QuantPedia

In an era of increasingly fragmented market microstructure, the emergence of cross-asset connectedness between Crypto and public equity markets presents a critical challenge for modern portfolio construction. This blog post examines the recent working paper by Harin de Silva, "The Attention Factor: The Speculative Risk You May Already Own," which identifies a previously underappreciated transmiss…

Commodity markets are in the spotlight. Two factors currently stand out. Firstly, the geopolitical tensions, as ongoing instability in the Middle East continues to create uncertainty in energy markets, particularly on the supply side. Secondly, less discussed are climate conditions as the El Niño–Southern Oscillation (ENSO) is a recurring climate cycle that affects temperature and precipitation p…

The growing dominance of passive investing has fundamentally altered the dynamics of equity markets. A substantial share of trading volume is now driven by index-tracking strategies, which mechanically allocate capital based on index membership rather than company-specific fundamentals. This raises an important question: can predictable flows associated with index rebalancing be systematically ex…

Five new strategies have been added. Three new related research paper have been included into existing strategy reviews and four new short free blog posts have been published during last few weeks. Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Update – April 27th first appeared on QuantPedia .

One of the advantages of the Quantpedia Pro platform and its Portfolio Analysis toolkit is the ability to analyze not only multi-asset and multi-strategy portfolios but also individual equity curves. Users can upload virtually any return series or analyze assets already present in the database. The same analytical tools used for portfolio construction can therefore also be applied to single asset…

What if a meaningful part of a usual trading strategy’s performance has nothing to do with your signal—but simply when you rebalance? A recent paper written by Carlo Zarattini & Alberto Pagani highlights a largely underestimated risk in systematic investing: rebalance timing luck (RTL). For practitioners running rotation or factor strategies, this is not noise—it’s a structural source of dispersi…

This study examines the profitability of mean-reversion trading strategies applied to binary outcome contracts on Polymarket, the world's largest decentralized prediction market platform. We analyze three distinct contracts representing varying risk profiles: a quasi-risk-free instrument (No to "Will Jesus Christ return in 2025?") and two high-yield speculative contracts (No to "Will China invade…

Many beginners enter the markets with the same silent assumption: if they study hard enough, find the right indicators, or discover the right strategy, they should eventually be able to generate high returns with manageable risk. The market appears full of examples that seem to confirm this belief. Screenshots of triple digit gains are everywhere. Backtests often look smooth. Social media makes i…

Hello all, What have we accomplished in the last month? – Launch of Quantpedia's API – Invitation to Uncorrelated Puerto Rico conference – Quantpedia Awards 2026 reminder – 11 new Quantpedia Premium strategies – 7 new related research papers – 7 new backtests – and finally, 7 new posts on our Quantpedia blog The post Quantpedia in March 2026 first appeared on QuantPedia .

Five new strategies have been added. Three new related research paper have been included into existing strategy reviews and three new short free blog posts have been published during last few weeks. Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks. The post Quantpedia Premium Post – April 7th first appeared on QuantPedia .

The global investment environment is going through a period of meaningful structural change. The dominance of the U.S. dollar is increasingly being questioned, geopolitical tensions are rising, and macroeconomic uncertainty remains elevated. Together, these forces challenge the post-Global Financial Crisis environment in which U.S. equities consistently outperformed most international markets. As…

One year ago, in our article “Can We Finally Use ChatGPT as a Quantitative Analyst?”, we explored the feasibility of leveraging ChatGPT for quantitative analysis. Since then, a lot has changed: newer models are now available (from OpenAI and also other vendors), and the ecosystem around AI-assisted analysis has evolved significantly. Back then, we encountered numerous challenges, ranging from mod…

Quantpedia is The Encyclopedia of Quantitative Trading Strategies We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.

Carbon that has not yet been emitted should not be used to predict stock returns. While this sounds obvious, prior research papers (e.g., Bolton and Kacperczyk, 2021) have done exactly that. This critical observation forms the basis for the Robeco Institutional Asset Management research team’s re-examination of the relationship betweenclimate risk and asset pricing. Investors and academics alike …

Quantitative strategy research is rarely about discovering a single “perfect” trading rule. In practice, robust portfolios emerge from a structured research process that filters ideas, evaluates evidence, and combines complementary strategies. In this article, we demonstrate how such a workflow can be implemented using the tools available in Quantpedia Pro. Rather than focusing on maximizing the …

The goal of our article is to examine the long-term relationship between small value and large growth stocks using more than 100 years of data and test whether the spread between small value and large growth portfolios shows trends that could help investors switch between the two styles. Using the Fama and French 2×3 and 5×5 size and book-to-market portfolios, we construct the small value minus l…

This study examines the effectiveness of several anomaly-based trading strategies applied to the real estate sector represented by the RlEst index from the Fama–French 48 industry portfolios. Using monthly data from July 1, 1926, to December 1, 2025, we analyze whether selected strategies are capable of generating superior risk-adjusted returns compared to both the standalone RlEst index and the …

Over the past month, we revisited and significantly expanded the Trend/Reversal Analysis Report within Quantpedia’s portfolio analytics tools. The report is designed to help users evaluate how their custom model portfolio behaves under different momentum and trend-based overlays. In the first section, the tool applies positive trend and momentum overlays, where the portfolio is held long only dur…

Quantpedia is The Encyclopedia of Quantitative Trading Strategies We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.