And now, let us present the two new reports for our Quantpedia Pro<\/a> subscription offering. <\/p>\n\n\n\n The first one, the Market Phase Analysis<\/strong> report, is once again inspired by the idea described in the \u201cMomentum Turing Points<\/a>\u201d research paper written by Garg, Goulding, Harvey and Mazzoleni. Once again, we decompose the equity market (we use the SPY ETF as a proxy for the dominant equity market) into the four phases (Bull Market, Correction, Bear Market, Recovery). Afterwards, the report offers the possibility to investigate past 12-months performance and future 20-day correlation of benchmark SPY ETF and model portfolio in each of those four phases. Additionally, user can also review the future average 1-, 3-, 6- and 12-months performances (and their 20th to 80th percentile interval) of SPY and model portfolio in each market phase. <\/p>\n\n\n\n The second new Quantpedia Pro<\/a> report is related to the Risk Parity<\/strong> portfolio allocation strategy<\/a>. It calculates the model portfolio’s weights based on the inverse volatility methodology and compares Risk Parity’s performance and risk contributions to an equally-weighted benchmark portfolio. In May, we will extend this report to cover also Equal Risk Contribution and Maximum Diversification methods. A short research article that will explain all Risk Parity methodologies in more detail will be published in a few days.<\/p>\n\n\n\n Additionally, we have added a correlation matrix and a new chart that displays average portfolio intra-correlations over time (average correlations between model portfolio’s individual constituents) into the Correlation Analysis<\/strong> report.<\/p>\n\n\n\n And finally, four new blog posts that you may find interesting have been published on our Quantpedia blog<\/a> in the previous month:<\/p>\n\n\n\n Hunt for Yield<\/a><\/strong> Market Sentiment and an Overnight Anomaly<\/a><\/strong> Crowding in Commodity Factor Strategies<\/a><\/strong> An Analysis of Volatility Clustering of Equity Factor Strategies<\/a><\/strong> Stay safe \u2026<\/p>\n\n\n\n Radovan Vojtko \u00bfBuscas m\u00e1s estrategias para leer? Suscr\u00edbete a nuestro bolet\u00edn informativo<\/a> o visite nuestra Blog<\/a> o Evaluador<\/a><\/strong>.<\/p>\n\n\n\n \u00bfQuieres saber m\u00e1s sobre el servicio Quantpedia Premium? Consulta C\u00f3mo funciona Quantpedia<\/a>, nuestra misi\u00f3n<\/a> y Oferta de precios premium<\/a>.<\/strong><\/p>\n\n\n\n \u00bfQuieres saber m\u00e1s sobre el servicio Quantpedia Pro? Compru\u00e9balo descripci\u00f3n<\/a>, mirar videos<\/a>, revisar capacidades de generaci\u00f3n de informes<\/a> y visite nuestro oferta de precios<\/a>.<\/strong><\/p>\n\n\n\n \u00bfBuscas datos hist\u00f3ricos o plataformas de backtesting? Consulta nuestra lista de Descuentos en Algo Trading<\/a><\/strong>.<\/p>\n\n\n\n \u00bfTe gustar\u00eda tener acceso gratuito a? nuestros servicios<\/a>? Entonces, Abre una cuenta con Lightspeed.<\/a> y disfrute de un a\u00f1o de Quantpedia Premium sin costo alguno.<\/strong><\/p>\n\n\n\n O s\u00edguenos en:<\/strong><\/p>\n\n\n\n Facebook Grupo<\/a>, Facebook P\u00e1gina<\/a>, Gorjeo<\/a>, LinkedIn<\/a>, Medio<\/a> o YouTube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":" The time flies very fast, and like every month, I have again a bunch of interesting improvements I would like to present to all of you. We again have two new reports for Quantpedia Pro<\/strong><\/a> (the Market Phase Analysis and the Portfolio Risk Parity reports) that I will describe soon.<\/p>\n But first, let’s recapitulate Quantpedia Premium development. Ten new Quantpedia Premium strategies<\/strong><\/a> have been added to our database, and twelve new related research papers have been included in existing Premium strategies during the last month. Additionally, we have produced 11 new backtests written in QuantConnect code<\/strong><\/a>. Our database currently contains over 430 strategies with out-of-sample backtests\/codes.<\/p>\n Additionally, four new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month …<\/p>","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-12624","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/12624","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=12624"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/12624\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=12624"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=12624"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=12624"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/05\/Untitled-308-Market-Phase-1.jpg\")
<\/figure>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/05\/Untitled-308-Market-Phase-2.jpg\")
<\/figure>\n\n\n\n![\"Risk](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2021\/05\/Untitled-307-Risk-Parity.jpg\")
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Autores:<\/strong> Hao Jiang, Lily Li and Lu Zheng & Alexandru Barbu, Christoph Fricke and Emanuel Moench & Matthijs Korevaar
Titles:<\/strong> Beware of Chasing Yield: Bond Fund Yield, Flows and Performance & Procyclical Asset Management and Bond Risk Premia & Reaching for Yield: How Investors Amplify Housing Booms and Busts<\/p>\n\n\n\n
Author:<\/strong> Daniela Hanicova
T\u00edtulo:<\/strong> Market Sentiment and an Overnight Anomaly<\/p>\n\n\n\n
Author:<\/strong> Wenjin Kang, K. Geert Rouwenhorst and Ke Tang
T\u00edtulo:<\/strong> Crowding and Factor Returns<\/p>\n\n\n\n
Author:<\/strong> Dominik Cisar
T\u00edtulo:<\/strong> An Analysis of Volatility Clustering of Equity Factor Strategies<\/p>\n\n\n\n
CEO & Head of Research<\/p>\n\n\n\n
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