Did you know that most of the equity risk premium is realized on macro announcement days? I discuss the latest research on this topic and test a simple strategy around nonfarm payrolls. www.quantseeker.com/p/weekly-res...

A fresh roundup of the latest investing research is out. ➢ Predicting Crypto Using Sentiment ➢ A Strategy Based on FX Mispricings ➢ Option-Based Return Predictors ➢ A Regime-Switching Model ➢ ...and much more. 👉 Join 5,000+ investors and quants: www.quantseeker.com/p/weekly-res...

This just arrived. Looks like a great read.

A fresh roundup of the latest investing research is out. ➢ Macro Announcement Risk Premia ➢ A Mean-Reversion Strategy ➢ Complex or Simple Models? ➢ Diversifying with Listed Real Estate ➢ Great Blogs, Repositories, and Podcasts ➢ ...and much more. www.quantseeker.com/p/weekly-res...

New article by Antti Ilmanen on understanding expected returns. Always a must-read. www.aqr.com/Insights/Res...

A new article is out where I explore which assets and strategies tend to perform well during bear markets. www.quantseeker.com/p/what-works...

A fresh roundup of the latest investing research is out. Some of the topics covered: ➢ Bond Return Predictability ➢ Timing Momentum ➢ Stock Return Predictability ➢ Disagreement in Option Markets ➢ Great blogs, repositories, and podcasts ➢ ...and much more www.quantseeker.com/p/weekly-res...

A new roundup of the latest investing research is out. ➢ Sector Exposure in Commodity Signals ➢ Earnings and Price Momentum ➢ Sector Allocation with LLMs ➢ Macro News Attention ➢ ... Read more here: www.quantseeker.com/p/weekly-res...

A new roundup of the latest research on investing is out. ➢ Currency Anomalies ➢ Improving Momentum Strategies ➢ Finance Applications of LLMs ➢ Volatility Forecasting ➢ Great blogs, repositories, and podcasts ➢ ... www.quantseeker.com/p/weekly-res...

In my new post, I discuss research on: - Economic Uncertainty and Expected Returns - Emerging Market Debt - Predicting Overnight Returns www.quantseeker.com/p/weekly-res...

A new roundup of the latest investing research is out. Topics: ➢ X-Asset Momentum ➢ Political Risk and Return Predictability ➢ LLMs and News Sentiment Trading ➢ Great blogs and podcasts ➢ ... www.quantseeker.com/p/weekly-res...

New blog post: I explore how the slope of the VIX term structure can be used to time volatility exposure, reviewing key research and testing some trading signals. www.quantseeker.com/p/timing-vol...

In my new blog post, I discuss research on: - Properties of Drawdowns - News-Driven Commodity Trading - Extracting Alpha from Crowding www.quantseeker.com/p/weekly-res...

A new roundup of the latest research on investing is out. Topics: ➢ Overnight Stock Returns ➢ Factor Exposures and Quantile Regressions ➢ Asset Allocation and Macro Regimes ➢ Great blogs, repos, podcasts ➢ ... www.quantseeker.com/p/weekly-res...

Three great books.

A new blog post is out where I explore short-term mean reversion signals. www.quantseeker.com/p/short-term...

In my new post, I discuss research on: Generating Alpha from Analysts Protecting Against Inflation Profiting from Macro Announcements www.quantseeker.com/p/weekly-res...

A new roundup of the latest research on investing is out. Topics Covered: ➢ Predicting Commodity Returns ➢ Restoring the Value Premium ➢ ETF Momentum ➢ Great blogs, repositories, and podcasts ➢ ... Join fellow investors: www.quantseeker.com/p/weekly-rec...

New Article: The pre-FOMC announcement drift isn’t dead, it’s alive and well. I review the research and test the strategy using data through 2024. www.quantseeker.com/p/trading-th...

A new blog post is out: I discuss and test a short-term mean reversion signal between stocks and bonds. www.quantseeker.com/p/exploiting...

A new roundup of the latest research on investing is out. Topics: ➢ Tail risk in oil markets ➢ Extracting sentiment with FinGPT ➢ The impact of gamma on volatility ➢ Portfolio construction ➢ Great blogs, repositories, and podcasts ➢ ... www.quantseeker.com/p/weekly-rec...

New blog post: Turn-of-the-Month Strategies: Do They Still Work? I explore key academic findings and test strategies across a range of ETFs. Are the returns still there? www.quantseeker.com/p/turn-of-th...

A new recap of the latest research on investing is out. Topics Covered: ➢ Alpha in Premier League Betting ➢ Crypto ➢ Value Investing ➢ Seasonalities in Option Returns ➢ Large Language Models ➢ ...and much more Read and join the community: www.quantseeker.com/p/weekly-rec...

