Hello all,
The current macro environment is challenging. Volatility is high and financial markets are affected by events happening all around the world, be it continuing conflict between Russia and Ukraine or lockdowns in China. Therefore, we are trying to help our clients better understand what they can expect in such situations.
Therefore, we have prepared two new “event analysis” reports, Fixed Income Crisis & Commodity Crisis, that are now available for all Quantpedia Pro clients. Inspired by the Crisis Analysis report, we have identified 20 additional new periods that were challenging for investors and traders, but this time in commodity and fixed income markets. So you can now review how your (or our) trading strategy would perform in those turbulent times. Or, as usual, you can review not just one strategy but build any model portfolio consisting of several ETFs and/or systematic strategies and review its performance.
Let’s also quickly recapitulate Quantpedia Premium development:
- 10 new Quantpedia Premium strategies have been added to our database
- 11 new related research papers have been included in existing Premium strategies during the last month
- 9 new backtests were written in QuantConnect code. Our database currently contains nearly 560 strategies with out-of-sample backtests/codes.
Additionally, 4 new articles were published on the Quantpedia blog in the previous month, 2x analysis of academic research papers and 2x Quantpedia studies:
- What’s the Best Factor for High Inflation Periods? – Part I
- What’s the Best Factor for High Inflation Periods? – Part II
Analysis of research papers:
How Does Weighting Scheme Impacts Systematic Equity Portfolios?
Authors: Wei Dai, Namiko Saito, Gigi Wang
Title: Do Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios
The Price of Transaction Costs
Author: Angana Jacob
Title: How to control the hidden costs of systematic investing
Yours …
Radovan Vojtko
CEO & Head of Research
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