Quantpedia in July 2024
Hey all,
Welcome once more to Quantpedia’s month-to-month recapitulation.
Firstly, a brand new Quantpedia Professional replace. We proceed on our path to enhance our new Attribution Evaluation report. Over the previous few weeks, we expanded step one within the report, the detection of the asset courses, into three teams – equity-like, fixed-income-like, and others. This is among the most typical methods portfolios (and benchmarks) are cut up into particular person segments. Now you can run an attribution evaluation of the outperformance (or underperformance) of your mannequin portfolio towards the benchmark and verify the outcomes utilizing each sorts of asset class detection: A/ equity-like, different belongings or B/ equity-like, fixed-income-like, and different belongings.
And as normal, let’s additionally rapidly recapitulate Quantpedia Premium improvement:
Moreover, 4 new analysis articles had been revealed on the Quantpedia weblog within the earlier month:
Outperforming Equal WeightingAuthors: Antonello Cirulli and Patrick S. WalkerTitle: Outperforming Equal Weighting
The Anticipated Returns of Machine-Studying StrategiesAuthors: Vitor Azevedo, Christopher Hoegner and Mihail VelikovTitle: The Anticipated Returns on Machine-Studying Methods
Combining Discretionary and Algorithmic TradingAuthors: Carlo Zarattini and Marios StamatoudisTitle: The Energy Of Worth Motion Studying
Designing Strong Pattern-Following SystemAuthor: Dobromir TzotchevTitle: Designing Strong Pattern-following System: Behind the Scenes of Pattern-following
Yours …
Radovan VojtkoCEO & Head of Analysis
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