{"id":43796,"date":"2025-12-27T12:11:11","date_gmt":"2025-12-27T11:11:11","guid":{"rendered":"http:\/\/david.melich"},"modified":"2025-12-27T12:11:11","modified_gmt":"2025-12-27T11:11:11","slug":"quantpedia-update-11th-january-2012-2","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-11th-january-2012-2\/","title":{"rendered":"Quantpedia Update – 11th January 2012"},"content":{"rendered":"

\n\tNew strategies:<\/u><\/strong><\/p>\n

\n\t#135 – Volatility Effect in Commodities<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Weekly
\n\tMarkets traded:<\/strong> commodities
\n\tInstruments used for trading:<\/strong> futures
\n\tComplexity:<\/strong> Complex strategy
\n\tBactest period: <\/strong>1992-2011
\n\tIndicative performance: <\/strong>12.36%
\n\tEstimated volatility:<\/strong> 19.30%
\n\tSource paper:<\/strong><\/p>\n

\n\tPerez, Fuertez, Miffre: Idiosyncratic Volatility Strategies in Commodity Futures Markets<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1971917<\/a>
\n\tAbstract:
\n\tThis paper studies the relationship between lagged idiosyncratic volatility and subsequent returns in commodity futures markets. The negative pattern observed in international equity markets by Ang et al. (2006, 2009) prevails in commodity futures markets too, suggesting that it may relate to a yet-to-be-specified risk factor that is pervasive across markets. Systematically buying commodities with low idiosyncratic volatility and shorting commodities with high idiosyncratic volatility generates an average alpha of 4.62% a year. Idiosyncratic volatility signals appear more robust to extreme market volatility conditions than momentum and\/or term structure signals. Robustness tests show that the profitability of idiosyncratic volatility signals is not an artifact of transaction costs, illiquidity or data mining. They are neither a mere compensation for backwardation and contango nor a manifestation of overreaction.<\/p>\n

\n\t#136 – Residual Momentum<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Monthly
\n\tMarkets traded:<\/strong> equities
\n\tInstruments used for trading:<\/strong> stocks
\n\tComplexity:<\/strong> Complex strategy
\n\tBactest period: <\/strong>1926-2009
\n\tIndicative performance: <\/strong>9.18%
\n\tEstimated volatility:<\/strong> 15.27%
\n\tSource paper:<\/strong><\/p>\n

\n\tBlitz, Huij, Martens: Residual Momentum<\/strong>
\n\thttp:\/\/repub.eur.nl\/res\/pub\/22252\/ResidualMomentum-2011.pdf<\/a>
\n\tAbstract:
\n\tConventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects.<\/p>\n

\n\t <\/p>\n

\n\tNew research paper related to existing strategies:<\/strong><\/u><\/p>\n

\t#42 – Overnight Anomaly<\/strong><\/p>\n

\n\tTao, Qiu: The International Evidence of the Overnight Return Anomaly<\/strong>
\n\thttp:\/\/69.175.2.130\/~finman\/Reno\/Papers\/OvernightReturnTaoQiu.pdf<\/a>
\n\tAbstract:
\n\tWe decompose the daily stock market returns of 29 countries into daytime trading period and overnight non-trading period returns. We find that the overnight returns are significantly higher than the trading period returns in 23 countries, indicating that the overnight return anomaly exists on a global level. We argue that this phenomenon may be explained by the upward bias of opening prices which is a result of increasing dispersion of opinions among investors over the non-trading period. Consistent with Miller’s (1977) optimism theory, we find that the overnight return anomaly is stronger in the markets with short sale constrains.<\/p>","protected":false},"excerpt":{"rendered":"

\n\tQuantpedia Update<\/u><\/strong><\/p>\n

\n\tTwo new strategies have been added:<\/p>\n

\n\t#135 – Volatility Effect in Commodities<\/strong><\/p>\n

\n\t#136 – Residual Momentum<\/strong><\/p>\n

\n\tAnd one new related research paper has been included into existing strategy reviews.<\/p>","protected":false},"author":11586,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-43796","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43796","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\/11586"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=43796"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43796\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=43796"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=43796"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=43796"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}