This is a summary of links recently featured on Quantocracy as of Monday, 09/22/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Leveraged ETFs in Low-Volatility Environments [Quantpedia]Leveraged ETFs (such as SPXL (Direxion Daily S&P 500 Bull 3X Shares) offer amplified exposure to the S&P 500, promising high returns but exposing investors to volatility drag caused by daily rebalancing. This effect can significantly erode performance over longer horizons, particularly during periods of elevated market volatility. Inspired by recent research, The Volatility Edge, A
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When Trading Systems Break Down: Causes of Decay and Stop Criteria [Relative Value Arbitrage]Decay and Stop Criteria Subscribe to newsletter A key challenge in system development is that trading performance often deteriorates after going live. In this post, we look at why this happens by examining the post-publication decay of stock anomalies, and we address a practical question faced by every trader: when a system is losing money, is it simply in a drawdown or has it stopped working
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What Drives the Excess Bond Premium? [Quantpedia]The Excess Bond Premium (EBP the portion of corporate bond spreads not explained by default risk), a key metric in quantitative finance for gauging credit spreads, has long been a subject of intense scrutiny. Recent research sheds new light on its dynamics, moving beyond traditional macroeconomic factors to explore the role of information flow. By analyzing news attention across 180 topics, a