This is a summary of links recently featured on Quantocracy as of Sunday, 08/03/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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We interrupt this service for an important message [Klement on Investing]Hi everyone Usually, I dont comment too much on current affairs on this substack. Still, Trump firing the Head of the BLS, Erika McEntarfer, because he didnt like the labour market data, is extremely dangerous for investors everywhere. If you have investments in the US, you should be highly concerned about this because having truthful data about the state of the US economy is the foundation
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A Quant’s Guide to Covariance Matrix Estimation [OS Quant]In this article, we explore three techniques to improve covariance matrix estimation: evaluating estimates independently of backtests, decoupling variance and correlation, and applying shrinkage for more robust outputs. Author Adrian Letchford Published 2 August 2025 Length 12 minutes Like what you see? Follow Adrian on Twitter to be notified of new content. Follow Estimating a covariance matrix
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Overnight Crypto Returns [Falkenblog]On Monday, I examined the flaw in capturing the overnight equity return anomaly. The basic issue was that the anomaly shrank considerably after the 2008 bear market, and given that one has to turn over the entire portfolio twice a day, the minuscule transaction costs eliminate any alpha. The guys who created the overnight ETFs were also plagued by incredibly bad luck, but that just did them a
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A Different Way of Looking at Returns [Mark Best]It would be nice if it were possible to trade a moving average cross. The problem with this is always that the data lags. Its not possible to trade the current value of a moving average since it requires trading prices in the past. The advantage to doing so is that, due to the smoothing, forecasts are less noisy. The good thing is than many moving averages are finite impulse response (FIR)