This is a summary of links recently featured on Quantocracy as of Wednesday, 06/25/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Navigating Economic Downturns with Survey-Based Recession Indicators [Allocate Smartly]This test was inspired by Yulong Suns paper Navigating Economic Downturns: Insights from Survey-Based Recession Indicators. Strategy results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 90+ asset allocation strategies like this one in near real-time. Logarithmically-scaled. Click for linearly-scaled results. These results
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I Tuned the Radio on My Stock Returns [Paper to Profit]Its dated technology. The radio. But underpinning its humble origins is an electrical engineering field known as signal processing that has applications in literally everything around us: WiFi routers, making music sound better, and even detecting earthquakes. While many readers may assume that I built my system with bespoke approaches tuned specifically for financial applications, the reality
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Weekly Research Recap [Quant Seeker]Genetic Mimicking Portfolios for ETF Arbitrage (Crego, Kvaerner, Sommervoll, Sommervoll, and Stevens) Many ETFs trade at a premium or discount to their net asset value (NAV). This paper targets corporate bond ETFs trading at a premium by shorting them and hedging the position with a portfolio of other liquid ETFs that replicate the NAV. Even after accounting for trading costs, the strategy