{"id":13819,"date":"2021-07-28T18:05:26","date_gmt":"2021-07-28T16:05:26","guid":{"rendered":"https:\/\/quantpedia.com\/?p=13819"},"modified":"2025-06-04T14:28:51","modified_gmt":"2025-06-04T12:28:51","slug":"five-small-shards-of-insight-hidden-in-data","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/five-small-shards-of-insight-hidden-in-data\/","title":{"rendered":"Five Small Shards of Insight Hidden in Data"},"content":{"rendered":"

Around a month ago, we launched a series of short videos called “Quantpedia Explains<\/a>“, in which we plan to show and explain some of the themes out of quantitative finance that we think are worth mentioning. We have started with a quick intro to individual Quantpedia Pro reports<\/a>, and now, we have expanded our content with a series of short case study articles. Each article uses one Quantpedia Pro report to generate a quick market\/portfolio insight, and this blog post will give you a short recapitulation of the first five studies.<\/p>\n\n\n\n

Insight nbr.1:<\/h2>\n\n\n\n

In our first, seasonal case study<\/a>, we verified a few ideas out the academic research related to seasonality in the stock market (Turn of the Month effect described in “Xu, McConnell: Equity Returns at the Turn of the Month<\/em>“, FED day effect described in “Tori: Federal Open Market Committee meetings and stock market performance<\/em>“, etc.). We are often proponents of using academic research as an inspiration to translate a trading idea from one asset class to another. We used this opportunity to analyze the seasonal behaviour of Gold and shown that it displays a strong seasonal tendency in returns in days around US public holidays (which is not widely known).<\/p>\n\n\n\n

\"\"<\/figure><\/div>\n\n\n\n

Insight nbr. 2:<\/h2>\n\n\n\n

In the Market Phases Analysis case study<\/a>, we devoted our time to studying how Bitcoin performs during various phases of the market cycle. Some cryptocurrency proponents advocate that Bitcoin can be used as a store of value, mainly during the economic and financial crisis. In the past, we have written a blog post<\/a> where we argued that it is not necessarily the case as <\/strong>the performance of Bitcoin is usually the worst during the same time as stock market experiences the bear market. The following figure shows the 1 month past performance of SPY (blue bars) and Bitcoin (red bars).<\/p>\n\n\n\n

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Insight nbr. 3:<\/h2>\n\n\n\n

The third case study is related to the Correlation Analysis<\/a> report, which can be used to analyze any model portfolio. We examined how are cryptocurrencies correlated to other assets and how does the correlation evolved over time. The resulting outcome is that cryptocurrency market correlation slowly increases, and we can’t rule out the financialization of the crypto market (the same process that happened in commodities approximately ten years ago).<\/p>\n\n\n\n

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Insight nbr. 4:<\/h2>\n\n\n\n

The fourth case study explores the Crisis Analysis report<\/a>, which we used to analyze the behaviour of three different model portfolios during multiple short-term and long-term crisis periods. The case study confirmed that skewness-based trading strategies could serve as a practical hedge\/diversification during stock market drawdowns (as we also described in our older article<\/a>).<\/p>\n\n\n\n

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Insight nbr. 5:<\/h2>\n\n\n\n

The fifth case study shows how to apply the Naive Risk Parity method<\/a> to the model portfolio that consists of four ETFs. It shows the main attribute of most of the risk parity portfolios – lower total returns but significantly lower risk measures.<\/p>\n\n\n\n

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Interested? Then subscribe to Quantpedia Pro<\/a> and try how our analytics and reporting significantly saves time spent on quantitative research. <\/strong><\/p>\n\n\n\n

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Are you looking for more strategies to read about? Sign up for our newsletter<\/a> or visit our Blog<\/a> or Screener<\/a><\/strong>.<\/p>\n\n\n\n

Do you want to learn more about Quantpedia Premium service? Check how Quantpedia works<\/a>, our mission<\/a> and Premium pricing offer<\/a>.<\/strong><\/p>\n\n\n\n

Do you want to learn more about Quantpedia Pro service? Check its description<\/a>, watch videos<\/a>, review reporting capabilities<\/a> and visit our pricing offer<\/a>.<\/strong><\/p>\n\n\n\n

Are you looking for historical data or backtesting platforms? Check our list of Algo Trading Discounts<\/a><\/strong>.<\/p>\n\n\n\n

Would you like free access to our services<\/a>? Then, open an account with Lightspeed<\/a> and enjoy one year of Quantpedia Premium at no cost.<\/strong><\/p>\n\n\n\n

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Or follow us on:<\/strong><\/p>\n\n\n\n

Facebook Group<\/a>, Facebook Page<\/a>, Twitter<\/a>, Linkedin<\/a>, Medium<\/a> or Youtube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":"

This blog post will give you a short recapitulation of the five quick market\/portfolio insights built from Quantpedia Pro reporting<\/strong><\/a>.<\/p>\n

<\/strong><\/p>\n

– Gold displays a strong seasonal tendency<\/strong><\/a> in returns in days around US public holidays.<\/p>\n

<\/strong><\/p>\n

– The performance of Bitcoin is usually the worst during the same time as stock market experiences the bear market<\/strong><\/a>.<\/p>\n

<\/strong><\/p>\n

– Cryptocurrency market correlation<\/strong><\/a> slowly increases, and we can’t rule out the financialization of the crypto market (the same process that happened in commodities approximately ten years ago).<\/p>\n

<\/strong><\/p>\n

– Skewness-based trading strategies could serve as a practical hedge\/diversification during stock market drawdowns<\/strong><\/a>.<\/p>\n

<\/strong><\/p>\n

– We show the main attribute of most of the risk parity portfolios<\/strong><\/a> – lower total returns but significantly lower risk measures.<\/p>\n

<\/strong><\/p>","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[158,159],"class_list":["post-13819","post","type-post","status-publish","format-standard","hentry","category-uncategorized","tag-case-study","tag-own-research"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/13819","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=13819"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/13819\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=13819"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=13819"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=13819"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}