Recent Quant Links from Quantocracy as of 11/20/2025

The Rhino Options Strategy is a conservative, brokenwing butterfly income trade with an upside hedge. Rhino is not just a simple trade; its a whole family of related strategies that have evolved over nearly a decade in response to changing market conditions. Monthly, Giant, and Baby Rhino variants coexist alongside variants from other developers like the White Rhino by Randy Schwartzenburg.

The Dual Momentum approach, formalized in Gary Antonacci's 2012 paper[1] and later popularized in his book,[2] is a surprisingly simple yet potent tactical asset allocation strategy. It builds on the fact that assets experience both absolute [time series] momentum, as well as relative [cross-section] momentum, and utilizes both of these effects in its goal of returning better-than-passive

Asset Allocation Tactical Asset Allocations of Large Asset Managers (Ibert) Large asset managers tactical views closely follow their assessments of global growth and recession risk. When growth prospects deteriorate, they cut equity exposure and increase bond allocations. A move from overweight to underweight equities reduces equity weights by roughly 1.83.2 percentage points. Key takeaway:

Every quantitative trading operation, from a single retail algorithmist to a multi-billion dollar systematic fund, faces an identical, recurring, and fundamental dilemma: When to deactivate a failing strategy. This problem is, in many ways, the only problem that matters for long-term survival. Alpha is finite. All strategies eventually decay. The persistence of a quant fund is not determined by

Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to incorporate itfirst in analyzing the behavior of underlying assets, and more recently in the pricing of financial derivatives such as futures. In this post, we will examine these developments. Fractal Market Hypothesis: