This is a summary of links recently featured on Quantocracy as of Sunday, 11/01/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Strategy of the Week #3: The Pre-FOMC Drift in S&P 500 Futures [Delphic Alpha]Buy S&P 500 futures at the 16:00 New York close on the trading day before each scheduled Fed decision, and sell at 14:00 on decision day, just before the statement comes out. That is the whole rule: one trade per scheduled meeting, eight a year, and nothing in between. The idea is not mine. Lucca and Moench documented it in "The Pre-FOMC Announcement Drift" (Journal of Finance,
-
Greenblatt value-weighted index backtest 2006-2025 [Quanter Lab]Inside the cheap end of the market Greenblatt's weighting did what he said it would. More money in the cheaper companies earned more than the same money spread evenly, with financial companies in or out, with a limit or without, and the even split earned more than the split by size. Against the index, the thirty cheapest in equal weights never came out ahead, and weighting them by how cheap
-
Hedge Fund Performance, Market Regimes, and Drawdown Risk [Relative Value Arbitrage]Market dynamics are changing rapidly, and managing a hedge fund is becoming increasingly competitive and challenging. The same is true for investors seeking to allocate capital to hedge funds. In this post, we explore whether investing in hedge funds is worthwhile and how to evaluate their performance, risks, and potential for generating future returns. Do Hedge Funds Add Value? Despite the
-
Quantitative Methods of Statistical Arbitrage: The Purdue Thesis Tour [Aligrithm]Ning's equal-weight book of six sector pairs earns a daily Sharpe of 0.09 in 2022. Daily Sharpe here is the mean daily percent return divided by the daily percent standard deviation, with no square root of 252 attached. You enter long when a pair's spread falls half a standard deviation through its 63-day average, and short when the spread rises the same distance above that average; you