QuantSeeker
@quantseeker.bsky.social
Quant investing and trading. Research and trading strategies. For information and education only, not investment advice.
Weekly Newsletter: https://www.quantseeker.com/
Weekly Newsletter: https://www.quantseeker.com/
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...
www.quantseeker.com/p/weekly-res...
Weekly Research Insights - Trading Around Macro Announcements
Profiting From Resolution of Uncertainty
www.quantseeker.com
June 28, 2025 at 10:55 AM
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...
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...
➢ 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...
Weekly Research Recap
Latest research on investing and trading
www.quantseeker.com
June 17, 2025 at 9:47 PM
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...
➢ 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.
May 25, 2025 at 7:57 PM
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...
➢ 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...
Weekly Research Recap
Latest research on investing and trading
www.quantseeker.com
May 6, 2025 at 7:48 PM
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...
➢ 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...
www.aqr.com/Insights/Res...
How Do Investors Form Long-Run Return Expectations?
We provide an overview of the contrasting ways investors form long-run return expectations and examine the tensions between "objective" yield-based expected returns and "subjective" rearview-mirror ex...
www.aqr.com
April 29, 2025 at 4:14 PM
New article by Antti Ilmanen on understanding expected returns. Always a must-read.
www.aqr.com/Insights/Res...
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...
www.quantseeker.com/p/what-works...
What Works Below the 200-Day Moving Average?
Factor, Industry, and Asset Performance in Bear Markets
www.quantseeker.com
April 21, 2025 at 7:38 PM
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...
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...
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
www.quantseeker.com
April 15, 2025 at 7:56 PM
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...
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...
➢ 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
www.quantseeker.com
April 8, 2025 at 7:53 PM
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...
➢ 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...
➢ Currency Anomalies
➢ Improving Momentum Strategies
➢ Finance Applications of LLMs
➢ Volatility Forecasting
➢ Great blogs, repositories, and podcasts
➢ ...
www.quantseeker.com/p/weekly-res...
Weekly Research Recap
Latest research on investing and trading
www.quantseeker.com
April 1, 2025 at 7:27 PM
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...
➢ 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...
- Economic Uncertainty and Expected Returns
- Emerging Market Debt
- Predicting Overnight Returns
www.quantseeker.com/p/weekly-res...
Weekly Research Insights
Economic Uncertainty and Expected Returns | Emerging Market Debt | Predicting Overnight Returns
www.quantseeker.com
March 28, 2025 at 5:41 PM
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...
- 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...
Topics:
➢ X-Asset Momentum
➢ Political Risk and Return Predictability
➢ LLMs and News Sentiment Trading
➢ Great blogs and podcasts
➢ ...
www.quantseeker.com/p/weekly-res...
Weekly Research Recap
Latest research on investing and trading
www.quantseeker.com
March 25, 2025 at 10:44 PM
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...
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...
www.quantseeker.com/p/timing-vol...
Timing Volatility with the VIX Term Structure
Discussing the Research and Testing Slope-Based Signals
www.quantseeker.com
March 25, 2025 at 12:28 AM
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...
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...
- Properties of Drawdowns
- News-Driven Commodity Trading
- Extracting Alpha from Crowding
www.quantseeker.com/p/weekly-res...
Weekly Research Insights
Properties of Drawdowns | News-Driven Commodity Trading | Extracting Alpha from Crowding
www.quantseeker.com
March 20, 2025 at 10:39 PM
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...
- 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...
Topics:
➢ Overnight Stock Returns
➢ Factor Exposures and Quantile Regressions
➢ Asset Allocation and Macro Regimes
➢ Great blogs, repos, podcasts
➢ ...
www.quantseeker.com/p/weekly-res...
Weekly Research Recap
Latest research on investing and trading
www.quantseeker.com
March 18, 2025 at 8:09 PM
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...
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.
March 14, 2025 at 9:56 AM
Three great books.
A new blog post is out where I explore short-term mean reversion signals.
www.quantseeker.com/p/short-term...
www.quantseeker.com/p/short-term...
Short-Term Mean Reversion in Equity ETFs
Exploring the Most Effective Indicators
www.quantseeker.com
March 14, 2025 at 9:00 AM
A new blog post is out where I explore short-term mean reversion signals.
www.quantseeker.com/p/short-term...
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...
Generating Alpha from Analysts
Protecting Against Inflation
Profiting from Macro Announcements
www.quantseeker.com/p/weekly-res...
Weekly Research Insights
Generating Alpha from Analysts | Protecting Against Inflation |Profiting from Macro Announcements
www.quantseeker.com
March 14, 2025 at 8:59 AM
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...
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...
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...
Weekly Recap
Latest research on investing and trading
www.quantseeker.com
February 27, 2025 at 10:52 AM
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...
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...
www.quantseeker.com/p/trading-th...
Trading the Fed: The Pre-FOMC Drift is Alive
Evidence, Strategy Performance, and the Role of Market Uncertainty
www.quantseeker.com
February 27, 2025 at 10:51 AM
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...
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...
www.quantseeker.com/p/exploiting...
Exploiting Short-Term Mean Reversion Between Stocks and Bonds
Introduction
www.quantseeker.com
February 18, 2025 at 9:11 AM
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...
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...
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...
Weekly Recap
Latest research on investing and trading
www.quantseeker.com
February 12, 2025 at 10:23 AM
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...
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...
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...
Turn-of-the-Month Strategies: Do They Still Work?
Examining the Evidence, Recent Trends, and Practical Implications of a Fading Market Anomaly
www.quantseeker.com
February 10, 2025 at 9:01 AM
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...
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...
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...
Weekly Recap
Latest research on investing and trading
www.quantseeker.com
February 4, 2025 at 12:14 PM
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...
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-...
www.quantseeker.com/p/exploring-...
Exploring Stock-Bond Correlations
Trends and Economic Drivers
www.quantseeker.com
February 2, 2025 at 9:56 PM
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-...
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...
Read and join the community:
www.quantseeker.com/p/weekly-rec...
Weekly Recap
Latest research on investing and trading
www.quantseeker.com
January 28, 2025 at 3:29 PM
A new recap of the latest research on investing is out!
Read and join the community:
www.quantseeker.com/p/weekly-rec...
Read and join the community:
www.quantseeker.com/p/weekly-rec...