Own-research

Can we truly rely on the opening price in OHLC data for backtesting? While the overnight drift effect is well-documented in equities, we investigated its presence in gold using the GLD ETF and then extended our analysis to the GDX – Gold Miners ETF, where we observed an unusually strong overnight return exceeding 30% annualized. However, when we tested execution at 9:31 AM using 1-minute data, the anomaly diminished significantly, suggesting that the extreme return was partially a data artifact. This finding highlights the risks of blindly trusting OHLC open prices and underscores the need for higher-frequency data to validate execution assumptions.

Last year, we promised our readers that the Quantpedia Awards would be back! And now it’s again time to unveil what we have prepared for you.

For a quick recapitulation (for those who were not around in 2024, when we started this activity for the first time), our Quantpedia Awards 2025 aims to be the premier competition for all quantitative trading researchers. If you have an idea in your head about systematic/quantitative trading or investment strategy, and you would like to gain visibility on the professional scene, then submit your research paper, and you can compete for an attractive list of prizes. All info about the prizes, submission process, expert committee, and our partners are described in detail on our dedicated subpage: Quantpedia Awards 2025. However, we will also give you a quick overview in this blog post.

Building upon the established research on market seasonality and the potential for front-running to boost associated profits, this article investigates the application of seasonal strategies within the context of crisis hedge portfolios. Unlike traditional asset allocation strategies that may falter during market stress, crisis hedge portfolios are designed to provide downside protection. We examine whether incorporating seasonal timing into these portfolios can enhance their performance and return-to-risk ratios, potentially offering superior risk-adjusted returns compared to static or non-seasonal approaches.

Today’s research introduces a refined ETF asset momentum strategy by combining a correlation filter with selective shorting. While traditional long-short momentum strategies usually yield suboptimal results, the long leg proves effective on its own, and the correlation filter demonstrates significant value for improving the timing and performance of the short leg. We propose a final strategy of going long on 4 top-performing ETFs while selectively shorting 1 ETF with a 30% weight. Our findings demonstrate that this combined long-short selective hedge strategy significantly outperforms standalone momentum strategies and the benchmark, delivering superior risk-adjusted returns and effective hedging during unfavorable market conditions.

The year 2024 is nearly behind us, so it’s an excellent time for a short recapitulation. In the previous 12 months, we have been busy again (as usual) and have published over 70 short analyses of academic papers and our own research articles. The end of the year is a good opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics ranking). The top 10 is diverse, as usual; once again, we hope that you may find something you have not read yet …

Seasonality plays a significant role in financial markets and has become an essential concept for both practitioners and researchers. This phenomenon is particularly prominent in commodities, where natural cycles like weather or harvest periods directly affect supply and demand, leading to predictable price movements. However, seasonality also plays a role in equity markets, influencing stock prices based on recurring calendar patterns, such as month-end effects or holiday periods. Recognizing these patterns can provide investors with an edge by identifying windows of opportunity or risk in their investment strategies.