This is a summary of links recently featured on Quantocracy as of Monday, 09/08/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Surprisingly Profitable Pre-Holiday Drift Signal for Bitcoin [Quantpedia]Cryptocurrency markets have matured into a distinct asset class characterized by extreme volatility, deep liquidity pools, and worldwide retail participation. Traditional equity and commodity markets exhibit a well-documented pre-holiday effect, where returns on trading days immediately preceding public holidays tend to outperform other days. Given that Bitcoin is often described as the archetypal
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A Better Stock Rotation System [Financial Hacker]A stock rotation system is normally a safe haven, compared to other algorithmic systems. Theres no risk of losing all capital, and you can expect small but steady gains. The catch: Most of those systems, and also the ETFs derived from them, do not fare better than the stock index. Many fare even worse. But how can you make sure that your rotation strategy beats the index? There is a way. In the
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PCA analysis of Futures returns for fun and profit, part deux [Investment Idiocy]In my previous post I discussed what would happen if you did the crazy thing of doing a PCA on the whole universe of futures across assets, rather than just within US equities or bonds like The Man would want you to. In this post I explore how we could do something useful with them. There is some messy code here, to run all of it you'll need psystemtrade, but you can exploit big chunks with
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Skewness Premium in Managed Futures: A Practitioner’s Guide [Invest ReSolve]Skewness-based managed futures strategies offer a unique opportunity to enhance portfolio performance by exploiting the asymmetry of return distributions across diverse asset classes. By focusing on the third moment of return distributionsskewnessthese strategies seek to capitalize on the tendency of assets with negative skewness to offer higher expected returns as compensation for tail
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Conditional Value at Risk [OS Quant]Value at Risk (VaR) is the industrys go-to portfolio risk metric. But, its a cutoff completely ignoring tail risk. It tells you how often youll breach a threshold, not how bad losses are when you do. Conditional Value at Risk (CVaR) looks at that damage. It measures the average of your worst days. In this article we recap VaR, build intuition for CVaR, estimate it from historical returns,
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Equity duration and predictability [Alpha Architect]Since 1945, a silent revolution has taken place in the way equity markets move. The classic view of stock prices responding mainly to changes in expected dividends no longer holds. Instead, expected returns now dominate. This paper digs into the reason: equity duration has increased dramatically. As firms reinvest more and delay payouts to the future, asset prices become more sensitive to changes
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Tail Risk Hedging Using Option Signals and Bond ETFs [Relative Value Arbitrage]Tail risk hedging plays a critical role in portfolio management. I discussed this topic in a previous article. In this post, I continue the discussion by presenting different techniques for managing tail risks. Hedging with Puts: Do Volatility and Skew Signals Work? Portfolio hedging remains a complex and challenging task. A straightforward method to hedge an equity portfolio is to buy put