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How to Improve ETF Sector Momentum

October 10, 2024

In this article, we explore the historical performance of sector momentum strategies and examine how their alpha has diminished over time. By analyzing the underlying causes behind this decline, we identify key factors contributing to the underperformance. Most importantly, we introduce an enhanced approach to sector momentum, demonstrating how this solution significantly improves the performance of an ETF sector momentum strategy, making it once again an effective tool for systematic investors.

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Quantpedia in September 2024

October 9, 2024

Hello all,

What have we accomplished in the last month?

– A new Optimization Report
– 11 new Quantpedia Premium strategies have been added to our database
– 12 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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Valuing Stocks With Earnings

October 1, 2024

Today, we will venture a little into the fundamental analysis corner, and we will give you a glimpse of an intriguing paper (Hillenbrand and McCarthy, 2024) that discusses the advantages of using ‘Street’ earnings over traditional GAAP earnings. The paper suggests that ‘Street’ earnings provide better valuation estimates and improved financial analysis. Is this a way how to improve the performance of the struggling equity value factor?

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ETF Re-balancing and Hedge Fund Front-Running Trades

September 26, 2024

Uninformed long-term investors provide an easy target for short-term traders, and they often unscrupulously take advantage of them. But ETF investors with long investment time horizons can mitigate some of the front-running costs if they take transactional costs into account to calculate whether it is economically optimal to participate in these “market games” (exchange and broker fees + classical opportunity costs of actively participating in strategy execution). Today, we will turn our attention to the paper “ETF Rebalancing, Hedge Fund Trades, and Capital Market” from Wang, Yao, and Yelekenova to better understand complex relationship between ETFs (their investors) and hedge funds.

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