Quantpedia in July 2021

Hello all,

It has become a small tradition to summarize what have we accomplished in the last month. So what you can look forward to?

The most interesting developments are our two new Quantpedia Pro reports – we call them “Market Segments” and “Strategy Segments“. The main goal of both reports is to give you the possibility to quickly assess the current state of different segments of financial markets. The “Market Segment” shows 1M, YTD and 12M Performance of traditional passive market factors in 8 different sections – equity sectors, styles, regions, countries, commodities, currencies, fixed income and alternatives.

The “Strategy Segments” report is dedicated especially for quants as it shows the performance of the 5 best (and worst) systematic model trading strategies out of our database. Charts show 1M, YTD and 12M Performance of Equity Long-Short, Trend Following, Crisis Hedge, Day and Swing Trading, ETF Trading and Crypto Trading strategies. Both reports are updated on a monthly basis, and we hope they will help our users to orientate in the actual landscape of quantitative trading strategies.

And now, let’s also quickly recapitulate Quantpedia Premium development: 11 new Quantpedia Premium strategies have been added to our database, and 10 new related research papers have been included in existing Premium strategies during the last month. Additionally, we have produced 10 new backtests written in QuantConnect code. Our database currently contains over 460 strategies with out-of-sample backtests/codes.

Plus, we have redesigned our “Quantpedia Explains” subpage, which now contains short demo videos of Quantpedia Pro service and multiple case studies. In the following blog post, you may read a quick recapitulation of five quick market/portfolio insights built from Quantpedia Pro reporting.

And finally, four new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month:

Book Value in Modern Era
Authors: Ki-Soon Choi, Eric C. So and Charles C. Y. Wang
Title: Going by the Book: Valuation Ratios and Stock Returns

Do SPACs Generate Abnormal Returns?
Authors: Eason Chong, Emily Zhong, Fannie Li, Qianyi Li, Saharsh Agrawal and Qingquan Zhang
Title: Comprehensive Study of Special-Purpose Acquisition
Company (SPAC): An Investment Perspective

Man vs. Machine: Stock Analysis
Authors: Sean Cao, Wei Jiang, Junbo L. Wang and Baozhong Yang
Title: From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses

Introduction to CPPI – Constant Proportion Portfolio Insurance
Author: Daniela Hanicova
Title: Introduction to CPPI – Constant Proportion Portfolio Insurance

Stay safe …

Radovan Vojtko
CEO & Head of Research


Are you looking for more strategies to read about? Visit our Blog or Screener.

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