Quantpedia in September 2024
Hello and welcome to our September recap!
Let’s start with the recent Quantpedia Prime, Premium and Pro development – our new Optimization Report. As portfolio managers, we constantly seek ways to enhance the performance of our Model Portfolios, and we need a quick, efficient method to evaluate which assets from a Benchmark could improve the risk/return characteristics the most. That’s exactly why we built this tool. The new report allows users to simulate different portfolio adjustment scenarios by reducing the weight of the Model Portfolio and adding different combinations of assets from the Benchmark. This process generates multiple optimized portfolios, which are then visualized and ranked based on their return-to-risk ratio. The goal of this tool is to simplify portfolio management by helping users find the most effective asset allocations to maximize returns while minimizing risk.
Risk-Return Chart highlights the Model portfolio and the five portfolios with the best return/risk ratio. Afterward, the performance table includes standard metrics like return, volatility, max drawdown, Sharpe ratio, and car/max DD, listing the Model portfolio and the top five optimized portfolios along with their asset compositions and weights.
- 11 new Quantpedia Premium strategies have been added to our database
- 12 new related research papers have been included in existing Premium strategies during the last month
- 7 new backtests were written in QuantConnect code. Our database currently now contains over 800 strategies with out-of-sample backtests/codes.
Additionally, 5 new research articles were published on the Quantpedia blog in the previous month:
Valuing Stocks With Earnings
Authors: Sebastian Hillenbrand and Odhrain McCarthy
Title: Valuing Stocks With Earnings
ETF Re-balancing and Hedge Fund Front-Running Trades
Authors: Wang, George Jiaguo and Yao, Yaqiong and Yelekenova, Adina
Title: ETF Rebalancing, Hedge Fund Trades, and Capital Market
What Drives Crypto Asset Prices?
Authors: Austin Adams, Markus Ibert, and Gordon Liao
Title: What Drives Crypto Asset Prices?
How to Improve Commodity Momentum Using Intra-Market Correlation
Authors: Margareta Pauchlyova
Title: How to Improve Commodity Momentum Using Intra-Market Correlation
Revisiting Trend-following and Mean-reversion Strategies in Bitcoin
Authors: Sona Beluska
Title: Revisiting Trend-following and Mean-reversion Strategies in Bitcoin
Yours …
Radovan Vojtko
CEO & Head of Research
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