Quantpedia in May 2020

Dear readers,

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?
Author: McQuarrie
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
Authors: Vojtko
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 …

Radovan Vojtko
CEO & Head of Research


Are you looking for strategies that are useful in bear markets? Don’t miss our “Crisis Hedge” filtering field you can use to find strategies that can be utilized as a hedge/diversification to equity market risk factor during bear markets. 

Are you looking for providers of alternative data? Check our Alternative Data section

Are you looking for more strategies to read about? Check http://quantpedia.com/Screener

Do you want to see performance of trading systems we described? Check http://quantpedia.com/Chart/Performance

Do you want to know more about us? Check http://quantpedia.com/Home/About


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