Hello all,
The volatility in financial markets is still elevated, and the macro environment is challenging. Therefore, we continue to build risk management reports for our Quantpedia Pro clients. The latest addition is the Monte Carlo Analysis report, for which we unveiled our methodology approximately a week ago.
Our report uses Monte Carlo sampling with replacement. We create 100 new alternative histories of your trading strategy (or any model portfolio built in the Portfolio Manager) and review the cumulative returns of the simulated strategies and the 95th, 75th, 50th, 25th, 10th, 5th, 1st, and the 0th percentile of the risk and return characteristics. We suggest paying attention and analyzing the worst-case scenarios (10th, 5th, 1st, and the 0th percentile).
Let’s also quickly recapitulate Quantpedia Premium development:
- 9 new Quantpedia Premium strategies have been added to our database
- 15 new related research papers have been included in existing Premium strategies during the last month
- 10 new backtests were written in QuantConnect code. Our database currently contains nearly 570 strategies with out-of-sample backtests/codes.
Additionally, 8 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 5x Quantpedia studies:
- Extending Historical Daily Bond Data to 100 Years
- Best Performing Value Strategies – Part 1
- Extending Historical Daily Commodities Data to 100 Years
- 100-Years of Multi-Asset Trend-Following
- Introduction and Examples of Monte Carlo Strategy Simulation
Analysis of research papers:
Carbon Futures – Emerging Asset with Hedging Benefits
Authors: Sercan Demiralay, Gaye Hatice Gencer, Selcuk Bayraci
Title: Carbon Credit Futures as an Emerging Asset Hedging, Diversification and Downside Risks
How Often Should We Rebalance Equity Factor Portfolios?
Authors: Emlyn Flint, Rademeyer Vermaak
Title: Factor Information Decay: A Global Study
Grading and Merging ESG Scores from Multiple Providers
Author: Invest Verte
Title: Invest Verte Framework
Yours …
Radovan Vojtko
CEO & Head of Research
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