The Application of Turning Tail Risks into Tailwinds
There must be risks to investing. However, we always want to eliminate it as much as possible. How to trasform … Continue Reading The Application of Turning Tail Risks into Tailwinds
Quant Investing: The Momentum-based Beta Strategy (I)
Elastic Asset Allocation (2014) is a momentum-based strategy published by Wouter J. Keller that only uses a geometrically weighted average … Continue Reading Quant Investing: The Momentum-based Beta Strategy (I)
The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Financial advisors focus on asset class as a way to help investors diversify their portfolios to maximize returns. Investing in … Continue Reading The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Multi-filter Optimization for Pair Trading
Pair trading is a market neutral strategy, its concept is using multiple high connected symbol which have high linkage between … Continue Reading Multi-filter Optimization for Pair Trading
Application of Portfolio Decisions Within a Generalized Funding Ratio Framework
Harmonizing portfolios is always trending. Modern Portfolio Theory (MPT), the 1990 Nobel Memorial Prize in Economic Sciences, was proposed by … Continue Reading Application of Portfolio Decisions Within a Generalized Funding Ratio Framework
Quant Investing: Style Rotation Based on the VIX Index
Style rotation is a timing strategy based on the state of VIX, deciding whether value stock or Growth stock can … Continue Reading Quant Investing: Style Rotation Based on the VIX Index
Quant Investing : Idea For Inflation Strategy Improvement
Since the beginning of 2022, although inflation stays at a high point, but with the Federal Reserve actively expressing its … Continue Reading Quant Investing : Idea For Inflation Strategy Improvement
Quant Investing: Application of Investor Sentiment Constructed by Overnight Return
Investor sentiment is an important topic that has been researched in these two decades There are diverse top-down or bottom-up … Continue Reading Quant Investing: Application of Investor Sentiment Constructed by Overnight Return
Quant Investing: How Volatility-Scaled improve Momentum (I)
Time-series momentum is a strategy based on absolute momentum which means the trend of an asset is independent of others … Continue Reading Quant Investing: How Volatility-Scaled improve Momentum (I)
Quant Investing: Robust Beta and Its Effectiveness in Single-index Model
Robust Beta and Its Effectiveness in Single-index Model Introduction In this work, we try to perform a comprehensive analysis on … Continue Reading Quant Investing: Robust Beta and Its Effectiveness in Single-index Model
Quant Investing : Inflation Hedge Improvement
In Hedge Interest Risk in High Inflation Environment, we present a simple combined strategy that aims to eliminate interest rate … Continue Reading Quant Investing : Inflation Hedge Improvement
Quant Investing: Pure Alpha 2022
This report introduces Gamma Paradigm’s Pure Alpha strategy framework – one of the two pillars of Gamma Paradigm Prime Fund. … Continue Reading Quant Investing: Pure Alpha 2022
Quant Investing: Composed Volatility based Time Series Momentum
The traditional momentum factor (cross mom) is a strategy that buys past winners and short sells past losers. It has … Continue Reading Quant Investing: Composed Volatility based Time Series Momentum
Quant Investing : Hedge Interest Rate Risk in High Inflation Environment
In the previous work Inflation-Protected Bond Rotation Strategy. We introduce an inflation indicator to form a bond allocation strategy under … Continue Reading Quant Investing : Hedge Interest Rate Risk in High Inflation Environment
Quant Investing: Max-Pain Theory and the Option Force Crystal Ball
The “Option Force Crystal Ball” is our quantitative solution for open interest analysis. It utilizes the Max-pain Theory, a young … Continue Reading Quant Investing: Max-Pain Theory and the Option Force Crystal Ball
Quant Investing: What Happens to Convertible Bonds in 2021? Part 2
In the previous report, we mentioned the abnormal performance of convertible bond ETF and tried to explain the source of … Continue Reading Quant Investing: What Happens to Convertible Bonds in 2021? Part 2