Dear readers,
One more month is behind us and now it’s time for a short recapitulation. Nine new Quantpedia Premium strategies have been added into our database, and ten new related research papers have been included in existing Premium strategies during last month.
Additionally, we have produced 16 new backtests written in QuantConnect code. Our database currently contains over 310 strategies with out-of-sample backtests/codes.
Also, four new blog posts you may find interesting have been published on our Quantpedia blog:
YTD Performance of Crisis Hedge Strategies
Autores: Vojtko, Cisar
Título: YTD Performance of Crisis Hedge Strategies
Transaction Costs Optimization for Currency Factor Strategies
Author: Michael Melvin, Wenqiang Pan, Petra Wikstrom
Título: Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns
Trend Breaks in Trend-Following Strategies
Autores: Garg, Goulding, Harvey, Mazzoleni
Título: Breaking Bad Trends
Embedded Leverage in High Beta Funds and Management Fees
Autores: Hitzemann, Sokolinski, Tai
Título: Paying for Beta: Embedded Leverage and Asset Management Fees
Stay safe …
Radovan Vojtko
CEO & Head of Research
Are you looking for strategies that are useful in bear markets? Don’t miss our “Crisis Hedge” filtering field you can use to find strategies that can be utilized as a hedge/diversification to equity market risk factor during bear markets.
Are you looking for providers of alternative data? Check our Alternative Data section
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