Quantocracy

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Recent Quant Links from Quantocracy as of 01/20/2026

This is a summary of links recently featured on Quantocracy as of Tuesday, 01/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Gold Cross-Asset Momentum [Allocate Smartly]

    This is a test of a simple and effective gold trading strategy from Cyril Dujava of Quantpedia with his research: Cross-Asset Price-Based Regimes for Gold. Backtested results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 100+ asset allocation strategies like this one in near real-time. Logarithmically-scaled. Click for
  • Portfolio Optimization [Quantitativo]

    An investor who knew future returns with certainty would invest in only one security. Harry Markowitz We dont know the future. This is why we intuitively spread our bets. Harry Markowitz turned that intuition into algebra. In 1952, he published a paper that gave diversification a rigorous mathematical foundation, proving not just that it works, but exactly how much of each asset to
  • AI is no longer an experimental tool in finance [Tommi Johnsen]

    But it is increasingly the way markets get read, sized up, and traded. If you work with stocks, youve probably felt it already. The advantage isnt just speedy spreadsheets. The advantage is the ability to chew through messy, human language like headlines, filings, earnings-call transcripts, social chatter, and turn it into usable signals. The unfair advantage of large language models (LLMs)
  • The Many Facets of Stock Momentum [Alpha Architect]

    Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum

Recent Quant Links from Quantocracy as of 01/19/2026

This is a summary of links recently featured on Quantocracy as of Monday, 01/19/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • What Investors Should Know About Common Sentiment Models: Tone Isn t Attribution [Tommi Johnsen]

    Sentiment analysis has become a foundational tool in modern investing. From academic papers to hedge fund dashboards, models like FinBERT and RoBERTa variants are routinely used to classify news as positive or negative for stocks. However, there is a critical assumption hiding in plain sight. Thanks for reading! Subscribe for free to receive new posts and support my work. That assumption is that
  • The Fallacy of Concentration Risk [Quantpedia]

    Market concentration has become one of the most discussed structural risks in todays equity markets. A small group of mega-cap stocksoften the largest five to ten namesnow accounts for an unusually large share of major market indices. This has led to widespread concerns that such concentration makes markets more fragile and that elevated index weights at the top may foreshadow weaker
  • Can AI Read the News Better Than You? How ChatGPT Could Transform Momentum Investing [Alpha Architect]

    Momentum investing has been a cornerstone of quantitative finance for decades. Researchers Nikolas Anic, Andrea Barbon, Ralf Seiz, and Carlo Zarattini hypothesized that the ability of large language models (LLMs) to interpret and synthesize textual information in real time can be used to identify news that is likely to trigger price momentums. Their study, ChatGPT in Systematic Investing,
  • New Feature: The Underperformer Watchlist [Allocate Smartly]

    Weve added a new feature for members, the Underperformer Watchlist. All investment strategies go through rough patches. Its the nature of taking risks in inherently unpredictable financial markets. One of the difficulties of investing is knowing when a rough patch is just a normal period of poor performance, and when its significant enough to warrant further concern. The Underperformer
  • Implied vs. Realized Volatility in Delta Hedging Strategies [Relative Value Arbitrage]

    Delta hedging is a fundamental topic in portfolio and risk management. In this post, we discuss which volatility measure should be used in the delta hedging process, while a future edition will examine the appropriate hedging frequency and time horizon. Which Free Lunch Would You Like Today Sir? Reference [1] is a classic article on delta hedging that addresses the following question: if an

Recent Quant Links from Quantocracy as of 01/13/2026

This is a summary of links recently featured on Quantocracy as of Tuesday, 01/13/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Data: Building micro-machines [Trading the Breaking]

    Most performance debates in trading start at the wrong layer. Quants argue about languages, compilers, and fast code, as if latency were a property of instructions. In production, latency is a property of structure: how state is laid out, how it is shared, how often the machine is forced to translate addresses, and how predictable the control flow remains. The micro-pauses that ruin fills are
  • Much Ado About Variance [Robot Wealth]

