{"id":496,"date":"2012-03-02T21:35:17","date_gmt":"2012-03-02T21:35:17","guid":{"rendered":"http:\/\/quantpedia.com\/?p=496"},"modified":"2019-08-22T05:47:18","modified_gmt":"2019-08-22T05:47:18","slug":"quantpedia-update-2nd-march-2012","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-2nd-march-2012\/","title":{"rendered":"Quantpedia Update – 2nd March 2012"},"content":{"rendered":"

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

\n\t#164 – Short-Term Reversal in Equity Index Futures<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Weekly
\n\tMarkets traded: <\/strong>equities
\n\tInstruments used for trading:<\/strong> futures, CFDs, ETFs
\n\tComplexity:<\/strong> Simple strategy
\n\tBactest period: <\/strong>1993-2002
\n\tIndicative performance: <\/strong>29.60%
\n\tEstimated volatility:<\/strong> not stated
\n\tSource paper:<\/strong><\/p>\n

\n\tChen, Kang, Lien: Contrarian Long-Short Futures Arbitrages and Market Efficiency: Evidence in the Index Futures Markets around the Globe<\/strong>
\n\thttp:\/\/centerforpbbefr.rutgers.edu\/2006\/Paper%202006\/12AS01-046-INT_Index_Futures.pdf<\/a>
\n\tAbstract:
\n\tThe contrarian long-short futures arbitrages of holding for H days after simultaneously selling winners and buying losers in the past E days are analyzed in the 39 index futures markets around the globe in the 1992-2002 period. The excess normalized profits of {5,5} long-short futures arbitrages were statistically significant in all markets except the US index futures market. While these were particularly significant on Thursdays\/Fridays in the September spot months, they were mainly driven by return reversals and bear-market conditions. Our findings therefore suggest, among other things, that the long-short futures arbitrages may persist to be profitable in most index futures markets.<\/p>\n

\n\t#165 – Demographic Changes Predict Stock Market Returns<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Yearly
\n\tMarkets traded:<\/strong> equities
\n\tInstruments used for trading:<\/strong> ETFs
\n\tComplexity:<\/strong> Complex strategy
\n\tBactest period: <\/strong>1970-2000
\n\tIndicative performance: <\/strong>8.93%
\n\tEstimated volatility:<\/strong> not stated
\n\tSource paper:<\/strong><\/p>\n

\n\tAng, Maddaloni: Do Demographic Changes Affect Risk Premiums? Evidence from International Data<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=406049<\/a>
\n\tAbstract:
\n\tWe examine the link between equity risk premiums and demographic changes using a very long sample over the twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic variables significantly predict excess returns internationally. However, the demographic predictability found in the US by past studies for the average age of the population does not extend to other countries. Pooling international data, we find that, on average, faster growth in the fraction of retired persons significantly decreases risk premiums. This demographic predictability of risk premiums is strongest in countries with well-developed social security systems and lesser-developed financial markets.<\/p>\n

\n\t <\/p>\n

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

\t#20 – Volatility Risk Premium Effect<\/strong><\/p>\n

\n\tHodges, Tompkins, Ziemba: The Favorite\/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=424421<\/a>
\n\tAbstract:
\n\tThis paper examines whether the favorite\/long-shot bias that has been found in gambling markets (particularly horse racing) applies to options markets. We investigate this for the S&P 500 futures, the FTSE 100 futures and the British Pound\/US Dollar futures for the seventeen plus years from March 1985 to September 2002. Calls on the FTSE 100 with three months to expiration display a relationship between probabilities and average returns that are very similar to the favorite\/long-shot bias in horse racing markets pointed out by Ali (1979), Snyder (1978) and Ziemba & Hausch (1986). There are slight profits from deep in-the-money calls on the S&P 500 futures and increasingly greater losses as the call options are out-of-the-money. For 3 month calls on the FTSE 100 futures, the favorite bias is not found, but a significant long-shot bias has existed for the deepest out of the money options. For call options in both markets, for the one month horizon, only a longshot bias is found. For the put options on both markets, and for both 3 month and 1 month horizons, we find evidence consistent with the hypothesis that investors tend to overpay for all put options as an expected cost of insurance. The patterns of average returns is analogous to the favorite\/longshot bias in racing markets. For options on the British Pound\/US Dollar, there does not appear to be any systematic favorite\/long-shot bias for either calls or puts.<\/p>","protected":false},"excerpt":{"rendered":"

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

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

\n\t#164 – Short-Term Reversal in Equity Index Futures<\/strong><\/p>\n

\n\t#165 – Demographic Changes Predict Stock Market Returns<\/strong><\/p>\n

\n\tAnd one new related research paper has been included into existing strategy reviews.<\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-496","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/496","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\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=496"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/496\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=496"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=496"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=496"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}