Quantpedia in May 2023

Hello all,

Quantpedia’s main goal has always been to simplify the understanding of academic research related to trading and investing strategies. As time has passed, we have done our best to fulfill our mission, and continuing interest of you, our readers, shows us that we are on the right path. Over the years, the extent of the content and tools that our team built has grown significantly. But the truth is that Quantpedia’s database and tools have grown so much that for some of our readers, that are just at the beginning of their “journey of the quant”, it may be too much. It took us some time to figure out how to support those of you that are interested in quantitative analysis of trading and investment strategies but do not have time or resources to go through hundreds of strategies and backtests, some of them more advanced in nature. And for those, we’re rolling out a new subscription option, Quantpedia Prime, that we think you’ll appreciate.

You can check the full feature comparison on our new Pricing page. But to summarize, Quantpedia Prime would serve as the “light” version of Quantpedia Premium and Pro offerings. It is tailored mainly to individual systematic investors, advisors, and quants at the beginning of their learning path. Users will get access to a subset of Quantpedia Premium trading strategies (~100) that are easier to execute and understand (mainly tactical asset allocation, simple market timing, and seasonality strategies), plus access to essential modeling tools (Portfolio Manager) and a few Quantpedia Pro reports.

The selection of reports available in the Quantpedia Prime subscription should help users investigate the common asset allocation strategies, check correlations and analyze performance during crisis periods. These are the most common tasks that individual systematic investors, advisors, and students encounter.

We have also given access to those seven reports to all Quantpedia Premium users. It serves as a small tasting sample of how an average Quantpedia Pro report looks (of which over 30+ additional are available in the Quantpedia Pro plan 😉 ).

This tidying-up in subscription plans was also connected with many other background tasks that are not directly visible, but they served an important purpose of removing calculation inefficiencies and finally removed a few “IT skeletons” that were hiding in the closet. I am really happy that this re-engineering is finally behind us, as it allows us to concentrate our efforts on some new exciting things in the pipeline we will unveil for Quantpedia Pro in the 2nd half of 2023 (cough, AI, cough 😉 ). So stay tuned…


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

Additionally, 7 new articles were published on the Quantpedia blog in the previous month, 5x analysis of academic research paper and 2x Quantpedia study:

And here are links to 4x analysis of research papers:

Factor Trends and Cycles
Author: Andrew Ang
Title: Trends and Cycles of Style Factors in the 20th and 21st Centuries

Exploration of the Arbitrage Co-movement Effect in ETFs
Author: John J. Shim
Title: Arbitrage Comovement

Anomaly Discovery and Arbitrage Trading
Authors: Xi Dong, Qi Liu, Lei Lu, Bo Sun, and Hongjun Yan
Title: Anomaly Discovery and Arbitrage Trading

How to Rebalance Smart Beta Strategies Smarter
Authors: Robert D. Arnott, Feifei Li, and Juhani T. Linnainmaa
Title: Smart Rebalancing

Comparison of Commodity Momentum Strategy in the U.S. and Chinese Markets
Authors: John Hua Fan and Xiao Qiao
Title: Commodity Momentum: A Tale of Countries and Sectors

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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