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Impact of Dataset Selection on the Performance of Trading Strategies

November 14, 2022

It would be great if the investment factors and trading strategies worked all around the world without change and under all circumstances. But, unfortunately, it doesn’t work like that. Some of the strategies are market-specific, as shown in this short analysis. The Chinese market has its own specifics, mainly higher representation of retail investors and lower efficiency. And it’s not alone; countless strategies work just in cryptocurrencies, selected futures, or some other derivatives markets. So, what’s the takeaway? Simple, it’s really important to understand that each anomaly is linked to the underlying dataset and market structure, and we need to account for it in our backtesting process.

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Multi Strategy Management for Your Portfolio

October 3, 2022

If you follow Quantpedia’s blogs, you probably know that Quantpedia PRO already contains multiple risk management and portfolio construction tools for your quantitative investment strategies. The newest Quantpedia PRO tool (available in a few days) will analyze something completely different, though – how to manage multi-strategy portfolios. The newest Quantpedia PRO tool (available in a few days) will analyze something completely different, though – how to manage multi-strategy portfolios. You can easily apply these multi-strategy overlays to various types of underlying – ETFs, systematic strategies, multi-asset portfolios, or multi-strategy portfolios. This article again serves as a primer for the new report’s methodology.

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The Worst One-Day Shocks and The Biggest Geopolitical Events of the Past Century

July 11, 2022

We dedicated several articles to how we created 100-year history for bonds, stocks, and commodities . Now we analyze the 50 worst one-day shocks and the following days in each of the abovementioned asset classes. In addition to that, we also look at how the multi-asset trend-following strategy performed during the same periods. Further, the second part of this article focuses on critical geopolitical events (the starts of major wars, international crises, and deterioration of US presidents’ health) and their effect on bonds, stocks, commodities, and the multi-asset trend-following strategy.

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Trend-Following in the Times of Crisis

June 10, 2022

When someone mentions a financial crisis, most people immediately think of the global financial crisis of 2007-2008. Even though this is the most significant economic crisis in recent years, there have been many more significant crisis periods in the past 100 years. This article examines the biggest crises in three asset classes: stocks, bonds, and commodities, during the past century. Additionally, we analyze the behavior of our trend-following strategy during each of the crisis periods and propose it as a hedge for the stock, bond, and/or commodity markets.

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100-Years of Multi-Asset Trend-Following

May 27, 2022

Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form – whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly before it’s put into use. This is one of our motivations why we will introduce to you our framework for building a 100-year daily history of a multi-asset trend-following strategy today.

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How Often Should We Rebalance Equity Factor Portfolios?

May 10, 2022

Quantpedia has already covered a countless number of factor investing strategies and articles, from strategies in our Screener to multiple blog posts. Therefore, we can confidently say that we do like factor investing. However, there is always new research with a unique point of view. For example, we recently found a paper focused on the decay of the factor exposures of equity factor strategies. The study examines five factors: Value, Momentum, Quality, Investment, and Low Volatility, across 12 developed and emerging markets over a 20-year period. This research aims to find out how long it takes for a factor to decay after the portfolio is assembled. In other words, how often should the portfolio be rebalanced? 

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