This is a summary of links recently featured on Quantocracy as of Thursday, 09/03/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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CAPM after Markowitz: Portfolio Choice Meets the Market [Spatium Novum]Beta began as a way to compress a covariance matrix. The CAPM turned it into the equilibrium measure of exposure to aggregate market risk, priced by the market premium. Markowitz maps beliefs to portfolios. With common beliefs, a risk-free asset and market clearing, the CAPM adds one decisive identity: the common tangency portfolio must be the value-weighted market portfolio. The Capital Market
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I built paper-spec crypto strategy on 5.8 years of data. It’s lost money every year since 2024 [Strat Proof]The literature on crypto quant trading keeps citing cross-sectional momentum as a durable edge with Sharpe around 1.1 to 1.5. I built exactly the paper spec, ran it against 303 weekly rebalances across 10 majors, no parameter tuning, no regime filters, no cheating. Annualized Sharpe came out at 0.37. It has been negative for the last 86 weeks straight. Here's what the run actually looked like
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EigenScore is Live: The First Rated Contest Platform for Quants [Vertox Quant]For the past months, almost every free hour I had went into one thing. Today its live. eigenscore.com In quant, everyone claims to be good, and there's no arena to settle it. Competitive programming solved that twenty years ago with rated contests. I built the same thing for us. What it is EigenScore is a competitive platform for quants: a problem archive and rated contests with a
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Dalio Holy Grail walked 2008-2025 [Quanter Lab]The most liquid fund shelf a person can buy holds 3.3 independent bets. Dalio's chart needs fifteen. The Holy Grail of investing, in his words: find fifteen good, uncorrelated return streams and risk falls by roughly eighty percent while return stands still. At correlation zero, fifteen equal streams carry a quarter of one stream's volatility. Whether the shelf a person can actually buy