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!
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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,
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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
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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.