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Quantpedia in September 2024
Hi there and welcome to our September recap!
Let’s begin with the current Quantpedia Prime, Premium and Professional growth – our new Optimization Report. As portfolio managers, we consistently search methods to boost the efficiency of our Mannequin Portfolios, and we’d like a fast, environment friendly methodology to guage which property from a Benchmark might enhance the chance/return traits essentially the most. That’s precisely why we constructed this software. The brand new report permits customers to simulate completely different portfolio adjustment eventualities by lowering the load of the Mannequin Portfolio and including completely different combos of property from the Benchmark. This course of generates a number of optimized portfolios, that are then visualized and ranked based mostly on their return-to-risk ratio. The aim of this software is to simplify portfolio administration by serving to customers discover the simplest asset allocations to maximise returns whereas minimizing danger.
Danger-Return Chart highlights the Mannequin portfolio and the 5 portfolios with one of the best return/danger ratio. Afterward, the efficiency desk contains customary metrics like return, volatility, max drawdown, Sharpe ratio, and automotive/max DD, itemizing the Mannequin portfolio and the highest 5 optimized portfolios together with their asset compositions and weights.
Moreover, 5 new analysis articles had been printed on the Quantpedia weblog within the earlier month:
Valuing Shares With EarningsAuthors: Sebastian Hillenbrand and Odhrain McCarthyTitle: Valuing Shares With Earnings
ETF Re-balancing and Hedge Fund Entrance-Operating TradesAuthors: Wang, George Jiaguo and Yao, Yaqiong and Yelekenova, AdinaTitle: ETF Rebalancing, Hedge Fund Trades, and Capital Market
What Drives Crypto Asset Costs?Authors: Austin Adams, Markus Ibert, and Gordon LiaoTitle: What Drives Crypto Asset Costs?
Tips on how to Enhance Commodity Momentum Utilizing Intra-Market CorrelationAuthors: Margareta PauchlyovaTitle: Tips on how to Enhance Commodity Momentum Utilizing Intra-Market Correlation
Revisiting Pattern-following and Imply-reversion Methods in BitcoinAuthors: Sona BeluskaTitle: Revisiting Pattern-following and Imply-reversion Methods in Bitcoin
Yours …
Radovan VojtkoCEO & Head of Analysis
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