Recent Quant Links from Quantocracy as of 02/18/2026

Calendar strategies are often viewed as weak when assessed individually. Their annualized returns tend to be low, market exposure is limited, and trading activity is sparse. Compared to trend following or swing strategies, which can remain invested for extended periods, calendar strategies may appear inefficient at first glance. This impression, however, largely stems from evaluating these

Predictive signals operating at very short horizons often exhibit strong gross performance in backtests but fail to survive realistic transaction costs due to prohibitive turnover. This research note argues that the inability to monetize such signals directly does not imply the absence of economic value. We distinguish between monetizable alpha, which survives trading frictions as a standalone

The book Asset Allocation: From Theory to Practice and Beyond by Kinlaw et al. (2021) is one of my favorites as it gets a few myths about mean variance optimization right, which are constantly parroted, even in academic papers to motivate some fancy new method as solution. It also provides useful solutions to a portfolio managers or allocators practical questio like when to rebalance.

If youve been trading anything other than cash over the past eighteen months, youve noticed something peculiar: periods of calm tend to persist, but so do periods of chaos. A quiet Tuesday in January rarely suddenly explodes into volatility on Wednesdaymarket turbulence comes in clusters. This isnt market inefficiency; its a fundamental stylized fact of financial markets, one that