This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will the authors of the papers receive?
Let’s find out …
What can we realistically expect from investing across different asset classes over the long run? That’s the kind of big-picture question the “Long-Run Asset Returns” paper tackles—offering a sweeping look at how stocks, bonds, real estate, and commodities have performed over the past 200 years. The paper goes beyond just listing historical returns—it explains how reliable (or not) those numbers are by digging into the quirks and issues hidden in very old data. The authors look at what happens to returns when you include countries or time periods that usually get left out, and they show that the past isn’t always as rosy—or as repeatable—as it might seem if you only look at recent decades.
Pragmatic Asset Allocation (PAA) represents a portfolio construction approach that seeks to balance the benefits of systematic trend-following with the realities faced by semi-active investors (mainly taxes and lack of time to manage positions). Approximately a month ago, we ran a test and filtered asset allocation strategies from our Screener and looked for those that performed well on a YTD basis. One of those models that fared surprisingly well was the PAA model, and given the challenging market conditions so far in 2025, with mixed signals across asset classes and increased macroeconomic uncertainty, we believe it is an ideal time to revisit the PAA framework. This analysis may help clarify whether a pragmatic, rules-based approach can still hold its ground—or even outperform—in a year when many models have struggled.
Short-term reversal strategies in U.S. large-cap equity indexes, such as the S&P 500, are well-documented and widely followed. These reversals often occur in response to brief periods of market stress, where sharp declines are followed by quick recoveries (as we have experienced in the last few weeks). Traditional approaches typically identify such stress periods using only the price action of the equity index itself. In this research, however, we explore a broader perspective—one that leverages the behavior of other asset classes, including gold, oil, and intermediate-term U.S. Treasuries. We demonstrate that using signals from these correlated assets to detect stress events can enhance the timing and robustness of reversal trades in equities. Furthermore, we show that combining signals across multiple markets leads to a more effective and diversified reversal strategy.
As the world’s attention shifts from the US-centric equity markets to international equity markets (which strongly outperform on the YTD basis), we could review some interesting anomalies and patterns that exist outside of the United States. In the world of monetary policy, traders have long observed a notable positive drift in U.S. equities on days surrounding Federal Reserve (FOMC) meetings. Interestingly, a similar—but slightly shifted—pattern emerges in European markets around European Central Bank (ECB) press conferences. Our quantitative analysis reveals that European equity markets tend to exhibit a strong and consistent upward drift on the day before the ECB’s scheduled press conference. The reason for this timing difference lies in logistics: since the ECB typically speaks at 14:15 CET (8:15 a.m. EST), well before the major U.S. markets open, investors often front-run the potential market-friendly signals from the central bank. Rather than risk holding positions into the uncertainty of the announcement itself, market participants gradually build up exposure the day before, pricing in expectations of dovish or supportive policy moves.
The recent imposition of sweeping global tariffs by President Donald Trump has triggered a sharp and sudden selloff across global equity markets. In times like these, it’s natural for panic to set in. However, as quantitative investors, our strength lies in data-driven decision-making, risk management, and maintaining discipline when others lose theirs.
Rather than reacting emotionally, the prudent course of action is to reassess the robustness of our portfolios. Are we diversified across uncorrelated strategies? Do we have components in place that act as hedges during market crises? Fortunately, the tools provided by Quantpedia can help investors, traders, and portfolio managers identify, test, and deploy crisis-resilient strategies in a structured and evidence-based manner.
