Blog: QuantPedia

If you're a regular reader of our blogs (and we hope you are!), you would not miss that we like to touch macro-economic subjects. One of that never-fading topics is the role of gold as a crisis hedge. The probably most known commodity is a popular choice for a portion of the total portfolio, from small investors to central banks, for various reasons...

The expected return on the “variance factor” known as variance risk premium (VRP) is nothing new to options markets. For any investor interested in benefitting from this phenomenon, we present the study of Dörries et al. (2021), which provides a clear overview of different VRP-earning strategies. The post Overview of Different Short...

Six new strategies have been added. Six new related research papers have been included into existing strategy reviews and four short free blog posts has been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Update - 21st March appeared first on...

In this second installment in a series of three articles, we will continue with our goal to construct a market timing strategy that would sidestep the equity market during bear markets. A few days ago, we started with price-based market timing strategies. Today, we will focus on macroeconomic indicators and predictors derived from the movements in the commodity markets. The post...

In this second installment in a series of three articles, we will continue with our goal to construct a market timing strategy that would sidestep the equity market during bear markets. A few days ago, we started with price-based market timing strategies. Today, we will focus on macroeconomic indicators and predictors derived from the movements in the commodity markets. The post...

In this series of three articles, our goal is to construct a market timing strategy that would reliably sidestep the equity market during bear markets, thereby reducing market volatility and boosting risk-adjusted returns. We will build trading signals based on price-based indicators, macroeconomic indicators, and a leading indicator, a yield curve, that would try to predict recessions and bear markets in advance. All...

Arbitrage is a central concept in finance. It is defined as simultaneous long and short positions in similar assets to exploit mispricing. Hedge funds experienced fast growth over the past three decades, as real-world arbitrageurs as a group. As they increasingly influence the financial market, it is important to understand the economic drivers of hedge fund returns. Therefore we would like to present...

Hello all, What have we accomplished in the last month? – A new Quantpedia Pro report – the Strategy Grading – 10 new Quantpedia Premium strategies have been added to our database – 11 new related research papers have been included in existing Premium strategies during the last month – Additionally, we have produced 7 new backtests written in QuantConnect code – And...

Five new strategies have been added. Six new related research papers have been included into existing strategy reviews and two short free blog posts has been published during last few weeks. Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Update – 5th March appeared first on...

Factor investing and detailed allocation according to different sets of factors are lively researched topics with many unanswered and open questions. Many views are often conflicting and from both radical sides — on one, that only a few factors should be necessary to explain the cross-section of mean returns, which is attractive, especially because of its simplicity; on the other, that you can...

The problem of missing financial data is widespread yet often overlooked. An interesting insight into the structure of missing financial data provides a novel research paper by authors Bryzgalova et al. (2022). Firstly, examining the dataset of the 45 most popular characteristics in asset pricing, the authors found that missing data is frequent among almost any characteristic and affects all kinds of firms...

Five new strategies have been added. Five new related research papers have been included into existing strategy reviews and three short free blog posts has been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Update - 19th February appeared first on...

Cryptocurrencies are an asset class that isn't easy to ignore in the modern world. In February 2023, the crypto market capitalization was at around $1.1 trillion, which is roughly half of the value of all U.S. notes and coins in circulation. With their properties quite different from other investment options, it might prove useful to an investor to understand and navigate this market...

Cryptocurrencies are a high-risk and very speculative asset class that, from being used only by tech geeks worldwide, spread from small retail craziness of early adopters to institutional adoption and mainstream. Some claim it to be a world-changing concept with the utilization of blockchain (databases) and smart contracts that open a wide range of opportunities, from decentralizing finance to self-governing algorithms; some others...

The US dollar is the world's primary reserve currency, is the most widely traded currency in the world (making up over 85% of all foreign exchange transactions), and is used as the benchmark currency for pricing many commodities such as oil and gold. We can say that the US dollar is the blood of the current financial system. A few months ago, we...

Hello all, What have we accomplished in the last month? – One new Quantpedia Pro report – the Rebalancing Analysis – 9 new Quantpedia Premium strategies have been added to our database – 10 new related research papers have been included in existing Premium strategies during the last month – Additionally, we have produced 9 new backtests written in QuantConnect code – And...

Five new strategies have been added. Five new related research papers have been included into existing strategy reviews and four short free blog posts has been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Update - 5th February appeared first on...

Exchange-traded funds (ETFs) are incredibly versatile investment vehicles. They have become more popular in recent years as investors have grown more comfortable with passive investing strategies. But ETFs can be very useful also in active trading strategies, as they can be used to gain exposure to specific markets, sectors, or themes. But when you invest in ETFs or trade them regularly; it's really...

The theme of rebalancing in longer-term investing is neglected but important as it influences the overall portfolio's performance and risk. Unfortunately, many investors are inconsistent in choosing dates for their rebalances of portfolios, resulting in hardly predictable results (whether positively or negatively affecting it), and not contributing to handling risk management properly. The following article presents our analysis of the impact of...

Life is not always rosy; many tragedies and unexpected events hurt individuals and society. While some are hardly avoidable, such as natural disasters, some others as wars, are generally only functions of hate and greed. In the case of predictable events, risk measures can be employed, but unexpected outbreaks of aggression can hardly be hedged across the spectrum of different financial assets. We...