Blog - QuantPedia

Why Do US Stocks Outperform EM and EAFE Regions?

January 5, 2024

Investing in emerging markets (EM) or developed markets (DM) outside of the United States tends to follow cyclical trends. At times, it becomes popular and crowded to focus solely on U.S. stocks, while in other periods, the trend shifts to favor everything except U.S. equities. This inclination often relies on historical and past performance data, although it doesn’t guarantee identical outcomes in the future. But what drives these periods of popularity? When do U.S. markets outperform Emerging Markets or other Developed Markets? When do large-cap stocks outperform small-cap stocks, and when do growth stocks outperform value stocks? Are those ebbs and flows in the performance of major thematic investments somehow interlinked, and can we uncover some insights into why this occurs? Those are the questions we will try to answer in the following analysis.

Quantpedia Premium Update – 22nd December 2023

December 22, 2023

Four new strategies have been added. Five new related research papers have been included into existing strategy reviews and two short free blog posts has been published during last few weeks. Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks.

What’s the FED Perspective on Inflation Surprises and Equity Returns

December 21, 2023

The period of high inflation in the 1970s prompted researchers to carefully examine the relationship between inflation and stock returns and to look for ways to avoid unexpected inflation. The year 2022 brought back inflationary pressures to the U.S. economy not seen in more than 40 years, and this has spurred new efforts to answer long-standing questions about inflation and asset prices. Authors from the Board of Governors of the Federal Reserve System (2023) bring a fresh perspective on this topic, and their paper allows us to get a FED insider’s view on the ageless question of how inflation affects equity returns.

Cyber Risk and the Cross-Section of Stock Returns

December 12, 2023

In today’s fast world, where information flows freely and transactions happen at the speed of light, the significance of cybersecurity cannot be overstated. But it’s no longer just a concern for IT professionals or tech enthusiasts. The specter of well-documented hacks and phishing incidents casts a long shadow over investors, acting as powerful illustrations of how security breaches, vulnerabilities, and cyber threats can reverberate through financial markets. In this blog post, we’ll delve into the intricate relationship between cybersecurity risk and stock performance, uncovering how these digital hazards can influence financial markets.

Quantpedia in November 2023

December 8, 2023

Hello all,

What have we accomplished in the last month?

– A new Alpha Analysis report
– 13 new Quantpedia Premium strategies have been added to our database
– 11 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– 4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Quantpedia Premium Update – December 8th

December 8, 2023

Seven new strategies have been added. Five new related research papers have been included into existing strategy reviews and one short free blog posts has been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.

What Can We Extract From the Financial Influencers’ Advice?

December 1, 2023

Social media are often the main and primary choice of information in almost every area of our lives, and they also influence the financial decisions of retail traders and investors. A lot of people give opinions anywhere on the Internet; some are respected, others are disrespected, some are more well-known, and others obscure. But the power of those people, financial influencers, as a group, is substantial as they create the market sentiment. But what’s the real value of their advice? Can we extract useful information from their opinions?

Are Alternative Social Data Predictors Useful for Effective Allocation to Country ETFs?

November 29, 2023

The part of the attention of our own research from the last few months was a little skewed on the side of countries’ indices and their corresponding ETFs representing them, and we finally conclude our “trilogy” of investigation on the efficiency of these markets. Firstly, we analyzed price-based valuation measures, and then, in November, we investigated the impact of military expenditures on the performance of international stock markets. We will wrap up this mini-series by analyzing a few additional alternative datasets containing variables we thought might be of interest in meaningfully describing each country’s societal standing – the climate change awareness index, the happiness score, the corruption perception index, and the income inequality score.

Quantpedia Premium Update – November 21st

November 23, 2023

Six new strategies have been added. Six new related research papers have been included into existing strategy reviews and three short free blog posts have been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks.