Quantocracy

Quant Blog Mashup

Recent Quant Links from Quantocracy as of 04/20/2026

This is a summary of links recently featured on Quantocracy as of Monday, 04/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Mean-Variance Optimization in Practice: Reverse Optimization and Implied Expected Returns [Portfolio Optimizer]

    The fact that mean-variance optimizers are highly sensitive to changes in expected returns [] is well known in investment practice1, with a couple of practical solutions already described in this blog, for example using near efficient portfolios or subset resampling-based efficient portfolios. In this blog post, I will introduce another approach originally described in Sharpe2 and known as
  • The Tranching Dilemma [Quantpedia]

    What if a meaningful part of a usual trading strategys performance has nothing to do with your signalbut simply when you rebalance? A recent paper written by Carlo Zarattini & Alberto Pagani highlights a largely underestimated risk in systematic investing: rebalance timing luck (RTL). For practitioners running rotation or factor strategies, this is not noiseits a structural source
  • Sixty-four years of TLT: reconstructing the bond ETF everyone owns [Beyond Passive]

    A long-bond ETF sits in almost every balanced portfolio. Ours included TLT is one of the three core holdings in the risk-parity base of our portfolio architecture. And yet when TLT lost 48% between 2020 and 2024, most holders experienced it as a shock. It should not have been. The mechanics were entirely predictable from the yield level at which investors bought in, and the historical

Recent Quant Links from Quantocracy as of 04/18/2026

This is a summary of links recently featured on Quantocracy as of Saturday, 04/18/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Exploiting Mean-Reversion in Decentralized Prediction Markets: Evidence from Polymarket [Quantpedia]

    This study examines the profitability of mean-reversion trading strategies applied to binary outcome contracts on Polymarket, the worlds largest decentralized prediction market platform. We analyze three distinct contracts representing varying risk profiles: a quasi-risk-free instrument (No to Will Jesus Christ return in 2025?) and two high-yield speculative contracts (No to Will China
  • Inflation as a trading signal [Macrosynergy]

    Simple inflation-based trading factors have proven their predictive power in global financial markets over the past decades. Excess inflation ratios measure the average difference between CPI growth and a countrys effective inflation target (relative to that target). Inflation pressure ratios combine excess inflation ratios with recent CPI growth surprises. Both can be calculated for headline
  • The AutoTune filter [Financial Hacker]

    By the Fourier theorem, any price curve is a mix of many long-term and short-term cycles. Once in a while a dominant market cycle emerges and can be exploited for trading. In his TASC 5/2026 article, John Ehlers described an algorithm for detecting such dominant cycles, using them to tune a bandpass filter, and creating a profitable trading system. Heres how to do it. Ehlers Easylanguage
  • Looking Inside The Black Box [Vertox Quant]

    People often criticise how ML models are just black boxes that take in some features and spit out a prediction. While some models (like linear regression) are naturally a lot more interpretable than others (like neural networks), its wrong that you cant figure out why a model made a certain prediction and how the different features affect the prediction. In this article, we will look at some

Recent Quant Links from Quantocracy as of 04/16/2026

This is a summary of links recently featured on Quantocracy as of Thursday, 04/16/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • We Trusted FinBERT to Filter the Noise. It Was Also Filtering the Signal [Tommi Johnsen]

    It starts with a basic problem every quantitative researcher faces: you have a universe of stocks, a universe of news, and a question. Which of todays headlines actually matter for tomorrows price? Step One: Finding the News Before you can classify sentiment, you have to collect articles. The naive approach search for a company name and take everything produces a lot of noise. An
  • Time Series Database Review: RayforceDB [Anton Vorobets]

    RayforceDB is a recently open sourced time series database that offers blazingly fast performance. It is built with inspiration from kdb+, which is also known for its fast performance and minimal application size. RayforceDB offers similar benefits, being written in pure C and having a binary size of less than 1MB. Another benefit of RayforceDB is that it offers Python bindings with minimal
  • Annual performance update- year 12 [Investment Idiocy]

    This is how I started last years update: "Mad out there isn't it? Tarrifs on/off/on/partially off/on… USD/SP500/Gold/US10/Bitcoin all yoyoing like crazy." Well the orange peril is still at it, and as I write this the global supply of oil has been severly curtailed for several weeks now; with a certain amount of reaction in oil futures (which some of it perhaps supressed since