    Lets be honest: 2025 was a pretty good year to be a systematic trader. If you had a diversified portfolio of risk premia, you probably did alright. Claiming we did anything overly special in such a favourable environment would be a tad arrogant. That said, theres a big difference between the market was kind and I was prepared to capture what the market offered. So heres a look
  • How dollar invoicing and dollar debt shape FX risk premia [Macrosynergy]

    Persistent differences in the USD returns of international currencies point to long-run differences in risk premia. Empirical work has identified two dominant factors: dollar risk and carry-trade risk. These factors, in turn, can be linked to countries macroeconomic positions. In particular, extensive dollar invoicing and higher net foreign debt relative to GDP make currencies more procyclical:

Recent Quant Links from Quantocracy as of 01/09/2026

This is a summary of links recently featured on Quantocracy as of Friday, 01/09/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Are markets that are good for trend good just bc they have also gone up a lot, or bc carry, or… [Investment Idiocy]

    I have a friend, ex-colleague and TTU co-host who runs a fixed income focused CTA. We have regular coffees (he pays, so his fund is doing ok) and one of our favourite topics for arguing debating making polite conversation about is why fixed income is so much better for trend than anything else. He's biased, but then arguably so am I; I started my career trading rates options, and we both
  • The fourth quarter effect in small caps [Klement on Investing]

    In the US, the full-year/Q4 earnings season begins next week, and investors will pay particular attention to these earnings and the guidance for 2026. But did you know that companies, in particular smaller companies, are much more likely to miss analyst expectations in Q4? Previously, I have written about research that shows that US company earnings are most truthful (least deceptive) in Q4,
  • Completing a Correlation Matrix: Another Problem from Finance [Portfolio Optimizer]

    The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists in determining the closest2 valid correlation matrix to an approximate correlation matrix In this blog post, I will now describe the correlation matrix completion problem, which consist in filling in the missing coefficients of a partially
  • Do Breakouts of Strong Swings Work? I Tested 40 Futures Markets and the Data Is Clear [Cracking Markets]

    Many traders spend hours hunting for strong support and resistance levels with the goal of entering counter-trend trades. They bet on price hitting a wall and reversing. However, when I tested over 15 years of history across 40 futures markets, I found something different. Peter Do Breakouts of Strong Swings Work? I Tested 40 Futures Markets and the Data Is Clear Holding a position mechanically in

Recent Quant Links from Quantocracy as of 01/04/2026

This is a summary of links recently featured on Quantocracy as of Sunday, 01/04/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Cross-Asset Price-Based Regimes for Gold [Quantpedia]

    This article develops a price-based macrofinancial model of gold that formally links its medium-horizon return dynamics to cross-asset risk-premium configurations. Although gold has traditionally been conceptualized as a non-yielding inflation hedge or safe-haven asset, contemporary empirical evidence reveals a substantially more intricate structure: golds forward returns are systematically
  • Top Ten Blog Posts on Quantpedia in 2025 [Quantpedia]

    One year is again behind us (in this case, it was 2025), and we are all a little older (and hopefully richer and/or wiser). Turn-of-the-year period is usually an excellent time for a short recap. Over the past 12 months, we have kept our pace and published nearly 70 short analyses of academic papers and our own research articles. So lets summarize 10 of them, which were the most popular (based
  • The Hidden Risks of Leveraged Single-Stock ETFs [Alpha Architect]

    Levered ETFs may appeal to those who wish to hedge other positions, those with strong directional views, or those with so-called lottery preferences. Hendrik Bessembinder The Explosive Growth of a Risky Product Leveraged single-stock Exchange-Traded Funds (LSS-ETFs) have captured investors attention with a seductive promise: amplified exposure to popular stocks without the complexity
  • Data: Low-latency data structures [Trading the Breaking]

