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Quantpedia in July 2024

August 10, 2024

Hello all,

What have we accomplished in the last month?

– An extension of the Attribution Analysis report for Quantpedia Pro clients
– 12 new Quantpedia Premium strategies have been added to our database
– 7 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 7 new backtests written in QuantConnect code
– 4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Outperforming Equal Weighting

August 2, 2024

Equal-weighted benchmark portfolios are sometimes overshadowed by the more popular market capitalization benchmarks but are still popular and often used in practice. One of the advantages of equal-weighted portfolios is that academic research shows that in the long term, they tend to outperform their market-cap-weighted peers, mainly due to positive loadings on well-known factor premiums like size and value. So, if equal weighting outperforms market-cap weighting (in the long term), what options do we have if we want to outperform equal weighting? A recent paper by Cirulli and Walker comes to our aid with an interesting proposal …

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Combining Discretionary and Algorithmic Trading

July 25, 2024

The area we want to explore today is an interesting intersection between quantitative and more technical approaches to trading that employ intuition and experience in strictly data-driven decision-making (completely omitting any fundamental analysis!). Can just years of screen time and trading experience improve the metrics and profitability of trading systems through discretionary trading actions and decisions?

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Quantpedia in June 2024

July 10, 2024

Hello all,

What have we accomplished in the last month?

– A new Attribution Analysis report for Quantpedia Pro clients
– An exclusive promo from QuantInsti
– 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 7 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

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How to Construct a Long-Only Multifactor Credit Portfolio?

July 2, 2024

There exist two most common techniques for constructing multifactor portfolios. The mixing approach creates single-factor portfolios and then invests proportionally in each to build a multifactor portfolio. The integrated approach combines single-factor signals into a multifactor signal and then constructs a multifactor portfolio based on that multifactor signal. Which methodology is better? It is hard to tell, and numerous papers show each method’s pros and cons. The recent paper from Joris Blonk and Philip Messow explores this question from the standpoint of the credit fixed-income portfolio manager and offers their analysis, which shows that an integrated approach is probably better in this particular asset class.

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