QuantSeeker
@quantseeker
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Investing and Trading. For information and education only, not investment advice.
Weekly Recap →
Joined July 2022
A new Research Recap is out with actionable insights: ➢ Macro text -> industry alpha ➢ 140+ technical signals in corporate bonds ➢ Exploiting slow-moving macro expectations ➢ A put-flow timing signal for the broad market ➢ Great
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My colleagues Antti and Thom finish their series Understanding Return Expectations on a high note (and one admittedly in AQR’s wheelhouse). Part 10 focuses on Diversifying Alternatives — the oft-underappreciated liquid alternatives that are actually diversifying — while
aqr.com
Part 10: This paper examines how investor biases and performance-chasing behaviors can undermine the benefits of long/short diversifying alternatives. We explore why such strategies often feel...
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A great explanation of how AQR’s trend following that has (again) done great this year is different from the standard trend following that has (again) suffered this year: https://t.co/uRBVghMibL
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The latest Weekly Research Recap is out. This week's topics include: ➢ Regime-Dependent Asset Allocation ➢ The Gold-to-Copper Ratio and Predictability ➢ Predicting Crypto with Sentiment ➢ Improving Momentum with ChatGPT
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The latest Weekly Research Recap is out. This week's topics include: ➢ Simplicity or Complexity in FX Forecasting? ➢ Diversifying Across Trend Horizons ➢ Thematic Investing ➢ Volatility Forecasting ➢ Great Blogs, Industry
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🚨 The 2025 Open Source Asset Pricing data release is live! This year, we carefully translated the Stata code to Python (30k lines). This makes maintenance easier and shows our commitment to producing the highest quality dataset out there. We also have a few bonus features 🧵
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"Our analysis shows that while stop losses rarely enhance expected or risk-adjusted returns, they consistently improve skewness and drawdowns."
NEW RESEARCH --- “Stop the Losses!” In a world of increasingly complex strategies, it's tempting to assume sophistication will protect portfolios from sharp declines. But even well-designed models can falter under pressure. What then? One simple but overlooked tool --- stop
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The latest Weekly Research Recap is out. This week's topics include: ➢ When Crypto Predicts Stocks ➢ Portable Alpha ➢ Trading 0DTE NDX Straddles ➢ Identifying Mispriced Stocks ➢ Great Blogs, Industry Research, Podcasts
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A recent Journal of Finance paper shows that once short-sale costs are properly accounted for, most long-short stock return anomalies fail to deliver alpha. Across 162 equity anomalies, long–short returns average 0.14% per month before costs but fall to 0.00% or negative once
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Media news sentiment is a priced factor in commodity futures. A weekly long–short strategy based on sentiment (Refinitiv's MarketPsych Indices) earns 8.3% annually with a Sharpe of about 0.5 after costs and remains significant vs. standard factors. Double-sorting with traditional
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Terrific interview with @rjpjr12 (Jerry Parker). He talks about the Turtle Trader days and provides a lot of great details about his trading methods and philosophy.
podcasts.apple.com
Podcast Episode · Excess Returns · 10/15/2025 · 59m
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Evidence from 45 global equity markets shows that volatility scaling adds little to most equity factors once transaction costs are considered, with one notable exception: Long–short momentum, and to a lesser extent the market factor. Vol-scaled momentum delivers the strongest
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The latest Weekly Research Recap is out. This week's topics include: ➢ Volatility Forecasting ➢ Lead-Lag Predictability Across Stocks ➢ Survey of LLMs in Quant Investing ➢ Predictability from Order Flow ➢ Great Blogs and Podcasts
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The latest Weekly Research Recap is out. This week's topics include: ➢ Volatility Forecasting ➢ Lead-Lag Predictability Across Stocks ➢ Survey of LLMs in Quant Investing ➢ Predictability from Order Flow ➢ Great Blogs and Podcasts
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Beyond Factors: Reimagining Quant Equity for the Modern Era (S7E23) In this episode, I speak with Jay Rajamony, Director of Alternatives at Man Numeric. Jay has been with the firm since 2004, giving him a front-row seat to the evolution of quant equity: from simple factor
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“All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns” by Beckmeyer & Wiedemann -> https://t.co/cc63qJZ5rW
@quantseeker weekly recap
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The latest Weekly Research Recap is out. This week's topics include: ➢ Comparing Gold and Bitcoin ➢ Trading Equities and FX Using News Sentiment ➢ Improving Equity Momentum with Machine Learning ➢ Crypto ➢ Great Blogs
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Resolving three competing explanations for why trend following performance has been decaying
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RavenPack has made available five research papers applying their sentiment data across various asset classes: Equities: https://t.co/4UKJwlveKv
https://t.co/gM1Z6a9NZH FX: https://t.co/UtldTnaFsm
https://t.co/Gn5x7Eh4Ks Credit: https://t.co/j1ugWSKmiB
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