Recent Quant Links from Quantocracy as of 04/15/2026

This is a summary of links recently featured on Quantocracy as of Wednesday, 04/15/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • What’s the Optimal Stack? [Return Stacked]

    The most common question we hear from advisors is whats the optimal stack? So we ran the optimizer bootstrapping 10,000 simulated 25-year histories across five asset classes to find the portfolio that would have maximized return at 60/40 volatility. The answer is mathematically elegant and practically unusable. In this piece, we walk through why the optimal portfolio would have been
  • A Historical Look At $SPX on Tax Day [Quantifiable Edges]

    April 15th is tax day. Tax day has historically been a good day for the market. A reason tax day may be bullish is that it is the last day that people can make IRA contributions to count for the previous tax year. This can create a last-minute rush and you will often have an inflow of funds heading into the market right around and on April 15th (or whenever tax day ends up falling, since it is
  • The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components [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 04/13/2026

This is a summary of links recently featured on Quantocracy as of Monday, 04/13/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Meb Faber’s “Tactical Yield”, Simple and Intuitive [Allocate Smartly]

    This is a test of Meb Fabers Tactical Yield from T-Bills and ChillMost of the Time. Backtested results from 1930 follow compared to a benchmark of 50% int-term US Treasuries (IEF) and 50% US corporate bonds (LQD). 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.
  • Data transformations: Data shape and predictive features [Trading the Breaking]

    Imagine that a team downloads a price series, defines a target, applies a transformation, and moves on to signal design, model fitting, validation, and execution. That sequence looks efficient. However, the transformation of the data is is the first act of model construction. That is why data-shape transformation sits at the true front line of feature engineering. The problem is whether the
  • When Correlations Fail: A Bayesian Approach to Sizing Sparse Overlays [Beyond Passive]

    A portfolio of seasonal strategies presents a problem that modern portfolio theory was not designed for. Most of these strategies are active fewer than sixty days per year. Many pairs share zero overlapping observations. The covariance matrix the standard tool for combining return streams produces nothing but noise. You need a different approach. The Foundation The IVOL three-asset core
  • To Trend or Not To Trend? (Wrong question) [Robot Wealth]

    Someone asked me recently whether strategies based on mean reversion, trend following, and momentum are good or just data mining. Its a reasonable question, but it reveals some confusion that arises from mixing up two things that sound similar but are very different. Mean reversion, trend, momentum: these arent edges. Theyre labels for how prices move. They describe patterns, not
  • Factor MAX: A New Signal for Predicting Factor Returns [Alpha Architect]

    Investment professionals have long relied on factor investingstrategies built around characteristics like value, momentum, and qualityto generate returns beyond the broad market. But predicting which factors will perform well in the future has remained challenging. Liyao Wang and Ming Zeng, authors of the December 2025 study Factor MAX and Predictable Factor Returns, introduced an

Recent Quant Links from Quantocracy as of 04/09/2026

This is a summary of links recently featured on Quantocracy as of Thursday, 04/09/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Systematic Tactical Allocation in Emerging Markets vs. U.S.: A Momentum-Based Approach [Quantpedia]

    The global investment environment is going through a period of meaningful structural change. The dominance of the U.S. dollar is increasingly being questioned, geopolitical tensions are rising, and macroeconomic uncertainty remains elevated. Together, these forces challenge the post-Global Financial Crisis environment in which U.S. equities consistently outperformed most international markets. As
  • David Varadi’s “Growth and Inflation Sector Timing”, a Wildcard Strategy [Allocate Smartly]

    This is a test of a novel strategy from David Varadi: Growth and Inflation Sector Timing. Backtested results from 1991 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 linearly-scaled results. Members know that we are especially interested
  • Large Language Models in Trading: Models and Market Dynamics [Relative Value Arbitrage]

    I just returned from a two-day conference in New York, FutureAlpha (formerly QuantStrats). This year, the theme focused largely on data, machine learning, and AI. While some speakers were very enthusiastic about the potential of AI to generate alpha, our panel was more conservative. The consensus among the panelists was to use ML and AI to enhance and improve risk management. Along this theme, in

