Quantpedia in May 2022

Hello all,

The volatility in financial markets is still elevated, and the macro environment is challenging. Therefore, we continue to build risk management reports for our Quantpedia Pro clients. The latest addition is the Monte Carlo Analysis report, for which we unveiled our methodology approximately a week ago.

Our report uses Monte Carlo sampling with replacement. We create 100 new alternative histories of your trading strategy (or any model portfolio built in the Portfolio Manager) and review the cumulative returns of the simulated strategies and the 95th, 75th, 50th, 25th, 10th, 5th, 1st, and the 0th percentile of the risk and return characteristics. We suggest paying attention and analyzing the worst-case scenarios (10th, 5th, 1st, and the 0th percentile).


Let’s also quickly recapitulate Quantpedia Premium development:

Additionally, 8 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 5x Quantpedia studies:

Analysis of research papers:

Carbon Futures – Emerging Asset with Hedging Benefits
Authors: Sercan Demiralay, Gaye Hatice Gencer, Selcuk Bayraci
Title:  Carbon Credit Futures as an Emerging Asset Hedging, Diversification and Downside Risks

How Often Should We Rebalance Equity Factor Portfolios?
Authors: Emlyn Flint, Rademeyer Vermaak
Title:  Factor Information Decay: A Global Study

Grading and Merging ESG Scores from Multiple Providers
Author: Invest Verte
Title:  Invest Verte Framework

Yours …

Radovan Vojtko
CEO & Head of Research


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

Do you want to learn more about Quantpedia Pro service? Check its description, watch videos, review reporting capabilities and visit our pricing offer.

Do you want to know more about us? Check how Quantpedia works and our mission.

Are you looking for historical data or backtesting platforms? Check our list of Algo Trading Discounts.


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