Open in app

Sign In

Write

Sign In

Quantpedia
Quantpedia

884 Followers

Home

About

2 hours ago

Are Commodities a Good Investment? It Depends on the Country

In recent years, the diversification potential of commodities has come under scrutiny. While the majority of studies examining the role of commodities in a portfolio typically focus on U.S. investors or those dealing primarily with U.S. dollar-denominated assets, Dequiedt et al. (2023) offer a unique perspective by considering the viewpoint of domestic investors in a sample of 38 developed and emerging countries. The study explores the relationship between diversification benefits of commodities for local investors and country’s level of commodity risk exposure. Findings reveal that incorporating commodities tends to enhance the Sharpe ratio of the optimal domestic asset portfolios in most countries with low commodity dependence but doesn’t benefit highly commodity-dependent ones.

Commodities

1 min read

Are Commodities a Good Investment? It Depends on the Country
Are Commodities a Good Investment? It Depends on the Country
Commodities

1 min read


3 days ago

A Systematic Approach to ESG Investing

Less than 48 hours until the start! We are hosting a webinar together with StarQube on Thursday, 21st September, at 4 pm CET (10 am EST), where we will be discussing topics related to systematic ESG investing. Join us to learn about : - What systematic ESG portfolio managers need to…

Esg Investing

1 min read

A Systematic Approach to ESG Investing
A Systematic Approach to ESG Investing
Esg Investing

1 min read


4 days ago

Analysis of Price-Based Quantitative Strategies for Country Valuation

The motivation for this study comes from the idea of simplifying the concept of relative valuation among the countries. There exist several ideas for relative value approaches that compare the “visible price” (or market capitalization) of the stock market to some unseen “intrinsic value” of the market. The ideas of what we can use to measure the unseen “intrinsic value” of each individual country/market are numerous — it may be a number derived from GDP (like in a Buffet Indicator), total earnings of listed companies in the selected country (Shiller’s CAPE ratio), or ratios derived from yields, demographic, etc., etc. We asked ourselves — can we create a relative valuation model and use just the price data?

Value Investing

1 min read

Analysis of Price-Based Quantitative Strategies for Country Valuation
Analysis of Price-Based Quantitative Strategies for Country Valuation
Value Investing

1 min read


Sep 15

Language Analysis of Federal Open Market Committee Minutes

If there were a Superbowl of Finance for equities, it’d definitely be FOMC (Federal Open Market Committee) meetings. Investors and traders from around the world gather and make their decisions on the brink of releasing a statement and following the press conference. Shah, Paturi, and Chava (May 2023) contribute with a new cleaned, tokenized, and labeled open-source dataset for FOMC text analysis of various data categories (meeting minutes, speeches, and press conferences). They also propose a new sequence classification task to classify sentences into different monetary policy stances (hawkish, dovish, and neutral) and show the application of this task by generating a hawkish-dovish classification measure from the trained model that they later use in an interesting trading strategy.

Fomc

1 min read

Language Analysis of Federal Open Market Committee Minutes
Language Analysis of Federal Open Market Committee Minutes
Fomc

1 min read


Sep 13

The Seasonality of Bitcoin

Seasonality effects, one of the most fascinating phenomena in the world of finance, have captured the attention of investors and researchers worldwide. Since these anomalies are often driven by factors other than general market trends, they usually don’t correlate strongly with market movements, which can help reduce the portfolio’s overall risk. Following the theme of our previous article Are There Seasonal Intraday or Overnight Anomalies in Bitcoin?, we decided to extend the data and conduct a more in-depth analysis of our earlier findings. This article explores potential seasonal patterns related to Bitcoin, focusing on whether these patterns are influenced by factors such as current market trends or the level of volatility in the market.

