QuantSeeker

Weekly Research Insights - Trading Around Macro Announcements Profiting From Resolution of Uncertainty

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...

Weekly Research Recap Latest research on investing and trading

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.

Weekly Research Recap Latest research on investing and trading

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...

What Works Below the 200-Day Moving Average? Factor, Industry, and Asset Performance in Bear Markets

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...

Weekly Research Recap Latest research on investing and trading

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...

Weekly Research Recap Latest research on investing and trading

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...

Weekly Research Recap Latest research on investing and trading

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...

Weekly Research Insights Economic Uncertainty and Expected Returns | Emerging Market Debt | Predicting Overnight Returns

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...

Weekly Research Recap Latest research on investing and trading

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...

Timing Volatility with the VIX Term Structure Discussing the Research and Testing Slope-Based Signals

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...

Weekly Research Insights Properties of Drawdowns | News-Driven Commodity Trading | Extracting Alpha from Crowding

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...

Weekly Research Recap Latest research on investing and trading

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.

Short-Term Mean Reversion in Equity ETFs Exploring the Most Effective Indicators

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

Weekly Research Insights Generating Alpha from Analysts | Protecting Against Inflation |Profiting from Macro Announcements

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...

Weekly Recap Latest research on investing and trading

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...

Trading the Fed: The Pre-FOMC Drift is Alive Evidence, Strategy Performance, and the Role of Market Uncertainty

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...

Exploiting Short-Term Mean Reversion Between Stocks and Bonds Introduction

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...

Weekly Recap Latest research on investing and trading

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...

Turn-of-the-Month Strategies: Do They Still Work? Examining the Evidence, Recent Trends, and Practical Implications of a Fading Market Anomaly

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...

Weekly Recap Latest research on investing and trading

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...

Exploring Stock-Bond Correlations Trends and Economic Drivers

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-...

Weekly Recap Latest research on investing and trading

A new recap of the latest research on investing is out!

Read and join the community:
www.quantseeker.com/p/weekly-rec...

Weekly Recap Latest research on investing and trading

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...

Beyond Momentum: Testing New Crypto Trading Strategies Exploring the Potential of Alternative Signals

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...

Weekly Recap Latest research on investing and trading

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....

Improving Industry Momentum with Sentiment Signals Refining Momentum with News Sentiment and News Dispersion

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-...