Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. Financial mathematics and most quantitative models assume some kind of symmetric...

We have previously mentioned that not all models (such as CAPM) that work well for developed markets (DM, such as the U.S. and Europe) are suited to be applicable in other world parts. The following article is a short analysis that shows that investing in Emerging Markets (EM) has its...

Post–earnings-announcement drift (abbr. PEAD) is a well-researched phenomenon that describes the tendency for a stock’s cumulative abnormal returns to drift in the direction of an earnings surprise for some time (several weeks or even several months) following an earnings announcement. There...

Various research shows that market sentiment, also called investor sentiment, plays a role in market returns. Market sentiment refers to the general mood on the financial markets and investors' overall tendency to trade. The mood on the market is divided into two main types, bullish and bearish....

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 the problem of futures contracts and backtesting. If the contracts are spliced together, the resulting backtest is wrong. Such a dataset would include artificial and non-existing jumps that would appear in the analysis as profits or losses. This paper aims to examine some...

This paper aims to find a strategy that would work even during bear markets. Such approach should be profitable even when the equity markets are down and could be used as a hedge during those bad times. Common sense suggests that maybe some different asset classes could be used for such purpose....

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...

The main focus of this paper is to show that calendar/seasonal anomalies are well-working even in the most recent periods and, additionally, to find a way how to combine them in a search for profit from the practitioner's point of view. This paper is a case study of possible usage of following...