Crypto Trading

1 min read

The Seasonality of Bitcoin
The Seasonality of Bitcoin
Crypto Trading

1 min read


Sep 8

Quantpedia in August 2023

What have we accomplished in the last month? – A new Component Analysis report – 11 new Quantpedia Premium strategies – 11 new related research papers – 7 new backtests written in QuantConnect code – 5 new blog posts – we present an independent test of Quantpedia’s strategy by AllocateSmartly – and finally, we would like to invite you to “A systematic approach to ESG investing” webinar we co-organize

Trading Ideas

1 min read

Quantpedia in August 2023
Quantpedia in August 2023
Trading Ideas

1 min read


Aug 31

Performance of Factor Strategies in India

India is a big emerging market, actually the second biggest after China. We primarily look at developed markets, mostly the U.S. and Europe, and from Emerging Markets, China at most, and we are aware that we neglect this prospective country. We would like to correct this notion and give attention to a country that is (along with China) being cited as a new potential rising superpower and already looking to take the lead of Emerging Markets (EM) countries. Today, we would like to review the paper that analyzes the performance of main equity factors (with an emphasis on the Quality factor) and is a good starting point to understand the specifics of factor investing strategies in India.

Stock Market In India

1 min read

Performance of Factor Strategies in India
Performance of Factor Strategies in India
Stock Market In India

1 min read


Aug 28

Dissecting the Performance of Low Volatility Investing

Low volatility investing is an appealing approach to compound wealth in the stock market for the long term. This particular factor investing style exploits the popular naive notion that lower (higher) risk must always equal lower (higher) overall returns. But in fact, this naive assumption is not true, as low-volatility investments often yield more than their high-volatility counterparts. While low-volatility investing has many advantages, it also results in some disadvantages. How to overcome them? Bernhard Breloer, Martin Kolrep, Thorsten Paarmann, and Viorel Roscovan, in their study Dissecting the Performance of Low Volatility Investing, propose a solution.

Low Volatility

1 min read

Dissecting the Performance of Low Volatility Investing
Dissecting the Performance of Low Volatility Investing
Low Volatility

1 min read


Aug 22

Predicting Stock Market Performance with the Global Anomaly Index

Today’s article focuses on investigating long-short anomaly portfolio return predictability in international stock markets, which often undergo mispricing due to investors’ sentiment. A paper by Jiang, Fuwei et al. (Apr 2023), suggests using the AAIG (Global Anomaly Index), and it examines the ability of the aggregate anomaly index to predict future returns in 33 stock markets. While previous research finds that a high aggregate anomaly measure predicts a low return in the U.S. market, this study further demonstrates that the global component of AAI (aggregate anomaly indices) is the key that drives international return predictability and reveals that the global anomaly index is a strong and robust predictor of equity risk premiums not just in the U.S. market but also in international markets, both in- and out-of-sample, consistently delivering significant economic values.

Market Timing

1 min read

Predicting Stock Market Performance with the Global Anomaly Index
Predicting Stock Market Performance with the Global Anomaly Index
Market Timing

1 min read


Aug 18

Avoid Equity Bear Markets with a Market Timing Strategy — Revisiting Our Research

In March, we posted a series of three articles where our goal was to construct a market timing strategy that would reliably sidestep the equity market during bear markets. In this article, we revisit our research to address the forward-looking bias in our final market timing strategy. Upon careful examination…

Market Timing

1 min read

Avoid Equity Bear Markets with a Market Timing Strategy — Revisiting Our Research
Avoid Equity Bear Markets with a Market Timing Strategy — Revisiting Our Research
Market Timing

1 min read

Quantpedia

Quantpedia

884 Followers

Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies

Following
  • Timothy S. Mayor

    Timothy S. Mayor

  • Eryk Lewinson

    Eryk Lewinson

  • Michael Harris

    Michael Harris

  • Warrior Trading

    Warrior Trading

  • Pantheon Macro

    Pantheon Macro

See all (36)

Help

Status

Writers

Blog

Careers

Privacy

Terms

About

Text to speech

Teams