{"id":97055,"date":"2021-07-30T10:56:50","date_gmt":"2021-07-30T14:56:50","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=97055"},"modified":"2024-05-15T10:29:41","modified_gmt":"2024-05-15T14:29:41","slug":"five-small-shards-of-insight-hidden-in-data","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/five-small-shards-of-insight-hidden-in-data\/","title":{"rendered":"Five Small Shards of Insight Hidden in Data"},"content":{"rendered":"\n<p>Around a month ago, we launched a series of short videos called \u201c<a rel=\"noreferrer noopener\" href=\"https:\/\/quantpedia.com\/how-it-works\/quantpedia-explains\/\" target=\"_blank\">Quantpedia Explains<\/a>\u201c, in which we plan to show and explain some of the themes out of quantitative finance that we think are worth mentioning. We have started with a quick intro to individual&nbsp;<a rel=\"noreferrer noopener\" href=\"https:\/\/quantpedia.com\/how-it-works\/quantpedia-pro-reports\/\" target=\"_blank\">Quantpedia Pro reports<\/a>, and now, we have expanded our content with a series of short case study articles. Each article uses one Quantpedia Pro report to generate a quick market\/portfolio insight, and this blog post will give you a short recapitulation of the first five studies.<\/p>\n\n\n\n<p><strong>Insight nbr.1:<\/strong><\/p>\n\n\n\n<p>In our first,&nbsp;<a href=\"https:\/\/quantpedia.com\/case-study-seasonality-analysis\/\">seasonal case study<\/a>, we verified a few ideas out the academic research related to seasonality in the stock market (Turn of the Month effect described in \u201c<em>Xu, McConnell: Equity Returns at the Turn of the Month<\/em>\u201c, FED day effect described in \u201c<em>Tori: Federal Open Market Committee meetings and stock market performance<\/em>\u201c, etc.). We are often proponents of using academic research as an inspiration to translate a trading idea from one asset class to another. We used this opportunity to analyze the seasonal behaviour of Gold and shown that it displays a strong seasonal tendency in returns in days around US public holidays (which is not widely known).<\/p>\n\n\n\n<figure class=\"wp-block-image img-twothird\"><img decoding=\"async\" width=\"376\" height=\"268\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-065-Gold-Seasonality-quantpedia.png\" alt=\"\" class=\"wp-image-97059 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-065-Gold-Seasonality-quantpedia.png 376w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-065-Gold-Seasonality-quantpedia-300x214.png 300w\" data-sizes=\"(max-width: 376px) 100vw, 376px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 376px; aspect-ratio: 376\/268;\" \/><\/figure>\n\n\n\n<p><strong>Insight nbr. 2:<\/strong><\/p>\n\n\n\n<p>In the&nbsp;<a href=\"https:\/\/quantpedia.com\/case-study-market-phases\/\">Market Phases Analysis case study<\/a>, we devoted our time to studying how Bitcoin performs during various phases of the market cycle. Some cryptocurrency proponents advocate that Bitcoin can be used as a store of value, mainly during the economic and financial crisis. In the past, we have written a&nbsp;<a rel=\"noreferrer noopener\" href=\"https:\/\/quantpedia.com\/bitcoin-in-a-time-of-financial-crisis\/\" target=\"_blank\">blog post<\/a>&nbsp;where we argued that it is not necessarily the case as<strong>&nbsp;<\/strong>the performance of Bitcoin is usually the worst during the same time as stock market experiences the bear market.&nbsp;The following figure shows the 1 month past performance of SPY (blue bars) and Bitcoin (red bars).<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"750\" height=\"179\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-066-BTC-vs.-Equity-performance-quantpedia.png\" alt=\"Five Small Shards of Insight Hidden in Data\" class=\"wp-image-97063 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-066-BTC-vs.-Equity-performance-quantpedia.png 750w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-066-BTC-vs.-Equity-performance-quantpedia-700x167.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-066-BTC-vs.-Equity-performance-quantpedia-300x72.png 300w\" data-sizes=\"(max-width: 750px) 100vw, 750px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 750px; aspect-ratio: 750\/179;\" \/><\/figure>\n\n\n\n<p><strong>Insight nbr. 3:<\/strong><\/p>\n\n\n\n<p>The third case study is related to\u00a0<a rel=\"noreferrer noopener\" target=\"_blank\" href=\"https:\/\/quantpedia.com\/case-study-correlation-analysis\/\">the Correlation Analysis<\/a>\u00a0report, which can be used to analyze any model portfolio. We examined how are cryptocurrencies correlated to other assets and how the correlation evolved over time. The resulting outcome is that cryptocurrency market correlation slowly increases, and we can\u2019t rule out the financialization of the crypto market (the same process that happened in commodities approximately ten years ago).