This is a summary of links recently featured on Quantocracy as of Sunday, 08/16/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Your Research Agent Is an Undisclosed Factor Exposure – And So Is Everyone Else’s [Jonathan Kinlay]In May I published a case study on running alpha research through a team of LLM agents: four roles, instrumented handoffs, and roughly a 2 lift in hypotheses tested per week. The post was careful about what it measured. It was silent about a risk I had not thought to price. Here is the risk. If your research agent and your competitors research agent are the same base model, then whatever that
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Price-Path Convexity: A New Cross-Sectional Anomaly [Aligrithm]Take two stocks that both end the month flat. The first bled lower for two weeks, then clawed all the way back. The second ran up for two weeks, then gave it all back. Same start, same finish, same zero return. Sort every stock in the market by past return and these two land in the identical bucket, because return only sees the endpoints. Gulen and Woeppel show that the shape between the endpoints
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Dual Momentum Between Gold and Bitcoin (Two Stores of Value) [Aligrithm]An 8-week dual-momentum switch between GLD and IBIT returns 79.91% a year at a Sharpe of 1.64. Vojtko and Dujava report that number on a Quantpedia note covering 31 December 2018 through April 2026, weekly rebalance at Wednesday's close, cash when both lookbacks print negative. Hold the other column: maximum drawdown is still -43.94%. They tested ten lookbacks and published the peak. The
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VIX and Trend Following Revisited: Nearly a Decade of Out-of-Sample Evidence [Alpha Architect]In September 2017, Alpha Architect published VIX and Trend-Following, the Killer Combo?, an empirical examination of whether volatility information could improve a traditional trend-following allocation model. The central idea was intuitive: market volatility may contain useful information about how quickly an investor should measure momentum. A shorter momentum window may react more effectively
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Factor Timing Mostly Fails the Honest Version [Aligrithm]Factor timing is the seductive idea that you can do better than holding a basket of factors: lean into value when value looks cheap, load momentum when momentum is running, cut a factor when its volatility spikes. Every one of those moves has a tidy formula and a plausible story. And when you run them out of sample on a clean universe, almost all of them lose to the dumbest thing you could have
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Sharpe Ratio Distribution: When Normal’s A No-Go, Why Not SHASHo? [Krzysztof Ozimek]I recently came across Lpez de Prado et al.'s (2026) treatment of the Sharpe ratio estimator: Normal, with the true as its mean, and a variance (see the Normal section of the image below) conditioned on sample size, the return series' autocorrelation, its skewness, its kurtosis, and the level of itself. It's an elegant correction but stubbornly a bell curve underneath.
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Market Regimes and Changing Market Dynamics [Relative Value Arbitrage]Markets have been behaving unusually lately. In May, equity indices rose while volatility and skew also increased, a relatively rare occurrence historically. Since last week, the same phenomenon has emerged again, with the spot/volatility correlation turning positive. Is this still a rare occurrence? We dont know. But one thing is clear: regime detection is becoming increasingly important in