Hello all,
Welcome Quantpedia’s monthly recapitulation.
Firstly, we would really like to thank all of the participants of our Quantpedia Awards 2024 competition—our competitors, judges, sponsors, and also you, our readers. For those of you who were not following our social media channels – here is the blog post that announces winners. The first year of the event turned out great, and we have received very positive feedback. People are asking if we plan to continue, and yes, we can promise that Quantpedia Awards will return in 2025 🙂
Secondly – a new Quantpedia Pro development – the automatic detection of equity-like assets. We use our list of factors and multi-factor analysis methodology to identify the main drivers of performance for each component of the Model Portfolio (and Benchmark) and then use this information in combination with the correlation of each component to equity proxies to find out which of the components exhibit equity-like behavior. This feature is now available in the Basic Overview report and can be used to gauge how the Model Portfolio is underweight/overweight on equity risk in comparison to its Benchmark.
And, what is the additional use case, you may ask? Well, it is the precursor to something that’s over the horizon – the performance attribution analysis. But let’s have a discussion of this topic next month 😉
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:
Active vs. Passive Life Cycle Savings Strategies
Author: Margareta Pauchlyova
Title: Active vs. Passive Life Cycle Savings Strategies
Trading Arbitrage Portfolios Based on Image Representations
Author: Niklas Paluszkiewicz
Title: From Pixels to Profits: Trading Arbitrage Portfolios based on Image Representations
What’s the Size of the Risk Premia (from the Analysts’ Perspective)
Authors: Pascal Büsing and Hannes Mohrschladt
Title: Risk Premia – The Analysts’ Perspective
800 Years on the Financial Markets
Authors: Bryan Taylor
Title: Five Financial Eras
Corporate Bond Factors: Replication Failures and a New Framework
Authors: Jens Dick-Nielsen, Peter Feldhütter, Lasse Heje Pedersen, Christian Stolborg
Title: Corporate Bond Factors: Replication Failures and a New 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.
Or follow us on:
Facebook Group, Facebook Page, Twitter, Linkedin, Medium or Youtube
Share onLinkedInTwitterFacebookRefer to a friendBe first to know, when we publish new content
