This is a summary of links recently featured on Quantocracy as of Wednesday, 05/06/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Selecting TAA Strategies Based on Recent Performance, Part 2: Recent Sharpe Ratio [Allocate Smartly]This is the second installment in a multipart series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read Part 1. We advocate combining multiple TAA strategies together into Model Portfolios to limit the risk of any single strategy underperforming. In our previous study we selected strategies for our portfolio with the highest recent return. In this
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Dual Momentum Allocation Between Physical Gold and Bitcoin (Digital Gold) [Quantpedia]From the trading desk to the portfolio committee, investors face a familiar question: how should alternative stores of value fit into a diversified portfolio? This research explores that question through a systematic dual-momentum framework comparing Bitcoin and physical gold in a rules-based tactical allocation model. Rather than debating ideology, we focus on practical portfolio construction and
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Bad Month for Your Strategy? Should You Change It? [Alvarez Quant Trading]A strategy you have been trading for years has just had a terrible month. Looking at the market environment, you think these trades should not have been taken. You make some small changes to your strategy and now the backtest shows that the terrible month is OK and the overall strategy statistics improve. Should you keep that change in your strategy? For the longest time, I would keep that
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Modeling with the NAAIM Exposure Index [Quantifiable Edges]For much of last week I was at the National Association of Active Investment Managers (NAAIM) Uncommon Knowledge conference. NAAIM is a terrific organization that I have become more involved with over the years. NAAIM has published its NAAIM Exposure Index since 2006. I did some research a few years ago on the index to determine whether the numbers might be valuable as part of a model. I
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Sentiment is not one signal [Tommi Johnsen]Most sentiment research treats the question as one thing. Take a corpus of news articles. Classify each as positive, negative, or neutral. Aggregate to the daily level. Correlate with next-day returns. Report a coefficient. Argue about which classifier is best. This is tidy. It is also wrong, in a specific way that took us a while to see clearly. The articles being classified are not the same kind
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The Attention Factor: The Link That Connects Crypto and Public Equity Markets [Quantpedia]In an era of increasingly fragmented market microstructure, the emergence of cross-asset connectedness between Crypto and public equity markets presents a critical challenge for modern portfolio construction. This blog post examines the recent working paper by Harin de Silva, The Attention Factor: The Speculative Risk You May Already Own, which identifies a previously underappreciated