Recent Quant Links from Quantocracy as of 04/05/2026

This is a summary of links recently featured on Quantocracy as of Sunday, 04/05/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Junior Quant’s Guide to Event-Driven Trading [Quant Galore]

    You have to know that it didnt get that way overnight. And more often than not, it didnt get that way quietly. On every step of the way down, companies like this are forced by regulators to publicly share every detail on exactly how business is going and what theyve got planned. All you have to do is look for it. So, thats exactly what we did. A Primer on Advanced Event-Driven Trading
  • Two Calendar Effects at the Month Boundary [Beyond Passive]

    This article examines two distinct effects that share the same calendar window and the same tickers. The first is a pure bond seasonality: TLT tends to weaken in the first week of each month and rally in the last few days, regardless of what equities do. The second is a conditioned reversal trade: when stocks outperform bonds during the first half of the month, the underperformer tends to recover
  • Uncertainty [Quantitativo]

    Doubt is not a pleasant condition, but certainty is a ridiculous one. Voltaire Voltaire was arguably the most influential intellectual of 18th-century France. More than that, he was a provocateur. He spent his life as a one-man war against dogma, against anyone who claimed to know the truth with absolute certainty. The Age of Enlightenment didnt begin with answers: it began with
  • When Elon Musk Can t Sleep, Your Portfolio Feels It [Tommi Johnsen]

    It is 3:47 AM Pacific Time. Elon Musk, reportedly on his fourth espresso and second viewing of a documentary about Roman emperors, picks up his phone. He types something. He posts it. Within eleven minutes, Teslas stock has moved. Within forty, three semiconductor companies have been dragged along for the ride. By morning, a fund manager in Oslo is explaining to her clients why their portfolio
  • How imputation helps statistical learning for macro trading signals [Macrosynergy]

    Systematic trading strategies with macroeconomic information often rely on panel data that aggregate cross-country experiences over time. Panel regression is more information-efficient than single-time-series regression and allows for easier detection and assertion of the predictive power of macro factors. However, panels are often unbalanced, with factors missing for certain periods in specific
  • One Year Later: Is ChatGPT Finally Worth Using for Quantitative Analysis? [Quantpedia]

    One year ago, in our article Can We Finally Use ChatGPT as a Quantitative Analyst?, we explored the feasibility of leveraging ChatGPT for quantitative analysis. Since then, a lot has changed: newer models are now available (from OpenAI and also other vendors), and the ecosystem around AI-assisted analysis has evolved significantly. Back then, we encountered numerous challenges, ranging from

Recent Quant Links from Quantocracy as of 03/31/2026

This is a summary of links recently featured on Quantocracy as of Tuesday, 03/31/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Selling Volatility: The Most Seductive Backtest in Finance [Quantt]

    Here is a strategy with a thirty-year track record. Sell one-month at-the-money put options on the S&P 500, collateralised by Treasury bills. Roll monthly. That is the entire strategy. The CBOE PutWrite Index (PUT) tracks exactly this approach. From June 1986 through December 2018, it returned 9.54% annually – within touching distance of the S&P 500's 9.80%. But here is the part that
  • Coding the largest strategy ever [Financial Hacker]

    Recently I got a quite unusual job: Heres a trading system for the TradeStation platform. Its a bit large about 3000 lines of EasyLanguage code. Please replicate that monster in C++ so that it runs on the Zorro platform, but still produces the same trades as on TS. While youre at it, fix any bugs that you encounter in the EasyLanguage code. You have 2 weeks. Good luck. The strategy in
  • Breaking the Rules of Intraday Trading [Concretum Group]

    Quantitative research is, at its core, about following rules. As in any other STEM discipline (science, technology, engineering, and mathematics), precise frameworks give research rigor, discipline, and comparability. Yet, because such frameworks often remain unquestioned, challenging one of their constraints on purpose can sometimes be an informative experiment. In intraday trading, the first and

Recent Quant Links from Quantocracy as of 03/29/2026

This is a summary of links recently featured on Quantocracy as of Sunday, 03/29/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Brave New Backtest [Robot Wealth]

    My last two articles on AI and trading research got more engagement than almost anything Ive written. More of the Disease, Faster argued that LLMs cant answer the critical question: who pays you and why? AI Will Create Millions of Quants went deeper on the why: AI makes beautiful backtests trivially easy to produce, which means more false discoveries, more overfitting dressed up
  • Data transformations: Preprocessing time series [Trading the Breaking]

