This is a summary of links recently featured on Quantocracy as of Sunday, 11/08/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Correlation Acceleration: Detecting Market Stress Through Rising ETF Correlations [Quantpedia]During periods of market stress, assets that normally behave differently often begin to move together. Correlations rise, diversification weakens, and different parts of the equity market increasingly respond to the same underlying risk factors. This raises a practical portfolio-management question: can a sufficiently strong increase in short-term correlations help identify periods when
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Sizing Bitcoin: A First-Principles Approach for a Risk-Parity Portfolio [Beyond Passive]In this article I evaluate how much bitcoin a risk-parity portfolio should hold, both the poor mans trend portfolio and plain long-only risk parity. I approach it from first principles rather than from a backtest alone, because eleven years of bitcoin contain one adoption run and none of the crises it is meant to protect against. I state what bitcoin would have to be, test that against its own
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The Part Time Trader Part 6: Where Momentum Lives [Algorithmic Advantage]On the way to getting confident with momentum, I had to grind through a lot of results that didnt fit the picture. Each one left me with a choice. Either I found out why and decided I still had a working theory, or I accepted that the theory had failed, or was too fragile to deploy as a model. Heres one of them. On the broad Canadian market I ranked every stock by momentum and bought the
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When the VIX rises, should you move to cash or switch to safer stocks? [Quanter Lab]When the market gets nervous, investors usually do one of two things. Some keep all of their money in stocks and swap into sturdier companies. Others keep the stocks they have and move part of the money to cash until things calm down. Both answers can be run on the VIX, the market's fear gauge. We ran both answers for twenty years on one stock picker. Every quarter the picker ranks the
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Are Value and Momentum Still Everywhere? [Alpha Architect]We have long regarded value and momentum as the varsity factors in stock selection. Decades of academic research, including our own, have shown that, historically, buying cheap stocks and buying winners has been associated with higher average returns. Not always, not guaranteed, but on average and over long periods of time. Arguably, the most robust academic paper on this topic comes via
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How Options Markets Inform Asset Allocation and Trading Strategies [Relative Value Arbitrage]As options trading volume continues to grow and options become increasingly mainstream, investors are becoming more sophisticated in their use of these instruments for hedging, speculation, and risk management. However, one often overlooked aspect of options trading is how the information conveyed by option prices can be used for asset allocation, directional trading, and market timing. In this