Quantpedia in November 2021 – Benchmark Portfolio & Partners’ Discount Coupons

Hello all,

As usual, let me use this space to recapitulate what’s new in November’s update of Quantpedia’s services. The most interesting addition has been built for Quantpedia Pro‘s Portfolio Manager, which now allows you to construct a Benchmark Portfolio to complement your Model Portfolio allocation.

This feature speeds up the research process as you can now set up one default multi-strategy multi-asset portfolio as your Benchmark and then test various small changes and variations of your allocation in your Model Portfolio. Information about Benchmark allocation is directly used in a lot of Quantpedia Pro reports, such as Basic OverviewCrisisTrend/Reversal, and Market Phases Analysis or different asset allocation reports like Volatility Targeting or Portfolio Risk Parity

The second interesting addition is a part of our free content in the “Resources” sub-page. We would like to let you know about a new table in the Links section. The new “Algo Trading Discounts” table compiles discounted offers that we were able to negotiate exclusively for our readers with some of our partners that service the algo&quant trading community.


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 papers and 2x Quantpedia studies:

Analysis of research papers:

Out-of-Sample Dataset Before the “Sample”: Pervasive Anomalies Before 1926
Authors: Guido Baltussen, Bart P. Van Vliet and Pim Van Vliet
Title: The Cross-Section of Stock Returns before 1926 (And Beyond)

The Quant Cycle – The Time Variation in Factor Returns
Author: David Blitz
Title: The Quant Cycle

How News Move Markets?
Authors: Mark Kerssenfischer and Maik Schmeling
Title: What Moves Markets?

Bitcoin Returns and Volatility Predicted by Bitcoin Exchange Reserves
Authors: Lai T. Hoang, Dirk G. Baur
Title: Effects of Bitcoin Exchange Reserves on Bitcoin Returns and Volatility

What Drives Volatility of Bitcoin?
Authors: Štefan Lyócsa, Peter Molnár, Tomáš Plíhal and Mária Širaňová
Title: Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of Bitcoin

Happy trading …

Radovan Vojtko
CEO & Head of Research


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