Asset allocation

Cryptocurrency Stablecoins – A Review of Recent Research

15.February 2022

Since January 2020, the annualized volatility of Bitcoin stands around 70%, 6-times the volatility of commodities like Gold or Oil, more than twice the volatility of the S&P 500, and 10 times the volatility of the EURUSD exchange rate. Stablecoins represent a specific category of cryptocurrencies aiming to keep their value stable against a benchmark asset, usually a fiat currency like the US dollar. So how do stablecoins work, and do they really offer needed stability?

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Introduction to Dollar-Cost Averaging Strategies

31.January 2022

Most of you have probably heard the saying that somebody “averaged” into or out of his investment position. But what does it exactly mean, and what different dollar-cost averaging strategies exist? We plan to unveil our new “Dollar-Cost Averaging” report for Quantpedia Pro clients next week, and this article serves as a short introduction to this term.

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Lottery Effect in ETFs Across Several Asset Classes

17.January 2022

Indisputably, we are witnesses of an ETF mega boom. From passive to active ETFs, their numbers seem to be ever-increasing. Since these exchange-traded funds can be excellent (accessible, transparent, liquid) instruments, it is a great necessity to examine their possible usage in active and systematic trading or investing. Therefore, the short research critically assesses the possibility of using ETFs in the Skewness Trading Strategy.

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How to Combine Different Momentum Strategies

15.November 2021

Today we will again talk more about the portfolio management theory, and we will focus on techniques for combining quantitative strategies into one multi-strategy portfolio. So, let’s imagine we already have a set of profitable investment strategies, and we need to combine them. The goal of such “strategy allocation” usually is to achieve the best risk-adjusted return possible. There is no single correct solution to this task, but there are a few methods that we can try.

The “appropriate combination” highly depends on the type of strategies we are about to combine. Are we combining equity and bond strategies together? Are we combining equity strategies, with each one having an entirely different logic? Or do we rather need to assign weights to strategies that are similar in nature yet still different? We will focus this article on the last option – combining similar yet different strategies.

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How to Faster Enhance Strategic Asset Allocation with Tactical Models

19.October 2021

Each change in a strategic asset allocation of a professionally managed portfolio comes only after meticulous analysis. Firstly, we must understand the current status of the portfolio – how it behaved in the past, the strong and weak points of current allocation, and the main risk factor exposures. Then we can think about the future. We can decide how active we want to be, how large a risk budget we have at our disposal, and what asset classes we want to continue to focus on in our tactical models. Afterward comes the time for creativity – we can analyze opportunities and look for ideas for new models that complement what we already have. That’s time for Quantpedia Pro, and we will use this short case study and walk you through the few features that simplify the process of finding new ideas for trading strategies that fit your individual case.

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What is the Optimal Gold Allocation in a Portfolio?

13.October 2021

Ray Dalio, the founder of Bridgewater Associates L.P. and the creator of the All-Weather investment strategy, recommends having some gold in a contemporary environment. He states, “In a world of ongoing pressure for policymakers across the globe to print and spend, zero interest rates, tectonic shifts in where global power lies, and conflict, gold has a unique role in protecting portfolios. It’s wise to hold some gold.” Therefore, one would ask a question, what is the optimal weight of gold in a portfolio?

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