Quantpedia.com blog


Supercointegrated Pairs Trading [0.20]

Posted on Aug. 17, 2017, 6:15 a.m. by Quantpedia.com blog @ [source]

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.

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Historical Returns of the Market Portfolio [0.11]

Posted on Aug. 14, 2017, 12:15 a.m. by Quantpedia.com blog @ [source]

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.

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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.

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Financialization of Crude Oil Market [-0.07]

Posted on July 27, 2017, 4:55 a.m. by Quantpedia.com blog @ [source]

Title: Has Crude Oil Become a Financial Asset?

The financialization of crude oil markets over the last decade has changed the behavior of oil prices in fundamental ways.

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How to Improve Shiller's CAPE Ratio [0.14]

Posted on July 19, 2017, 11:48 a.m. by Quantpedia.com blog @ [source]

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.

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Is Equity Premium Predictable? [0.11]

Posted on July 15, 2017, 5:01 a.m. by Quantpedia.com blog @ [source]

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.

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We at Quantpedia are pleased to invite you to a our new webinar Classification of Quantitative Trading Strategies prepared in cooperation with our friends from QuantInsti.

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Are REITs a Distinct Asset Class? [0.11]

Posted on June 30, 2017, 4:29 a.m. by Quantpedia.com blog @ [source]

Are REITs a Distinct Asset Class?

Title: Are REITs a Distinct Asset Class?

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Survey of Quality Investing [0.10]

Posted on June 22, 2017, 4:13 a.m. by Quantpedia.com blog @ [source]

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.

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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.

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Factors vs. Sectors in Asset Allocation [0.17]

Posted on June 8, 2017, 4:34 a.m. by Quantpedia.com blog @ [source]

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.

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An Analysis of Momentum Behaviour in a Long-Term [-0.03]

Posted on May 26, 2017, 12:39 p.m. by Quantpedia.com blog @ [source]

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.

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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.

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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.

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Do Mutual Fund Managers Have Stock-Picking Skill in Lottery Stocks? It doesn't mean professionals do not know how to pick stocks.

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Is VIX Index Manipulated ? [0.15]

Posted on April 29, 2017, 10:22 a.m. by Quantpedia.com blog @ [source]

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.

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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.

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The Intrinsic Value of Gold [0.08]

Posted on April 13, 2017, 4:21 a.m. by Quantpedia.com blog @ [source]

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.

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A recent paper takes a look on Time-Series (TS) vs. Cross-Sectional (CS) version of momentum strategy. We present new evidence that this happens only when the market continues in the same state, UP or DOWN.

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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.

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