QuantSeeker

Previously, I shared Chuan Shi’s excellent lecture notes on factor investing. Here are 4 more from the same series, covering ML, factor timing, and alternative data. Great reading if you’re building factor strategies. - Machine learning in factor investing papers.ssrn.com/sol3/papers.cf… - Factor timing and factor allocation papers.ssrn.com/sol3/papers.cf… - Alternative data papers.ssrn.com/sol3/papers.cf… - Behavioral finance and factor investing papers.ssrn.com/sol3/papers.cf…

Paper by Cabrera et al. suggests a possible event-driven signal with meaningful alpha after costs. Investor Day announcements trigger a 3.7% pre-event rally on average, often followed by a fade. Paper: wp.lancs.ac.uk/fofi2026/files…

Great interview with AQR's Jordan Brooks. aqr.com//Insights/Rese…

With oil prices surging, it may be time to revisit the best inflation hedges. Across decades of data, trend following and commodities (energy and industrials) have been among the most effective hedges. Consumer durables tend to perform the worst.

This is a great recent survey paper for anyone interested in DeFi, reviewing nearly 90 academic papers. papers.ssrn.com/sol3/papers.cf…

Great article from D.E. Shaw. The Concentration Game: Understanding Portfolio Effects of U.S. Equity Market Concentration deshaw.com/library/concen…

Newly published paper by Gulen and Woeppel: “…we show that the curvature of the stock price path, which we refer to as "price-path convexity," contains information about future returns...convexity negatively and significantly predicts future returns at both the aggregate and firm levels.” Paper (open access): cambridge.org/core/journals/…

Inside Two Sigma & AQR with Bill Mann: How Early Quants Built Edge Before the Modern Tools Existed Bill Mann spent nearly 11 years across two of the world's most elite quant funds — AQR & Two Sigma — rising to Senior Vice President while building alpha models, establishing quantamental research teams, & designing the ML/AI systems that powered their forecasts. "A real edge you used to have 15 years ago was creating your own version of someone else's data." We cover: - How Two Sigma's fundamentals team built proprietary data pipelines before vendors existed - Why point-in-time databases were a secret weapon — & how look-ahead bias destroyed competitors - The crowding problem hiding inside everyone's favorite value factor - LLMs in quant research: what agents can already replace & what still requires human intuition - Why junior quants are at risk — & the one mindset that keeps senior researchers irreplaceable - How HarmoniQ Insights pivoted from advising buy-side firms to backing fintech startups with sweat equity - The New Barbarians thesis: crypto natives meeting old Wall Street, & why both sides need each other - Bill's one piece of advice for aspiring quants: build your own model, put real money behind it, learn from the losses Timestamps: 00:00 Intro 00:57 Life as a Quant at Two Sigma 02:36 Finding Edge in Fundamental Data 07:04 Creating a Creative Quant Research Culture 11:19 How LLMs Change Quantitative Trading 15:52 AI’s Impact on Junior Quant Careers 22:56 Using AI Tools for Learning 23:57 HarmoniQ Insights: Advising Fintech Startups 30:47 The New Barbarians Podcast Explained 33:26 Crypto and Market Makers vs TradFi 34:54 Career Advice for Aspiring Quants 38:46 Final Takeaways

New insights on value investing: About 50% of value & growth stocks are newly classified each year. These “style migrants” account for a disproportionate share of the value premium. A New Value–New Growth spread earns 2× the return of incumbents and with higher Sharpe, mainly because newly promoted growth stocks underperform. Paper: papers.ssrn.com/sol3/papers.cf…

Detecting VIX Term Structure Regimes, by Cristian Velasquez @crisvelasquez/detecting-vix-term-structure-regimes-8f3b1a4ddf15" target="_blank" rel="nofollow noopener">medium.com/@crisvelasquez…

DeepSeek founder Liang Wenfeng’s quantitative hedge fund generated returns of more than 50% last year bloomberg.com/news/articles/…

Martingale blowup. “I use a probability based approach and although I understood this was a possible outcome, this issue did not exist for this specific model over the last 3 years,”

Trends, Secular Trends, and Trend conversion qoppac.blogspot.com/2026/01/are-ma…

𝐇𝐞𝐫𝐞’𝐬 𝐭𝐡𝐞 𝐭𝐚𝐛𝐥𝐞 𝐭𝐡𝐚𝐭 𝐠𝐞𝐭𝐬 𝐭𝐡𝐞 𝐦𝐨𝐬𝐭 𝐥𝐨𝐯𝐞. Early estimated hedge fund returns. 𝐐𝐮𝐢𝐜𝐤 𝐫𝐞𝐦𝐢𝐧𝐝𝐞𝐫: it’s skewed toward larger funds and not a ranking, just based on preliminary numbers confirmed with sources. Story: bloomberg.com/news/articles/…

New research finds that the recently launched earnings contracts on Polymarket predict earnings beats better than analysts: 68% accuracy one week ahead and 77% the day before, vs 62% for analysts. Paper: papers.ssrn.com/sol3/papers.cf…

There has been a lot of talk about how to use AI in investing. This week, we sit down with someone who is actually using it to build real-world strategies. We talk to Pictet Head of Quantitative Investments David Wright about how he and his team do it. youtu.be/cpsI13lulQY

If you’re interested in FX anomalies and currency risk premia, the new site currencyfactors.com is a great resource. It provides long time series for 11 currency factors across different currency universes. currencyfactors.com

Inside the ‘rolling thunder’ quant crises of 2025 - ft.com/content/4300b6… via @FT

Classical short-term reversals in stocks have weakened over time, but research shows they still work, if you’re selective. The strongest returns come from: • Stocks that fall relative to their industry • Very short lookbacks • Avoiding news-driven moves Trading on short-term reversals is essentially liquidity provision, and it works best when combined with the right filters.