Quantpedia in Could 2024
Howdy all,
Welcome Quantpedia’s month-to-month recapitulation.
Firstly, we would love to thank the entire individuals of our Quantpedia Awards 2024 competitors—our rivals, judges, sponsors, and likewise you, our readers. For these of you who weren’t following our social media channels – right here is the weblog put up that asserts winners. The primary 12 months of the occasion turned out nice, and we now have acquired very constructive suggestions. Persons are asking if we plan to proceed, and sure, we are able to promise that Quantpedia Awards will return in 2025 🙂
Secondly – a brand new Quantpedia Professional growth – the automated detection of equity-like belongings. We use our listing of things and multi-factor evaluation methodology to establish the principle drivers of efficiency for every element of the Mannequin Portfolio (and Benchmark) after which use this info together with the correlation of every element to fairness proxies to search out out which of the elements exhibit equity-like habits. This characteristic is now accessible within the Fundamental Overview report and can be utilized to gauge how the Mannequin Portfolio is underweight/chubby on fairness threat compared to its Benchmark.
And, what’s the extra use case, chances are you’ll ask? Effectively, it’s the precursor to one thing that’s over the horizon – the efficiency attribution evaluation. However let’s have a dialogue of this subject subsequent month 😉
And as normal, let’s additionally shortly recapitulate Quantpedia Premium growth:
Moreover, 5 new analysis articles had been revealed on the Quantpedia weblog within the earlier month:
Lively vs. Passive Life Cycle Financial savings StrategiesAuthor: Margareta PauchlyovaTitle: Lively vs. Passive Life Cycle Financial savings Methods
Buying and selling Arbitrage Portfolios Based mostly on Picture RepresentationsAuthor: Niklas PaluszkiewiczTitle: From Pixels to Earnings: Buying and selling Arbitrage Portfolios based mostly on Picture Representations
What’s the Dimension of the Danger Premia (from the Analysts’ Perspective)Authors: Pascal Büsing and Hannes MohrschladtTitle: Danger Premia – The Analysts’ Perspective
800 Years on the Monetary MarketsAuthors: Bryan TaylorTitle: 5 Monetary Eras
Company Bond Components: Replication Failures and a New FrameworkAuthors: Jens Dick-Nielsen, Peter Feldhütter, Lasse Heje Pedersen, Christian StolborgTitle: Company Bond Components: Replication Failures and a New Framework
Yours …
Radovan VojtkoCEO & Head of Analysis
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