<\/p>\n\n\n\n<figure class=\"wp-block-image img-twothird\"><img decoding=\"async\" width=\"503\" height=\"342\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-067-Cryptocurrency-intra-market-correlation-quantpedia.png\" alt=\"\" class=\"wp-image-97066 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-067-Cryptocurrency-intra-market-correlation-quantpedia.png 503w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-067-Cryptocurrency-intra-market-correlation-quantpedia-300x204.png 300w\" data-sizes=\"(max-width: 503px) 100vw, 503px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 503px; aspect-ratio: 503\/342;\" \/><\/figure>\n\n\n\n<p><strong>Insight nbr. 4:<\/strong><\/p>\n\n\n\n<p>The fourth case study explores the&nbsp;<a href=\"https:\/\/quantpedia.com\/case-study-crisis-analysis\/\">Crisis Analysis report<\/a>, which we used to analyze the behaviour of three different model portfolios during multiple short-term and long-term crisis periods. The case study confirmed that skewness-based trading strategies could serve as a practical hedge\/diversification during stock market drawdowns (as we also described in&nbsp;<a rel=\"noreferrer noopener\" href=\"https:\/\/quantpedia.com\/skewness-lottery-effect-in-commodities\/\" target=\"_blank\">our older article<\/a>).<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"1024\" height=\"399\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-068-Skewness-strategy-1-1024x399-quantpedia.png\" alt=\"\" class=\"wp-image-97073 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-068-Skewness-strategy-1-1024x399-quantpedia.png 1024w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-068-Skewness-strategy-1-1024x399-quantpedia-700x273.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-068-Skewness-strategy-1-1024x399-quantpedia-300x117.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-068-Skewness-strategy-1-1024x399-quantpedia-768x299.png 768w\" data-sizes=\"(max-width: 1024px) 100vw, 1024px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1024px; aspect-ratio: 1024\/399;\" \/><\/figure>\n\n\n\n<p><strong>Insight nbr. 5:<\/strong><\/p>\n\n\n\n<p>The&nbsp;<a href=\"https:\/\/quantpedia.com\/case-study-risk-parity\/\">fifth case study shows how to apply the Naive Risk Parity method<\/a>&nbsp;to the model portfolio that consists of four ETFs. It shows the main attribute of most of the risk parity portfolios \u2013 lower total returns but significantly lower risk measures.<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"750\" height=\"449\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-072-Risk-Parity-quantpedia.png\" alt=\"Five Small Shards of Insight Hidden in Data\" class=\"wp-image-97079 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-072-Risk-Parity-quantpedia.png 750w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-072-Risk-Parity-quantpedia-700x419.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/07\/Picture-072-Risk-Parity-quantpedia-300x180.png 300w\" data-sizes=\"(max-width: 750px) 100vw, 750px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 750px; aspect-ratio: 750\/449;\" \/><\/figure>\n\n\n\n<p>Visit Quantpedia for additional insight on this topic: <a href=\"https:\/\/quantpedia.com\/five-small-shards-of-insight-hidden-in-data\/\">https:\/\/quantpedia.com\/five-small-shards-of-insight-hidden-in-data\/<\/a>.<\/p>\n\n\n\n<p><em>Past performance is not indicative of future results.<\/em><\/p>\n\n\n\n<p><em>Any stock, options or futures symbols displayed are for illustrative purposes only and are not intended to portray recommendations.<\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Join Quantpedia for a look at five short case studies using quantitative finance methods.<\/p>\n","protected":false},"author":186,"featured_media":38256,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,341,351,344],"tags":[1633,4922,10074,494,5547,10073],"contributors-categories":[13662],"class_list":{"0":"post-97055","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-data-science","8":"category-ibkr-quant-news","9":"category-quant-development","10":"category-quant-europe","11":"category-quant-regions","12":"tag-cryptocurrency","13":"tag-econometrics","14":"tag-gold-seasonality","15":"tag-quant","16":"tag-risk-parity","17":"tag-skewness-strategy","18":"contributors-categories-quantpedia"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO 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