FX Carry + Value + Momentum Strategies over Their 200+ Year History
Quantpedia.com Blog
by Cyril Dujava
3d ago
We mentioned multiple times that we at Quantpedia love historical analysis that spans over a long period of time as it offers a unique glimpse into the different macro environments and periods of political and economic instabilities. These long-term studies help a lot in risk management, and they also help investors set the right expectations about the range of outcomes in the future. Historical analysis of equity and fixed-income markets is not rare, but currency markets are less explored. Therefore, we are happy to investigate a recent paper by Joseph Chen that analyzes carry, momentum, and ..read more
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Quantpedia in March 2024
Quantpedia.com Blog
by Radovan Vojtko
5d ago
Hello all, What have we accomplished in the last month? – A new Pragmatic Asset Allocation report – A reminder for Quantpedia Awards 2024 competition with a $15.000 prize pool - MesoSim discount announcement – 11 new Quantpedia Premium strategies have been added to our database – 8 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 – 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month The post Quantpedia in Ma ..read more
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Quantpedia Premium Update – April 8th
Quantpedia.com Blog
by ivana.dragonova@quantpedia.com
5d ago
Seven new strategies have been added. Five new related research papers have been included into existing strategy reviews and two short free blog posts have 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 – April 8th appeared first on QuantPedia ..read more
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Music Sentiment and Stock Returns around the World
Quantpedia.com Blog
by Cyril Dujava
1w ago
There was a time in history when researchers believed that we, as a human species, act ultimately reasonably and rationally (for example, when dealing with financial matters). What arrived with the advent of Animal spirits (Keynes) and later Behavioral Finance pioneers such as Kahneman and Tversky was the realization that it is different from that. We often do not do what is in our best interest; quite the contrary. These emotions are hardly reconcilable with normal reasoning but result in market anomalies. Researchers love to find causes and reasons and link behavioral ano ..read more
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Cryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events
Quantpedia.com Blog
by Cyril Dujava
2w ago
In the rapidly evolving landscape of cryptocurrency markets, understanding the underlying dynamics that drive price movements and investor sentiment can be a matter of survival. However, there are myriad facets of trading reality, and the only thing that we can do is to slowly understand them one after another, one step at a time. This article picks one corner of the cryptocurrency market and sheds a little light on it. We have already written a few times about the importance of the introduction of Bitcoin futures and their impact on the Bitcoin price. Therefore, in this article, we will speci ..read more
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Quantpedia Premium Update – March 20th
Quantpedia.com Blog
by ivana.dragonova@quantpedia.com
2w ago
Four new strategies have been added. Three new related research papers have been included into existing strategy reviews and three short free blog posts have 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 – March 20th appeared first on QuantPedia ..read more
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Which Stock Return Predictors Reflect Mispricing and Which Risk-Premia?
Quantpedia.com Blog
by Cyril Dujava
3w ago
The degree of stock market efficiency is a fundamental question of finance with considerable implications for the efficiency of capital allocation and, hence, the real economy. Return predictability is a cornerstone that allows investors to estimate their returns with ranging precision. Some anomalies allow one to exploit loopholes in global markets and capture substantial alpha, which violates the Efficient Market Hypothesis (EMH). However, whether this alpha arrives from risk premia or its source is mispricing is still puzzling academics around the globe, and they wrap their head around solv ..read more
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Portfolio Diversification Including Art as an Alternative Asset
Quantpedia.com Blog
by Cyril Dujava
1M ago
Alternative investment assets (also such as rare vintage and collectible items, expensive old high-quality alcohol, discontinued fashion, etc.) are a hit among wealthy investors, even though it is not easy to obtain direct or indirect exposure to diversified art investment(s) in a traditional finance kind of way. However, alternative assets are helpful in portfolio diversification as they last (if stored properly), usually appreciate in value (but sometimes not very predictably), and have a low correlation to traditional assets like stocks, real estate, gold, or fixed-incom ..read more
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Quantpedia Premium – March 9th
Quantpedia.com Blog
by ivana.dragonova@quantpedia.com
1M ago
Six new strategies have been added. Seven new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium – March 9th appeared first on QuantPedia ..read more
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Systematic Hedging of the Cryptocurrency Portfolio
Quantpedia.com Blog
by Cyril Dujava
1M ago
Cryptocurrencies are already one of the major asset classes. They fill the top pages of magazines and are a topic of a day to day conversation. There are a lot of ways to buy them through a lot of different channels. But some of the hardcore HODLers like to keep their coin portfolio safe - they buy a portfolio of cryptocurrencies and hold them in cold storage. It has a lot of advantages (you will probably not become a victim of hacking if your crypto coins are in cold storage in your wall safe) but also some disadvantages (your cold storage device can become unreadable or destroyed). One of th ..read more
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