4 days agoIn-Sample vs. Out-Of-Sample Analysis of Trading StrategiesScience has been in a “replication crisis” for more than a decade. But what does it mean to us, investors and traders? Is there any “edge” in purely academic-developed trading strategies and investment approaches after publishing, or will they perish shortly after becoming public? After some time, we will revisit…Trading Strategy1 min readTrading Strategy1 min read
May 30Factor Trends and CyclesBearish trends or deep corrections in international equity markets starting in 2022 and rising interest rates worldwide brought investors’ attention back to not only once-proclaimed dead factor investing. From long-run and short run, during different market cycles, different factors behave differently. What’s fortunate is that it is pretty predictable to…Factor Investing1 min readFactor Investing1 min read
May 26An Evaluation of the Skewness Model on 22 Commodities FuturesSkewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. The goal of this analysis is to explore the commodity skewness trading strategy…Commodities1 min readCommodities1 min read
May 23Exploration of the Arbitrage Co-movement Effect in ETFsWe continue our short series of articles dedicated to the exploration of trading strategies that derive their functionality from the deep understanding of how Exchange Trading Funds (ETFs) work. In today’s article, we will analyze how we can use the information about the sensitivity of individual stocks to the ETF…Arbitrage1 min readArbitrage1 min read
May 19Anomaly Discovery and Arbitrage TradingToday, we will look closer into the hood of life expectancy of investment strategies and try to answer the critical question on which many, in some sense, if not all, trading strategies are built: what happens with anomalies after their discovery? The paper’s authors, with the sweet, simple name Anomaly…Arbitrage1 min readArbitrage1 min read
May 17How to Rebalance Smart Beta Strategies SmarterThe topic of Smart-Beta is widely recognized, and we cover, monitor, and inform about its developments. The analyzed piece is about the importance of the correct rebalancing strategy and is kindly provided by Research Affiliates. According to a recent research article, investors should re-consider rebalancing with turnover constraint only those…Portfolio Rebalancing1 min readPortfolio Rebalancing1 min read
May 12Comparison of Commodity Momentum Strategy in the U.S. and Chinese MarketsThe commodity momentum strategy is a crucial driving force behind Commodity Trading Advisor (CTA) strategies, as it capitalizes on the persistence of price trends in various commodity markets. By identifying and exploiting these trends, CTAs can achieve robust returns and diversification benefits. In their new paper, John Hua FAN and…Cta1 min readCta1 min read
May 8Quantpedia in April 2023- an extension of the Strategy Grading Quantpedia Pro report - 10 new Quantpedia strategies - 12 new related research papers - 8 new backtests - 5 new blogs https://quantpedia.com/quantpedia-in-april-2023/Sharpe Ratio1 min readSharpe Ratio1 min read
Apr 27Price Momentum or Factor Momentum: What Leads What?Continuing our research of different factor allocations and models, we will look at evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study…Price Action1 min readPrice Action1 min read
Apr 21Evaluating Factor Models in ChinaToday, we will evaluate some specifics that are akin to the now second largest market in the world — China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research of Zhiyong Li and Xiao Rao…Factor Investing1 min readFactor Investing1 min read
