This is a summary of links recently featured on Quantocracy as of Saturday, 10/31/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Outperforming the S&P500 with macro factors [Macrosynergy]We present a cost-efficient method for outperforming the broad U.S. equity market. It uses deep learning and macroeconomic factors to optimize individual stock weights, thus creating a macro-aware portfolio. Rather than building a separate macro factor model for each company, we select a small set of macro divergence factors and map them to individual stocks using standard feed-forward
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What “Congrats on the Quarter” Tells You About a Stock [Equibles]On the morning of October 30, 2025, International Paper (IP $36.37 +0.94%) held its third-quarter call. The first analyst to speak opened with "Congratulations on your progress in a challenging environment." Two of the next five said much the same. By the following day's close the stock was down 11.9% against the S&P 500. Analysts open their questions with "congrats on the
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Dimensionality Collapse: The Warning Signal Before Diversification Dies [Aligrithm]McMillan finds that from 2009 a US stock-bond book needs an 80% stock weight to stay on the return path a 50/50 book had traced before 2000. The correlation between stock and bond returns flipped from positive to negative around 2000 in six of the G7 markets, and it moves back toward positive in the last two years of a sample that ends in December 2023. A negative correlation hedges. A positive
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Gold vs TIPS: Competing Safe Assets and the Post-2022 Decoupling [Aligrithm]Batten, Loncarski, Szilagyi, and Zhou put a long gold book next to the 10-year real yield and the dollar. On monthly data from February 2003 to February 2026, the log change in the London gold fix falls by 0.0639 for each percentage point the 10-year TIPS yield rises, holding the ICE dollar index fixed. A 100 basis point backup, dollar unchanged, is a 6.39% drop in the log gold price. That slope
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The 10m Moving Average Is the Most Famous Rule in Tactical Investing. I Tested It for 40 Years [Strategy Lab]If you have read anything about tactical asset allocation, you have met this rule. Each month, compare the S&P 500's price to its 10-month moving average. Above it, hold stocks. Below it, hold bonds or cash. Mebane Faber's 2007 paper made it the default starting point for a generation of retail systematic investors, and it is the engine inside a large share of the "trend
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Do Companies Really Bury Bad News on Friday Night? [Equibles]At 4:07 p.m. on Friday, September 25, DraftKings (DKNG $20.78 -2.07%) filed an 8-K saying its audit committee had dismissed BDO as its auditor and appointed Deloitte. Nothing in it was alarming. The filing reports no disagreements with BDO, the switch takes effect after the 2026 audit, and the committee had made the decision two days earlier. But it went public at a time with a reputation: Friday,