Quantpedia in May 2020
May is behind us, and we are bringing you our summary Quantpedia’s research again. Nine new Quantpedia Premium strategies have been added into our database, and nine 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 290 strategies with out-of-sample backtests/codes.
Also, four new blog posts you may find interesting have been published on our Quantpedia blog:
Long-Short vs Long-Only Implementation of Equity Factors
Authors: Benaych-Georges, Bouchaud, Ciliberti
Title: Equity Factors: To Short Or Not To Short, That is the Question
Stocks Not For the Long Run?
Title: The US Bond Market before 1926: Investor Total Return from 1793, Comparing Federal, Municipal and Corporate Bonds Part II: 1857 to 1926
YTD Performance of Equity Factors – Update After Two Months
Title: YTD Performance of Equity Factors – Update After Two Months
Backtesting ESG Factor Investing Strategies
Authors: Vojtko, Hanicova, Kalus
Title: Backtesting ESG Factor Investing Strategies
Plus, do not forget, that we have for you our new Alternative Data Screener …
Stay safe …
CEO & Head of Research
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