This paper uses S&P100 data to examine the performance of pairs trading portfolios that are sorted by the significance level of cointegration between their constituents. Our results remain valid when applying the strategy to European index data.cointegration market pairs trading performance portfolio realized significance supercointegrated portfolio trading profitability volatility
Out of curiosity, what is benchmark return for each active trader/investor ...
Using a newly constructed unique dataset, this study is the first to document returns of the market portfolio for a long period and with a high level of detail. We analyze nominal, real, and excess return and risk characteristics of this global multi-asset market portfolio and the asset categories over the period 1960 to 2015.asset financial global GMP investor market portfolio performance portfolio returns study
Related to multiple strategies, mainly to Carry, Volatility Selling and Trend-Following strategies ...
What is the most significant contributing factor to the performance of a quantitative fund: its signal generators or its risk allocators?
We illustrate a few examples using back-tested data using systematic quantitative strategies with risk-based allocators.allocators carry generators multiple performance quantitative related signal strategies volatility
The accuracy of U.S. stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio has deteriorated since 1985. However, the out-of-sample forecast accuracy of stock forecasts produced by CAPE ratios has become increasingly poor.bond yields CAPE cape ratio forecast long run model regressions stock stock returns year ahead
Is Equity Premium Predictable?
We study the performance of a comprehensive set of equity premium forecasting strategies that have been shown to outperform the historical mean out-of-sample when tested in isolation.bias data snooping economic equity premium forecast forecasting strategies model of sample out of performance
Factor investing has experienced a resurgence in popularity under the moniker “smart beta.” Several traditional factors, such as value, size, momentum, and low beta, are well defined and have been heavily researched in academia as return anomalies for many decades. These factors have also been exploited by practitioners as quantitative strategies for enhancing returns.beta factor multi portfolio product quality signal stat stock strategies
Title: How Do Portfolio Weighting Schemes Affect Commodity Futures Risk Premia? To account for the unique characteristics of the commodity futures market, we propose a novel method of classification based on momentum or term structure properties in the formation of long-short portfolios in conjunction with the quantitative strategies from the equities literature.market optimization performance portfolio returns risk strategies timing weighting weighting scheme
What is better - factor of sector investing? Our results show that sector investing is effective for reducing risk through diversification while factor investing is better for capturing risk premia and so pushing up returns.allocation asset based diversification factor industry investing performance portfolio style
A recent paper takes a look on a long-term behaviour of momentum portfolios.
Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance--PMP) negatively predicts the performance of stale momentum portfolios.formed momentum momentum portfolio months performance PMP returns stale style year
We introduce a new approach to algorithmic investment management that yields profitable automated trading strategies. This trading model design is the result of a path of investigation that was chosen nearly three decades ago.automated complex designing dynamic financial markets model systems trading type
We are really happy to see that guys from QuantInsti did a new independent analysis of a strategy we have in our database. They propose a modified rotational momentum strategy which uses a 52-Week High as a predictor of cross-sectional equity performance to select top performing industries.EPAT executive performance prepared Professional Programme strategy trading training well
Is VIX Index Manipulated ?
At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in the out-of-the-money options that are used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX.explanations liquidity options OTM put settlement spx trading vix volume
Long-only commodity futures returns have been very disappointing over the last decade, leading some to wonder if it was a mistake to invest in commodities. The poor performance is the result of poor “income returns” and not of falling commodity prices.commodity future income returns inflation insurance investors market performance portfolio returns
In this paper, we propose a gold price index that enables market participants to separate the change in the ‘intrinsic’ value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market, where market power is defined as the impact that a change in a country’s exchange rate has on the price of gold expressed in other currencies.bloc currencies currency exchange rate global gold index market relationship usd
A recent paper gives a summary of theoretical explanations of asset price properties (based on neurology) and reasons for trendfollowing strategies.
We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years.briefly changed exploit human investors loops mechanisms neurological strategies trend