This is a summary of links recently featured on Quantocracy as of Saturday, 07/18/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Margin Debt Is at an All-Time High, What Does That Mean? [Allocate Smartly]The current extreme in margin debt offers one way to gauge the speculative exuberance of investors. John Hussman Thinking about this chart from John Hussman, showing margin debt relative to GDP spiking to all-time highs, with previous such instances seeming to foreshadow major market downturns: Its very easy to look at a chart like this with hindsight and identify the top of each
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Timing Equity Factors with Momentum [Concretum Group]Man AHL has recently published a research piece titled A Trend Following Deep Dive: Cash (Equities) Is King (Panjabi, Bordigoni, and Buchanan, 2026) which has resonated not only with researchers in the trend-following space but also with those specializing in equity markets. The authors show that cross-sectional momentum techniques can be successfully applied across equity-style factors,
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Percentile-Rank Momentum With Hysteresis: Low-Churn Signals [Aligrithm]Momentum is the oldest anomaly in the book, and a new momentum paper has to justify why it exists. Landolfi's percentile-rank framework does not sell you the momentum. It sells the plumbing around it: rank each move against its own sign-consistent history instead of a raw threshold, gate entries and exits with a hysteresis band so the signal stops flip-flopping, and validate with a grid of
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Refiner Trade: From Gross Sharpe to Net [Beyond Passive]The first part described the idea and put a gross Sharpe of about one and a half on it. Gross is the easy figure to produce and the least interesting one to quote, because it assumes you can trade for free. Here I put the strategy in front of a brokers fee schedule and an integer number of shares, and the single number becomes a curve one that depends almost entirely on the size of the
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Two Accounting Anomalies: One May Be Risk, the Other Is Mispricing [Alpha Architect]Two of the longest-running puzzles in accounting and asset pricing research are the accrual anomaly and the post-earnings-announcement drift, or PEAD. Both describe return patterns that standard one-period asset pricing models struggle to explain, and both have generated a huge literature. The recurring question has been the same: is the market mispricing the information, or is it rationally