This is a summary of links recently featured on Quantocracy as of Monday, 12/15/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Challenging the “Lazy Man’s Momentum Strategy” [Allocate Smartly]This is a quick analysis of the Lazy Mans Momentum Strategy, a simple country rotation strategy. Every six months the strategy selects from 22 country indices, buying the 11 with the highest 6-month return (*). For reasons we discuss in a bit, we will not be adding this strategy to our platform. Backtested results from 1971 follow. Results are net of transaction costs see backtest
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Is Trend Following Better than Buy the Dip ? [Alpha Architect]Buy the dip (BTD) has become one of the most popular investment mantras of recent years, especially since the COVID-19 market recovery in 2020. The strategy seems intuitive: when markets fall, buy at a discount and wait for the inevitable rebound. However, BTD is not foolproof. By design, it performs well when market declines are brief, but poorly when declines mark the beginning of a
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Can We Blame Index Funds for More Volatile Financial Markets? [Quantpedia]Over the past seven decades, U.S. equity-market volatility has roughly doubledfrom about 10% to 20%and this increase is concentrated at the market level and at high frequencies (daily volatility up by ~130%, weekly by ~75%, monthly by ~40%). A new paper by Lars Lochstoer and Tyler Muir argues that this structural change is not driven by macroeconomic fundamentals or firm-level shocks but by
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Risk, Leverage, and Optimal Betting in Financial Markets [Relative Value Arbitrage]Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this post, we examine key considerations in position sizing, including the Kelly criterion and the martingale betting system. Does Kelly Portfolio Outperform the Market? A method for capital allocation and position sizing is to employ the Kelly