This is a summary of links recently featured on Quantocracy as of Sunday, 05/17/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Agentic Workflows for Alpha Research [Jonathan Kinlay]There is by now a small mountain of vendor material claiming that AI agents will run hedge funds. The reality on the ground for those of us who actually do the work is more interesting and more useful. Agentic workflows, properly constructed, materially accelerate the parts of quant research that consume the most time. They also fail in specific, predictable ways that you can defend
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An Active Hedge for the EUR Investor [Beyond Passive]Static currency hedging is a coin toss with predictable losers. The investor either pays the interest-rate differential as carry every month for years, or accepts the full drawdown when the dollar reverses. A trend-following forecast on EUR/USD, combined with carry treated honestly as a cost rather than a feature, sizes the hedge dynamically and finishes ahead of the US-domiciled investor over
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An Index of Commodity Futures Returns Since 1871 [Quantpedia]Commodity markets are back in investors focus. After years in which equities and growth assets dominated portfolios, the recent rise in geopolitical tensions, inflation uncertainty, supply-chain fragmentation, and renewed resource nationalism has reminded allocators that commodities remain a critical macro asset class. That is why a newly released research paper, An Index of Commodity Futures
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A Historical Look at the Top 20 6-week $SPX Rallies Since 1950 [Quantifiable Edges]A few days ago on X, Charlie Bilello pointed out SPX had gained more than 16% over the previous six weeks and thats one of the biggest six-week rallies of all time. I looked back at the top 20 non-overlapping 30-trading-day rallies since 1950. They can all be found in the table below. Shaded rows are those instances where there was less than a 20% drawdown at the start of the rally. The current
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The Effective Number of Tested Strategies [Vertox Quant]In one of my recent articles, we looked at a paper that proposed a measure of how many strategies you effectively tested in-sample. I found the idea of such a measure really interesting and useful, so I went deeper into it, uncovered problems with existing measures, and ultimately came up with my own measure that has all the properties I desire from such a measure! What is the point of such a
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The 100% Club. 2000 Tech vs 2026 AI [Alvarez Quant Trading]Are the markets like they were in March 2000, right at the top of tech-bubble? I have been seeing lots of facts about how expensive or extended this market is. The Schiller P/E ratio near the 2000 top. The Buffett Indicator at over 2 standard deviations, similar to the 2000 top. US Total Stock Market Value/GDP at all-time highs, far exceeding the 2000 top. The weight of the top 10 stocks in the