This is a summary of links recently featured on Quantocracy as of Sunday, 06/21/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Why Most Portfolios Are Under Diversified [Quantpedia]Diversification is a key principle in portfolio construction, yet equal-weight portfolios often fail to deliver true risk diversification. This study shows that capital-based allocation can mask strong concentration in a small number of underlying risk factors. We analyze a simple multi-asset portfolio of ten ETFs spanning equities, bonds, commodities, credit, private equity, and Bitcoin. Despite
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Should You Trade Thin Stocks? [Concretum Group]Last month, we published two articles touching on a topic that over the past year has been, and continues to be, quite central to our research efforts: short-term trading opportunities in single-name equities. You can access the first two articles by clicking on the banners below. Identifying Stocks to Fade Identifying Stocks to Fade Concretum Research May 23 Read full story When Short Sellers
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To Cluster Or Not To Cluster That is the Question… [Investment Idiocy]This is the sixth (!) post in a series I'm writing on portfolio optimisation. A quick reminder of the story so far: In the first post I showed that if you are optimising across forecasts from different trading rules and instruments, that the rules within an instrument cluster naturally together, suggesting you should first fit within; and then across, instruments. Luckily, this is what
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Academic Confirmation Bias [Anton Vorobets]Maintaining the status quo and searching for information that confirms its sufficiency are fairly well established human biases. Hence, producing research that satisfies these biases is an easy way to make it popular among many, although it does not contribute anything new scientifically and is often directly anti-scientific. I have seen many examples of this in finance and economics academia. In