Factor investing

Quantum Computing as the Means to Algorithmic Trading

9.December 2022

The topic of quantum computing has been gaining popularity recently, and both the scientific community and investors seem to have high hopes for its future. It seems that this brand-new technology could revolutionize various aspects of computing as we currently know them. Great contributions could be made in the fields of medicine and healthcare, security, and computability [1], as well as in the field of finances, which interests us here at Quantpedia the most. Quantum computers are especially great in optimization tasks, so optimizing a portfolio could be one of the key contributions in our interest. [2] In this article, we would like to introduce the concept of quantum computers, their current state, their potential use in finance, and more.

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Reviewing Patent-to-Market Trading Strategies

16.November 2022

The following article is a short distillation of the research paper Leveraging the Technical Competence of a Stock for the Purpose of Trading written by Rishabh Gupta. The author spent a summer internship at Quantpedia, investigating the Patent-to-Market (PTM) ratio developed by Jiaping Qiu, Kevin Tseng, and Chao Zhang. The PTM ratio uses public information about the number and dates of patents assigned to publicly listed companies, calculates an expected market value of patents, and tries to predict future stock performance.

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Impact of Dataset Selection on the Performance of Trading Strategies

14.November 2022

It would be great if the investment factors and trading strategies worked all around the world without change and under all circumstances. But, unfortunately, it doesn’t work like that. Some of the strategies are market-specific, as shown in this short analysis. The Chinese market has its own specifics, mainly higher representation of retail investors and lower efficiency. And it’s not alone; countless strategies work just in cryptocurrencies, selected futures, or some other derivatives markets. So, what’s the takeaway? Simple, it’s really important to understand that each anomaly is linked to the underlying dataset and market structure, and we need to account for it in our backtesting process.

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How to Replicate Any Portfolio

2.November 2022

Would you like to see the performance of your portfolio 100 years back in history? Do you want to analyze the risk of your strategy under 100 years of real historical scenarios? All of these, and much more, will be soon (in a few days) available for Quantpedia Pro subscribers. How? We will explain today how we can model a 100-year history of your portfolio.

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The Role of Interest Rates in Factor Discovery

24.October 2022

Over the past several decades, economists and quantitative scientists found a very large number of asset pricing anomalies and published numerous research papers about their findings, and this is known in the financial jargon as “factor zoo.” However, one strong underlying force might drive the performance of many of those anomalies. What’s that force? The level and trend in the interest rates, as in almost all parts of the developed world, there was a long-term steady decline in rates and inflation for nearly 40 years. We use the past tense as it seems that the situation changed at the beginning of this year…

Van Binsbergen, Jules H. and Ma, Liang and Schwert, Michael (Sep 2022) touched on this subject and made a careful examination of both past factor research and found that a significant part of published papers and developed models are sometimes unknowingly exposed to fitting to low or even zero interest rates.

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Multi Strategy Management for Your Portfolio

3.October 2022

If you follow Quantpedia’s blogs, you probably know that Quantpedia PRO already contains multiple risk management and portfolio construction tools for your quantitative investment strategies. The newest Quantpedia PRO tool (available in a few days) will analyze something completely different, though – how to manage multi-strategy portfolios. The newest Quantpedia PRO tool (available in a few days) will analyze something completely different, though – how to manage multi-strategy portfolios. You can easily apply these multi-strategy overlays to various types of underlying – ETFs, systematic strategies, multi-asset portfolios, or multi-strategy portfolios. This article again serves as a primer for the new report’s methodology.

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