This is a summary of links recently featured on Quantocracy as of Wednesday, 06/24/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Breaking Badly: finding the structural breaks in parameter estimates [Investment Idiocy]Here's a nice picture from a lovely book written by a top bloke: It shows the cumulative p&l from different speeds of momentum over time (for portfolios containing 102 instruments) over 50 years of data. Notice how the two fastest speeds (2&4) get worse in the second half of the sample. I've called the line #2 here the 'second most famous hockey stick graph in history'.
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Global Tactical Asset Allocation, Automated With Python and IBKR [Concretum Group]Meb Faber published A Quantitative Approach to Tactical Asset Allocation in 2007. It became one of the most influential investment research papers of the past two decades. The rules are simple: five asset classes, one trend signal per asset, monthly rebalancing. The original backtest ran from 1972 to 2005 and produced a Sharpe ratio of 0.81, a CAGR of 11.7%, and a maximum drawdown of 9.5%. We
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News and earnings sentiment agree, mostly at the extremes [Tommi Johnsen]This is a very preliminary result (snapshot June 15, 2026) It rests on 21 earnings events from a single three-week window, and every number below should be read as a first sighting, not a finding. We are publishing it now to describe a pattern and to set a baseline we can check against as the sample grows. Thanks for reading! Subscribe for free to receive new posts and support my work. What this
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Covariance Estimation for Wide Data [Eran Raviv]My work on covariance estimation has recently been published as an Advanced Review in WIREs Computational Statistics, a highly regarded, peer-reviewed journal in the field. It feels remarkably rewarding to see a decade of my curiosity finally bound together in one place. The writing process started about 4.5 years ago on evenings, weekends, and holidays as a side-project. But I actually wrote my