{"id":21278,"date":"2022-10-07T16:16:55","date_gmt":"2022-10-07T14:16:55","guid":{"rendered":"https:\/\/quantpedia.com\/?p=21278"},"modified":"2025-06-04T14:15:59","modified_gmt":"2025-06-04T12:15:59","slug":"quantpedia-in-september-2022","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-in-september-2022\/","title":{"rendered":"Quantpedia in September 2022"},"content":{"rendered":"

Hello all,<\/p>\n\n\n\n

We continue with the automatization of repetitive portfolio management tasks (as we did in August with\u00a0the Trading Edge report<\/a>); therefore, we spent September building three new\u00a0Quantpedia Pro<\/a>\u00a0reports that help to accelerate multi-strategy research –\u00a0Cross-Sectional Momentum Management<\/strong>,\u00a0Time-Series Moving Average Management<\/strong>, y\u00a0Cross-Asset Volatility Targeting<\/strong>. As always, users can select any combination of ETFs, custom equity curves, and\u00a0Quantpedia Premium<\/a>\u00a0strategies in the Portfolio Manager section and then look for new strategy allocation overlays.<\/p>\n\n\n\n

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A Cross-Sectional Momentum Management<\/strong> report applies momentum and contrarian strategy overlay signals based on the performance of the underlying. Suppose the user picks a list of ETFs as his model portfolio. In that case, he can easily automatically recreate and test cross-sectional momentum strategies in the spirit of popular momentum asset allocation<\/a> o sector rotation academic papers<\/a>. Or he can select a list of trading strategies as underlying and test factor momentum overlays<\/a>.<\/p>\n\n\n\n

Time-Series Moving Average Management<\/strong> report applies trend and contrarian strategy overlays in the time-series fashion. So if a user selects multiple ETFs as underlying, he can look for new CTA-like strategies<\/a> o asset class trend-following systems<\/a>. Or he can again test these rules on a list of individual strategies as overlays.<\/p>\n\n\n\n

The last new report, Cross-Asset Volatility Targeting<\/strong>, is similar to the Cross-Sectional Momentum Management<\/strong> report, but we decided to apply the volatility adjustment\/targeting<\/strong> because of the possibility of significant differences between the volatilities of our underlying strategies (or ETFs) selected in the Portfolio Manager. Equalizing the volatility contributions allows for the same chances for all strategies (ETFs) to appear in the top\/bottom portfolio based on their performance.<\/p>\n\n\n\n

The detailed methodology for all three reports is explained in the following article – Multi Strategy Management for Your Portfolio<\/a>.<\/p>\n\n\n\n

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Let\u2019s also quickly recapitulate Quantpedia Premium<\/strong><\/a> development:<\/p>\n\n\n\n