Case-study

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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Five Small Shards of Insight Hidden in Data

28.July 2021

This blog post will give you a short recapitulation of the five quick market/portfolio insights built from Quantpedia Pro reporting.

– Gold displays a strong seasonal tendency in returns in days around US public holidays.

– The performance of Bitcoin is usually the worst during the same time as stock market experiences the bear market.

– Cryptocurrency market correlation slowly increases, and we can’t rule out the financialization of the crypto market (the same process that happened in commodities approximately ten years ago).

– Skewness-based trading strategies could serve as a practical hedge/diversification during stock market drawdowns.

– We show the main attribute of most of the risk parity portfolios – lower total returns but significantly lower risk measures.

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How Do Investment Strategies Perform After Publication?

9.April 2020

In many academic fields like physics, chemistry or natural sciences in general, laws do not change. While economics and theory of investing try to find rules that would be true and always applicable, it is not that simple, there is a “complication“ – human. Psychology of humans is very complex. In the one hand, it creates anomalies in the market, that academics study and practitioners use. On the other hand, after an anomaly is discovered, often, the strategy becomes less profitable.

While for academics, it is just another research question, investors may be worried that the anomaly is arbitraged away, and it will become unprofitable in their portfolios. In this article, we will look deeper on whether the anomaly can be arbitraged away, if the profits are lower for the specific strategy once the strategy becomes well-known, and even if the strategies can be timed. Quantpedia‘s readers are often interested in these common topics, and we will try to shed some light on them.

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Case Study: Quantpedia’s Composite Seasonal / Calendar Strategy

26.April 2019

Despite the fact that the economic theory states that financial markets are efficient and investors are rational, a large amount of research is about anomalies, where the result is different from the theoretical expectation. At Quantpedia, we deal with anomalies in the financial markets and we have identified more than 500 attractive trading systems together with hundreds of related academic papers.

This article should be a case study of some strategies that are listed in our Screener, with an aim to present a possible usage of strategies in our database. Moreover, we have extended the backtesting period and we show that the strategies are still working and have not diminished. This blog also should serve as a case study how to use the Quantpedia’s database itself; therefore the choice of strategies was not obviously random and strategies were filtered by given criteria, however, every strategy is listed in the “free“ section, and therefore no subscription is needed.

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