In this paper, our goal is to construct a market timing strategy that would reliably sidestep the equity market during bear markets and thereby reduce market volatility and boost risk-adjusted returns. We build trading signals based on price-based indicators, macroeconomic indicators, and a...

This paper reviews academic research about ESG factors and socially responsible investing. Probably the main issue with ESG investing is caused by the ESG data. ESG scores vary across various datasets, which makes all analyses complicated for academics, practitioners, and companies as well. We...

This paper takes an in-depth look at socially responsible investing and problems associated with it. One of the main problems with ESG factor investing is caused by data. Firstly, we obtained unfiltered ESG data from OWL Analytics. Secondly, we reviewed two strategies based on ESG Factor...

This paper analyzes the rebalancing premium in cryptocurrencies. Rebalancing premium is defined as the premium an investor gains from periodically rebalancing their portfolio. Many papers examine this effect; however, very few to none study crypto markets.In the first section of this article, we...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...

The length of historical data used to construct market factors is a crucial aspect of factor replication strategies. However, available historical data of many tradable instruments often limit our abilities to analyze their behavior in a variety of market conditions. In this research paper, we...

Our purpose is to test the selected groups of strategies during period ranging from 2000 to 2020 as a hedge to equities during market downturns. We made performance analysis and correlations to test the strategies’ relationship with equities. Moreover, we added essential safe haven assets to...