This is a summary of links recently featured on Quantocracy as of Monday, 07/14/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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The 10 Most Popular TAA Strategies Ranked [Allocate Smartly]Were in a unique position to analyze the behavior of Tactical Asset Allocation (TAA) investors. We track 90+ TAA strategies. Members combine these strategies into what we call Model Portfolios. By analyzing how members form these Model Portfolios, we can understand the choices that TAA investors make when strategies are presented objectively (no marketing mumbo jumbo) and technical
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Testing Strategies [Trading the Breaking]Introduction. Risks and method limitations. Circular-shift (lag-invariant) permutation test. Random sign-flip (direction-neutral) test. Stationary bootstrap of returns. White's reality check and Hansen's superior predictive ability. Jittered-entry (temporal perturbation) test. Parameter stability test. Noise injection test. Synthesis Introduction The true starting point for any
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Research Review | 11 July 2025 | Risk Factors [Capital Spectator]Factoring in the Low-Volatility Factor Amar Soebhag (Erasmus University Rotterdam), et al. June 2025 Low-volatility stocks have historically delivered higher risk-adjusted returns than their high-volatility peers. Despite extensive evidence and widespread adoption in the investment industry, the so-called low-volatility factor is absent from standard asset pricing models. This paradox is
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Volatility is a Reliable and Convenient Proxy for Downside Risk [Alpha Architect]Javier Estrada, author of the June 2025 study Volatility: A Dead Ringer for Downside Risk tackled a longstanding debate in finance: Is volatility (the standard deviation of returns) a good measure of the risk that investors actually care about? While volatility is the most widely used risk metric in investing, it is also heavily criticized, especially by those who argue that investors are