In the first step, we use the multi-factor regression to build a synthetic portfolio and benchmark and let users review the in-sample match.<\/p>\n\n\n\n Afterward, we extend the history of a model portfolio & benchmark to nearly 100 years by modeling an input portfolio & benchmark via 18 factors with rich data history. <\/p>\n\n\n\n Users can then review synthetic portfolio and benchmark performance over an extended period, check performance in four sub-periods on a year-by-year basis, and monthly seasonality in synthetic portfolio performance. At the end are charts showing rolling correlation and beta to the US equities.<\/p>\n\n\n\n Let\u2019s also quickly recapitulate Quantpedia Premium<\/strong><\/a> development:<\/p>\n\n\n\n Additionally, 6 new articles were published on the Quantpedia blog<\/a> in the previous month, 3x analysis of academic research papers and 3x Quantpedia study<\/strong>:<\/p>\n\n\n\n Analysis of research papers:<\/strong><\/p>\n\n\n\n The Role of Interest Rates in Factor Discovery<\/a><\/strong> Stock-Bond Correlation, an In-Depth Look<\/a><\/strong> Are FOMC Announcements Really Informative?<\/a><\/strong> Yours \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":" Hello all,<\/p>\n What have we accomplished in the last month?<\/p>\n \u2013 One new Quantpedia Pro report – the 100-Year Portfolio Analysis![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/11\/Picture-215-100-Year-Portfolio-Replication-Comparison-1024x929.png\")
<\/figure>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/11\/Picture-216-100-Year-Portfolio-Replication-Extended-portfolio-1024x853.png\")
<\/figure>\n\n\n\n![\"\"](\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/11\/Picture-218-100-Year-Portfolio-Replication-Trio-1024x722.png\")
<\/figure>\n\n\n\n
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Authors<\/strong>: Jules H. van Binsbergen, Liang Ma, and Michael Schwert
Title<\/strong>: The Factor Multiverse: The Role of Interest Rates in Factor Discovery<\/p>\n\n\n\n
Author<\/strong>s: Noah Weisberger and Xiang Xu
Title<\/strong>: Stock-Bond Correlation: A Global Perspective
&
Author<\/strong>s: Junying Shen and Noah Weisberger
Title<\/strong>: US Stock-Bond Correlation: What are the Macroeconomic Drivers?<\/p>\n\n\n\n
Author<\/strong>s: Oliver Boguth, Vincent Gregoire, and Charles Martineau
Title<\/strong>: Noisy FOMC Returns<\/p>\n\n\n\n
CEO & Head of Research<\/p>\n\n\n\n
\n\n\n\n
\n\n\n\n
\n\u2013 11 new Quantpedia Premium<\/a> strategies have been added to our database
\n\u2013 11 new related research papers have been included in existing Premium strategies during the last month
\n\u2013 Additionally, we have produced 9 new backtests written in QuantConnect<\/a> code
\n\u2013 And finally, 3+3 new blog posts that you may find interesting have been published on our Quantpedia blog<\/a> in the previous month<\/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":[],"class_list":["post-22281","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/22281","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=22281"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/22281\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=22281"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=22281"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=22281"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}