The stock-bond correlation plays a crucial role in portfolio construction, risk management, and asset allocation. In my latest article, I explore its significant time variation, the economic forces that drive it, and the practical implications for investors. www.quantseeker.com/p/exploring-...

A new recap of the latest research on investing is out! Read and join the community: www.quantseeker.com/p/weekly-rec...

A new edition of my weekly roundup of the latest research on investing is out! Read and join the community: www.quantseeker.com/p/weekly-rec...

New blog post: While trend and breakout signals are popular in crypto markets, recent research suggests alternative signals beyond momentum. I test two such signals and their combination with momentum. www.quantseeker.com/p/beyond-mom...

A fresh recap of the latest research on investing is out! www.quantseeker.com/p/weekly-rec...

This new paper studies portfolio protection strategies, highlighting the need for diversification. It proposes a mix: 40% SPX rolling puts, 20% Trend, 20% Long Rates Vol, and 20% Quality, to manage the diverse intensity and length of equity drawdowns. Read paper here: papers.ssrn.com/sol3/papers....

Can industry momentum strategies be enhanced with news sentiment and dispersion? I explore how these factors can improve traditional momentum strategies, finding significant performance gains, especially at more granular industry levels. www.quantseeker.com/p/improving-...

A new roundup of fresh research on investing and trading is out! www.quantseeker.com/p/weekly-rec...

As 2024 comes to an end, I’m excited to share a compilation of popular research papers from this year. These papers cover a variety of topics, including alternative data, commodities, equities, machine learning, trading, and more. www.quantseeker.com/p/popular-in...

Great article from a few years back on Bill Benter, the legendary gambler who made nearly $1 billion on horse racing. www.bloomberg.com/news/feature...

This week’s roundup of fresh research on investing and trading is out. www.quantseeker.com/p/weekly-rec...

A new edition of my weekly newsletter is out! It provides a summary of the previous week’s research on investing. Read and subscribe for free: www.quantseeker.com/p/weekly-rec...

Six great books on trading, investing, and portfolio management.

Interested in momentum strategies? I highly recommend this comprehensive review by Tobias Wiest, discussing: • Cross-sectional & time-series momentum • Residual & volatility-scaled momentum • Industry & factor momentum • Theoretical explanations Read paper here: link.springer.com/article/10.1...

New blog post: I explore the low-volatility effect in stocks, review key findings, test a variety of low-volatility signals, and test how combining it with other strategies can further improve performance. www.quantseeker.com/p/exploring-...

Sports betting is emerging as a new asset class. This paper dives into algo trading on sports vs. traditional exchanges. Key takeaway: Sports trading offers uncorrelated returns but needs more liquidity to compete with financial markets. Read paper here: papers.ssrn.com/sol3/papers....

Great recent podcast with AQR’s Cliff Asness. podcasts.apple.com/us/podcast/a...

Stocks that have sold off during the day are shown to reverse during the last 30 minutes of trading, largely attributed to increased retail dip buying and reduced selling pressure by short sellers towards the end of the day. Read paper here: papers.ssrn.com/sol3/papers....

A new edition of my weekly newsletter is out! It provides a summary of the previous week’s research on quant investing. Read and subscribe for free: www.quantseeker.com/p/weekly-rec...

This is a great resource: Best of Algorithmic Trading github.com/merovinh/bes...

Using detailed data on German retail market makers, this paper finds that "...retail market making is extremely profitable, with an average (gross) Sharpe ratio of 17.85..." Read paper here: papers.ssrn.com/sol3/papers....

New blog post: Finding Alpha in Short Interest. I discuss the predictive power of short-interest data, key findings from research, and its applications in forecasting individual stock and market returns, offering practical insights for investors along the way. www.quantseeker.com/p/finding-al...

This recent paper finds that a fear index based on the Thomson Reuters (now LSEG) MarketPsych dataset is a strong predictor of Treasury bond returns, controlling for a host of other factors. Link: papers.ssrn.com/sol3/papers....

A new blog post is out: Enhancing Momentum Strategies with Fundamentals. Discover how combining free cash flow yields with momentum signals can significantly boost Sharpe ratios and reduce drawdowns. www.quantseeker.com/p/enhancing-...

Alpha males, having a high facial width-to-height ratio, generate less alpha. They: 1) Strongly underperform narrow-faced managers. 2) Are more susceptible to investor biases, 3) Are better marketers and excel at raising capital, -> more management fees. Read here: papers.ssrn.com/sol3/papers....

A new edition of my weekly newsletter is out! It provides a brief summary of the previous week’s research on quant investing. Read and subscribe for free: www.quantseeker.com/p/weekly-rec...