quantpedia’s popular Pragmatic Asset Allocation research paper into the independent Quantpedia Prime/Premium/Pro report, which can assist users in determining the relative attractivity of the major global asset classes.

The PAA Report starts with a comparison of the performance of the asset allocation model to the MSCI World benchmark. The next part outlines the model’s portfolio composition over the last ten quarters and visualizes how the portfolio is split into four tranches. Afterward, it zooms in and shows the model’s positions on a monthly basis in the last few months and the intended allocation shortly into the future. Users can use the report as a proxy for the model global asset allocation that’s built with the goal of capital preservation, low turnover, tax efficiency, and diversification in mind.


Secondly, as usual, we would like to remind all of you of our Quantpedia Awards 2024 competition. Time flies extremely fast, and just 3 weeks are left until the end of the submission deadline (30th of April). Do not forget to join our race for a $15.000 prize pool 🙂


Thirdly, we have a short announcement from one of our partners. Deltaray’s MesoSim is an options strategy simulator with unique flexibility and performance. You can create, backtest, and optimize options and trading strategies on equity indexes and crypto options at a lightning-fast speed. Now, it’s integrated with ChatGPT to assist users in creating backtest job definitions. Exclusively, our readers can use the coupon code MESOSPRING to obtain a $60 discount for Yearly Standard and Advanced Subscriptions.


And as usual, let’s also quickly recapitulate Quantpedia Premium development:

Additionally, 5 new research articles were published on the Quantpedia blog in the previous month:

Systematic Hedging of the Cryptocurrency Portfolio
Authors: Cyril Dujava, Radovan Vojtko
Title: Systematic Hedging of the Cryptocurrency Portfolio

Portfolio Diversification Including Art as an Alternative Asset
Authors: Diana Barro, Antonella Basso, Stefania Funari, and Guglielmo Alessandro Visentin
Title: Portfolio Diversification Including Art as an Alternative Asset

Which Stock Return Predictors Reflect Mispricing and Which Risk-Premia?
Author: Jonas Frey
Title: Which Stock Return Predictors Reflect Mispricing?

Cryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events
Authors: Cyril Dujava, Radovan Vojtko
Title: Cryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events

Music Sentiment and Stock Returns around the World
Authors: Alex Edmans, Adrian Fernandez-Perez, Alexandre Garel, and Ivan Indriawan
Title: Music Sentiment and Stock Returns Around the World

Yours …

Radovan Vojtko
CEO & Head of Research


Do you have an idea for systematic/quantitative trading or investment strategy? Then join Quantpedia Awards 2024!

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