Cracking Markets

There’s no doubt that buying and holding index ETFs is a long-term profitable strategy. But it has two problems. It does not reinvest profits, so the capital grows only linearly, not exponentially. And it exposes the capital to the full rollercoaster market risk. A sure way to go out of... Read more

June 16, 2021 My last post on Different ranking methods for a monthly S&P500 Stock Rotation Strategy generated lots of emails on other ideas to try. Below are the results of these ideas Backtest from 1/1/2007-12/31/2020. Buy It is the last trading day of the month Stock is a... Read more

Episode #321: Rajiv Jain, GQG Partners, “The Only Way To Survive Long-Term Is To Be Adaptive” Guest: Rajiv Jain is the Chairman and Chief Investment Officer of GQG Partners and also serves as the lead portfolio manager for all GQG Partners strategies. He commenced investment operations at GQG Partners... Read more

Episode #320: Shonda Warner, Chess Ag Full Harvest Partners, “The Interesting Thing About Ag Is That It’s There To Play Another Day” Guest: Shonda Warner founded Chess Ag Full Harvest Partners in 2006. Shonda has thirty years of experience in managing a multitude of financial assets besides just agriculture.... Read more

Markowitz Model We again present a short article as an insight into the methodology of the Quantpedia Pro report – this time for the Markowitz Portfolio Optimization. As usually, Quantpedia Pro allows the optimization of model portfolios built from the passive market factors (commodities, equities, fixed income, etc.), systematic trading strategies and uploaded... Read more

In this article we are going to talk about financial market history and why it is important for both the fundamental investor and quantitative trader to know how these events unfolded and what impact they had on the market. We put our focus on the LTCM hedge fund collapse and... Read more

Episode #319: Brandon Zick, Ceres Partners, “The Market Is $3 Trillion And Institutional Investors Own About 3% Of That” Guest: Brandon Zick joined Ceres Partners in 2010.  He is responsible for managing all investments at Ceres, including farmland and private equity strategies. In this role he supervises valuation analysis,... Read more

A Deeper Look into Factor Momentum Momentum seems to be present everywhere and based on academic studies, it is even hard to find assets where the anomaly does not work. Among the large number of research papers related to momentum, the discovery of factor momentum is still relatively new. It... Read more

Profit Factor is a trading performance indicator defined as the ratio of gross profits to gross losses. A trading system is profitable if the profit factor ratio is above 1.0.Key TakeawaysThe profit factor is the ratio of gross profit to the gross loss during a particular trading period.A Profit Factor... Read more

Episode #318: Perth Tolle, Life + Liberty Indexes, “If I Was In Hong Kong Right Now, I Would Be Arrested, Definitely, For Doing This” Guest: Perth Tolle is the founder of Life + Liberty Indexes. Prior to forming Life + Liberty Indexes, Perth was a private wealth advisor at... Read more

This is part one of a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital.In this short post I present the idea, and discuss some issues that I need to resolve. It's a bit of a stream of conciousness! It's... Read more

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I have begun sharing one of the Quantifiable Edges Seasonality Calendars each month. This month I decided to show the S&P Midcap 400. The Quantifiable Edges Seasonality Calendar uses multiple systems to measure historical performance on similar days to those on the upcoming calendar. The systems look at filters like... Read more

Algorithmic trading facilitates automated trading across all asset classes and market segments. The following are the most important historical and current algorithmic trading statistics for those researching the markets or industry.Key StatisticsEquities are likely to contribute $8.61 billion in the algo trading market share in 2027.7The algorithmic trading market is... Read more

Measuring Financial Investors Presence in Commodities No doubt, the financialization in commodities was a significant breakpoint in markets and research as well. Many commodity strategies in Quantpedia´s screener are linked to financialization. It would be naive to think that the speculation in the commodity futures which has emerged did not... Read more