Hello all,
The summer is usually a less hectic time, but we in Quantpedia continue our development, and we prepared and tested the new ETF Replication report for you.
Our ETF Replication report for Quantpedia Pro is similar in nature to the “Multi-Factor Analysis” report. It enables you to decompose your custom model portfolio (built from a custom combination of Quantpedia’s trading strategies, passive market factors, and your uploaded equity curves) into elementary investment factors using our multi-factor regression analysis but using just ETFs as underlying factors. Therefore, this report allows you to find which ETFs you can use if you want to passively replicate any 3rd party mutual/hedge fund, trading strategy, or custom portfolio. Of course, the passive holding of ETFs can’t replicate all funds/strategies, but if it’s possible, our ETF Replication report will uncover it for you.
Let’s also quickly recapitulate Quantpedia Premium development:
- 9 new Quantpedia Premium strategies have been added to our database
- 10 new related research papers have been included in existing Premium strategies during the last month
- 10 new backtests were written in QuantConnect code. Our database currently contains nearly 590 strategies with out-of-sample backtests/codes.
Additionally, 4 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 1x Quantpedia study:
Analysis of research papers:
The Buffett Indicator
Authors: Laurens Swinkels and Thomas S. Umlauft
Title: The Buffett Indicator: International Evidence
The Importance of Factor Construction Choices
Authors: Amar Soebhag, Bart van Vliet, and Patrick Verwijmeren
Title: Non-Standard Errors in Asset Pricing: Mind Your Sorts?
Takeover Factor Explains the Size Effect
Authors: Sara Easterwood, Jeffry Netter, Bradley Paye, Michael Stegemoller
Title: Taking Over the Size Effect: Asset Pricing Implications of Merger Activity
Yours …
Radovan Vojtko
CEO & Head of Research
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