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Cryptocurrency as an Investable Asset Class – 10 Lessons

October 24, 2025

Cryptocurrencies have matured from experimental curiosities into a viable investable asset class whose return-generation and risk characteristics merit treatment within empirical asset pricing. A recent paper by Nicola Borri, Yukun Liu, Aleh Tsyvinski, Xi Wu summarizes ten facts from the literature that show cryptocurrencies share important similarities with traditional markets—comparable risk-adjusted performance and a small set of cross-sectional factors—while retaining distinctive features such as frequent large jumps and price signals embedded in blockchain data. Key themes include portfolio diversification, factor structure, market microstructure, and the evolving role of regulation and derivatives in shaping market discovery and stability.

Can Technology Sector Leadership Be Systematically Exploited?

October 16, 2025

The U.S. equity market has periodically been dominated by a few technology-driven stocks, most recently the so-called “Magnificent Seven.” Historically, similar dominance occurred during the Nifty Fifty era in the 1960s–1970s and the dot-com boom in the 1990s. These periods of concentrated leadership often led to temporary outperformance, but systematically capturing such gains has proven challenging. Our study investigates the potential to exploit technology sector dominance using momentum-based strategies across Fama–French 12 industry portfolios, analyzing whether long-only, long-short, and rolling-basis approaches can generate persistent alpha, and assessing the limitations of simple timing methods.

How Can We Explain the Low-Risk Anomaly?

August 28, 2025

The low-risk anomaly in financial markets has puzzled researchers and investors, challenging the traditional risk-return paradigm (higher risk->higher return). This phenomenon, where low-risk assets outperform their high-risk counterparts on a risk-adjusted basis, has been observed across various asset classes, including stocks and mutual funds. What may be the possible explanation? Pass-through mutual funds, which aim to replicate the performance of specific market indices, play a crucial role in this context by channeling investor flows and potentially influencing asset prices through demand pressure.

Why Most Markets and Styles Have Been Lagging US Equities?

June 18, 2025

Over the past decade and a half, the US equities have set the hard-to-beat performance benchmark. Nearly all of the other countries, no matter if small or big, emerging or developed, have lagged behind. However, what are the forces behind this outperformance? Why did most of the other markets and even investing styles bow to the US large-cap growth dominance? A new paper written by David Blitz nicely analyses the rise of the behemoth.

Can We Finally Use ChatGPT as a Quantitative Analyst?

May 30, 2025

In two of our previous articles, we explored the idea of using artificial intelligence to backtest trading strategies. Since then, AI has continued to develop, with tools like ChatGPT evolving from simple Q&A assistants into more complex tools that may aid in developing and testing investment strategies—at least, according to some of the more optimistic voices in the field. Over a year has passed since our first experiments, and with all the current hype around the usefulness of large language models (LLMs), we believe it’s the right time to critically revisit this topic. Therefore, our goal is to evaluate how well today’s AI models can perform as quasi-junior quantitative analysts—highlighting not only the promising use cases but also the limitations that still remain.

Quantpedia Awards 2025 – Winners Announcement

May 27, 2025

This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will the authors of the papers receive?

Let’s find out …

Revisiting Pragmatic Asset Allocation: Simple Rules for Complex Times

April 30, 2025

Pragmatic Asset Allocation (PAA) represents a portfolio construction approach that seeks to balance the benefits of systematic trend-following with the realities faced by semi-active investors (mainly taxes and lack of time to manage positions). Approximately a month ago, we ran a test and filtered asset allocation strategies from our Screener and looked for those that performed well on a YTD basis. One of those models that fared surprisingly well was the PAA model, and given the challenging market conditions so far in 2025, with mixed signals across asset classes and increased macroeconomic uncertainty, we believe it is an ideal time to revisit the PAA framework. This analysis may help clarify whether a pragmatic, rules-based approach can still hold its ground—or even outperform—in a year when many models have struggled.

Fear, Not Risk, Explains Asset Pricing

April 17, 2025

With financial markets increasingly whipsawed by geopolitical tensions and unpredictable policy shifts from the Trump administration—investors are once again questioning how to understand risk, fear, and the true drivers of returns. A recent and compelling paper dives into this debate with a provocative thesis: in “Fear, Not Risk, Explains Asset Pricing,” authors Rob Arnott and Edward McQuarrie argue that traditional models built on quantifiable risk have failed to explain real-world returns, and that fear—messy, emotional, and deeply human—is the missing piece.

Navigating Market Turmoil with Quantpedia Tools: A Rational Guide for Portfolio Management

April 7, 2025

The recent imposition of sweeping global tariffs by President Donald Trump has triggered a sharp and sudden selloff across global equity markets. In times like these, it’s natural for panic to set in. However, as quantitative investors, our strength lies in data-driven decision-making, risk management, and maintaining discipline when others lose theirs.

Rather than reacting emotionally, the prudent course of action is to reassess the robustness of our portfolios. Are we diversified across uncorrelated strategies? Do we have components in place that act as hedges during market crises? Fortunately, the tools provided by Quantpedia can help investors, traders, and portfolio managers identify, test, and deploy crisis-resilient strategies in a structured and evidence-based manner.

Front Running in Country ETFs, or How to Spot and Leverage Seasonality

April 1, 2025

Understanding seasonality in financial markets requires recognizing how predictable return patterns can be influenced by investor behavior. One underexplored aspect of this is the impact of front-running—where traders anticipate seasonal trends and act early, shifting returns forward in time. We have already explored seasonality front-running in commodities, stock sectors, and crisis hedge portfolios. Our new research examines whether this phenomenon extends to country ETFs, an asset class where seasonality has been less studied. By applying a front-running strategy to a dataset of country ETFs, we identify opportunities to capitalize on seasonal effects before they fully materialize. Our findings indicate that pre-seasonality drift is strongest in commodities but remains present in country ETFs, offering a potential edge in portfolio construction. Ultimately, our study highlights how front-running seasonality can enhance ETF investing, providing an additional layer of market timing beyond traditional trend-following approaches.