    You can have the right signal, the right risk limits, and the right order type, and still lose money because your system expresses that decision at the wrong moment. That failure mode is especially cruel because it doesnt look like bad alpha in a backtest; it looks like slippage, adverse selection, and fills that degrade exactly when you most need precision. The strategy survives on paper while
  • The Volatility You Can t See [Concretum Group]

    Volatility is one of the most important numbers in finance, yet it has a strange feature: it cannot be directly observed. Volatility is a latent variable, meaning it is a real property of markets, but it can only be inferred from the footprints it leaves on prices. As a useful analogy, consider intelligence. We all agree intelligence is real in the sense that it influences outcomes, but

Recent Quant Links from Quantocracy as of 12/29/2025

This is a summary of links recently featured on Quantocracy as of Monday, 12/29/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hundreds Of Quant Papers From #QuantLinkADay In 2025 [Turnleaf Analytics]

    I tweet a lot (from @saeedamenfx and at BlueSky at @saeedamenfx.bsky.social)! In amongst the tweets about burgers, I tweet out a quant paper or link every day under the hashtag of #QuantLinkDay, mostly around FX, rates, economics, machine learning etc. Some are directly relevant to what were doing at Turnleaf Analytics forecasting inflation and other economic variables (and if youre
  • Taming the Anomaly Zoo: How Macroeconomic Forces Shape Market Returns [Alpha Architect]

    The central and unfinished task of absolute pricing is to understand and measure the sources of aggregate or macroeconomic risk that drive asset prices.John Cochrane Imagine walking into a zoo filled with hundreds of mysterious creatureseach one promising extraordinary rewards but defying conventional explanation. Welcome to finances anomaly zoo, where researchers have catalogued
  • Public finance pressure as a systematic trading factor [Macrosynergy]

    Public finance risk has long been a key concern in emerging markets and has become increasingly important in developed economies as well, owing to rising debt ratios and structural deficits. Public finance pressure indicators capture the impact of funding conditions and budget constraints on government policy. In developed countries, rising fiscal pressure typically leads to tighter fiscal policy

Recent Quant Links from Quantocracy as of 12/22/2025

This is a summary of links recently featured on Quantocracy as of Monday, 12/22/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Understanding Gold Hedge, Diversifier, or Overpriced Insurance? [Quantpedia]

    In Understanding Gold, Claude B. Erb and Campbell R. Harvey examine golds enduring reputation as a safe-haven asset and contrast popular narratives with empirical evidence. While gold has preserved purchasing power over millenniawhat the authors call the golden constantthis does not translate into reliable short- or medium-term inflation hedging. Golds volatility is comparable to
  • Can We Use U.S. Government Shutdowns as a Signal for Investment Decisions [Quantpedia]

    In recent times, we have observed heightened volatility across financial markets. Concerns surrounding government shutdowns, as well as the uncertainty they create, do little to calm these fluctuations. Rather than being purely disruptive, however, such events raise an intriguing question: could these episodes of political and economic uncertainty actually be leveraged to our advantage in
  • When Execution Delays Erode Short-Term Alpha [Concretum Group]

    In short-term trading systems, delaying the execution of a signal can lead to a meaningful deterioration in performance. Many systematic traders design strategies under the assumption that any signal computed at the market close should be executed on the next days open. This workflow has a clear and important advantage: it keeps the live trading process perfectly aligned with the out-of-sample

Recent Quant Links from Quantocracy as of 12/15/2025

This is a summary of links recently featured on Quantocracy as of Monday, 12/15/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Challenging the “Lazy Man’s Momentum Strategy” [Allocate Smartly]

    This is a quick analysis of the Lazy Mans Momentum Strategy, a simple country rotation strategy. Every six months the strategy selects from 22 country indices, buying the 11 with the highest 6-month return (*). For reasons we discuss in a bit, we will not be adding this strategy to our platform. Backtested results from 1971 follow. Results are net of transaction costs see backtest
  • Is Trend Following Better than Buy the Dip ? [Alpha Architect]

