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How to Utilize Anticipated ETF Rebalances

February 10, 2022

For many investors, passive investing can be a no-brainer and is suggested by many, especially those who think that the walk is random. However, it does not mean that the passive investors do not trade – the ETFs trade instead of them. The indexes that are being tracked are rebalanced to account for changes in the market cap, mergers, delistings, or IPOs. The novel research shows that it matters how the ETFs trade. Even though the differences are not that big, for a long-term horizon, the differences compound. For active traders, the paper shows that the rebalancing of the ETFs could be utilized by trading in advance.

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Quantpedia Highlights in January 2022

February 3, 2022

Hello all,

What have we accomplished in the last month?

– A new Dollar-Cost Averaging Quantpedia Pro report
– 10 new Quantpedia Premium strategies have been added to our database
– 22 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 10 new backtests written in QuantConnect code
– And finally, 3+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Introduction to Dollar-Cost Averaging Strategies

January 31, 2022

Most of you have probably heard the saying that somebody “averaged” into or out of his investment position. But what does it exactly mean, and what different dollar-cost averaging strategies exist? We plan to unveil our new “Dollar-Cost Averaging” report for Quantpedia Pro clients next week, and this article serves as a short introduction to this term.

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Factor Performance in Bull and Bear Markets

January 27, 2022

Do common equity factors suffer during bear markets? Undoubtedly, the market factor is a rather unpleasant investment during bear markets, but what about the long-short factors? Are they able to deliver performance? The research paper by Geertsema and Lu (2021) provides several answers and interesting insights.

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VIX-Yield Curve Cycles May Predict Recessions

January 21, 2022

Since recessions and bear markets come hand in hand for several asset classes, recession predictions have always been the foremost concern. The yield curve slope, defined as the difference between long and short-term rates, is the leading indicator backed by numerous research papers. Hansen (2021) builds on this theorem, but the author improves the recession prediction by his empirical observation that the VIX index (index of implied equity volatility or fear index) and the slope co-move in counterclockwise cycles, which align with business cycles.

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