    Raw market data is the closest thing we have to the markets observable dynamics, so the instinct to leave it untouched feels sensible. But predictive models consume numerical representations. Between the tape and the optimizer there is always a translation step, whether explicit or hidden, and that translation determines which structures remain visible, which ones are attenuated, and which ones
  • Fridays for Gold, Tuesdays for Stocks: Two Sides of the Same Fear Cycle [Beyond Passive]

    The previous article showed that gold drifts higher on Fridays specifically when the VIX term structure compresses into the extended fear zone, driven by institutional risk managers adding weekend protection on Thursday afternoons. The same day-of-week chart that opened that article contains a second significant bar on the opposite side of the cycle. Equities on Tuesday. This article examines
  • When Crypto Stopped Diversifying: The ETF Regime Shift [Quantpedia]

    Can crypto still help diversify an equity portfolioor has that edge disappeared? Thats the practical question behind Crypto Contagion. The paper looks at how shocks move between crypto and U.S. equities, and more importantly, how that relationship changed after the launch of crypto ETFs. Instead of relying on simple correlations, the authors use a combination of jump detection (to isolate
  • Unlocking Hidden Patterns: How Daily Returns Predict Future Stock Performance [Alpha Architect]

    Nusret Cakici, Christian Fieberg, Gabor Neszveda, Robert Bianchi, and Adam Zaremba, authors of the January 2026 study A Unified Framework for Anomalies based on Daily Returns, challenged how we think about short-term return patterns in stock markets. Their research reveals that the wealth of information contained in daily stock returns has been hiding in plain sightand when properly
  • Evaluating Option-Based Strategies and Dollar-Cost Averaging [Relative Value Arbitrage]

    In past issues, we discussed popular investment strategies such as covered calls and collars. In this post, we continue by examining other strategies, focusing on their performance, limitations, and how they behave under different market conditions. Reexamining the Performance of Passive Options Strategies More than 40 years ago, Merton et al. published two papers [1,2] examining the performance
  • From Hype to Reality: Building a Hybrid Transformer-MVO Pipeline [Jonathan Kinlay]

    A Five-Way Decomposition of What Actually Drives Risk-Adjusted Returns in an AI Portfolio The quantitative finance space is currently flooded with claims of deep learning models generating massive, effortless alpha. As practitioners, we know that raw returns are easy to simulate but risk-adjusted outperformance out-of-sample is exceptionally hard to achieve. In this post, we build a complete,
  • Increases CAPE Ratio Predictability with a Simple Adjustment [Alpha Architect]

    CAPE has long been a cornerstone of long-horizon return forecasting. High valuations imply lower future returns. Low valuations imply higher future returns. Critics argue that its predictive power has faded in recent decades. This paper pushes back. It shows that the apparent decline is largely a measurement problem. When CAPE is constructed using aligned index constituents and market-cap weights,

Recent Quant Links from Quantocracy as of 03/22/2026

This is a summary of links recently featured on Quantocracy as of Sunday, 03/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Friday Gold Trade: A Conditional Edge [Beyond Passive]

    Gold drifts higher on Fridays. The effect is statistically significant, it has persisted for decades, and most traders who know about it trade it unconditionally. The useful question is not whether this is true but under which market conditions it is true and the answer changes everything about how you trade it. This article builds a hypothesis about the mechanism behind the Friday effect,
  • Unlocking relative value across asset classes [Macrosynergy]

    A macro-systematic approach allows efficient allocation of risk capital across 12 conventional financial market asset classes. Positions in each asset class are taken via leveraged derivatives to equalize expected volatility. Targets are relative positions in one class versus all the others. Trading signals are composite scores of small sets of theoretically favorable macroeconomic factors for
  • The Return of the King: Trend Following Is Back But Will It Last? [Alpha Architect]

    On April 2, 2025, one of the largest market shocks since 2020 hits financial markets. Out of left field, President Trump announces punitive tariffs left and right, and most financial assets begin bleeding. In the desperation, investors look for a safe haven. Ironically, trend followinglong considered a source of crisis alphaexperiences one of its worst drawdowns in history.1 Whoomp, whoomp.