    Buy the dip (BTD) has become one of the most popular investment mantras of recent years, especially since the COVID-19 market recovery in 2020. The strategy seems intuitive: when markets fall, buy at a discount and wait for the inevitable rebound. However, BTD is not foolproof. By design, it performs well when market declines are brief, but poorly when declines mark the beginning of a
  • Can We Blame Index Funds for More Volatile Financial Markets? [Quantpedia]

    Over the past seven decades, U.S. equity-market volatility has roughly doubledfrom about 10% to 20%and this increase is concentrated at the market level and at high frequencies (daily volatility up by ~130%, weekly by ~75%, monthly by ~40%). A new paper by Lars Lochstoer and Tyler Muir argues that this structural change is not driven by macroeconomic fundamentals or firm-level shocks but by
  • Risk, Leverage, and Optimal Betting in Financial Markets [Relative Value Arbitrage]

    Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this post, we examine key considerations in position sizing, including the Kelly criterion and the martingale betting system. Does Kelly Portfolio Outperform the Market? A method for capital allocation and position sizing is to employ the Kelly

Recent Quant Links from Quantocracy as of 12/11/2025

This is a summary of links recently featured on Quantocracy as of Thursday, 12/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Covariance Matrix Forecasting: Average Oracle Method [Portfolio Optimizer]

    Continuing this series on covariance matrix forecasting (c.f. here and there for the previous posts), I will now describe a relatively recent1 data-driven, model-free, way to [forecast] covariance [and correlation] matrices of time-varying systems2 rooted in random matrix theory. This method – introduced in Bongiorno et al.2 and called Average Oracle – consists in replacing the eigenvalues of a
  • Statistical Factor Modeling [OS Quant]

    This article explores using data to uncover latent streams of returns, otherwise known as factors. We jump into the world of rotations to make sense of the factors and show how to ensure stability when used for real-world trading. Author Adrian Letchford Published 26 November 2025 Length 29 minutes When you buy something and the price changes, what happened? Lets say, for example, you buy
  • Murphy’s Law [Quantitativo]

    Anything that can go wrong, will go wrong. Major Edward A. Murphy Jr., aerospace engineer A few days ago in Abu Dhabi, I met an old friend I hadnt seen since our graduation. We were among the very few aerospace engineers trained in our home country that year. After a few years serving in the Air Force (I went straight into civilian life, he didnt), he eventually moved on: first

Recent Quant Links from Quantocracy as of 12/05/2025

This is a summary of links recently featured on Quantocracy as of Friday, 12/05/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Alternative Market Signals: Investing with the Box Manufacturing Index [Quantpedia]

    Investors are increasingly exploring alternative indicators to gain an edge in financial markets. Traditional signals, such as earnings reports or macroeconomic data, often come with delays or may already be priced in. As a result, unconventional metrics have attracted attention. For example, recent focus has been on construction inventory statistics, where large stockpiles have been interpreted
  • Opportunity-Set Bias in Mean-Reversion Trading Systems [Concretum Group]

    In the evaluation of new signals and trading strategies, a common practice is to initiate the research process by analyzing a full set of trade statistics. The rationale behind this approach is simple: strategies exhibiting attractive trade-level metrics are considered eligible for further due diligence, whereas those that do not can be quickly rejected. While this approach may appear reasonable
  • Rob Hanna – Trading the VIX in a Diversified Portfolio [Algorithmic Advantage]

    For members of the Algo Collective (https://www.algoadvantage.io/collective) Ill produce an even more detailed research report (its already 14 pages) on Robs strategies. Over time Ill generate more actionable code in there as well, as I know thats always in hot demand! See you on the inside! Oh, and the end of the interview is also published in the Collective! 1. Overview Rob Hanna