Valuelytica
@valuelytica.bsky.social
Systematic trading with a focus on risk premia harvesting, multifactor investing and finding edges. No financial advice.
https://valuelytica.substack.com/
https://valuelytica.substack.com/
Pinned
Valuelytica
@valuelytica.bsky.social
· Nov 15
EOM Stock-Bond Reversal Strategy
Profiting from Predictable Money Flows
share.google
I looked at the rebalancing flow at the end of the month and created the EOM Stock-Bond Reversal Strategy to harvest this effect
share.google/o0yd79T0HrFc...
share.google/o0yd79T0HrFc...
Part 2 of my End-of-Month Stock-Bond-Reversal Strategy
valuelytica.substack.com/p/continuati...
valuelytica.substack.com/p/continuati...
Continuation-Extension of EOM Stock-Bond-Reversal Strategy
Part 2 of Profiting from Predictable Money Flows
valuelytica.substack.com
November 23, 2025 at 9:39 AM
Part 2 of my End-of-Month Stock-Bond-Reversal Strategy
valuelytica.substack.com/p/continuati...
valuelytica.substack.com/p/continuati...
I looked at the rebalancing flow at the end of the month and created the EOM Stock-Bond Reversal Strategy to harvest this effect
share.google/o0yd79T0HrFc...
share.google/o0yd79T0HrFc...
EOM Stock-Bond Reversal Strategy
Profiting from Predictable Money Flows
share.google
November 15, 2025 at 12:36 AM
I looked at the rebalancing flow at the end of the month and created the EOM Stock-Bond Reversal Strategy to harvest this effect
share.google/o0yd79T0HrFc...
share.google/o0yd79T0HrFc...
Reposted by Valuelytica
Just published my portfolio update for June.
valuelytica.substack.com/p/portfolio-...
valuelytica.substack.com/p/portfolio-...
Portfolio Update
June 2025 Edition
valuelytica.substack.com
June 6, 2025 at 11:38 AM
Just published my portfolio update for June.
valuelytica.substack.com/p/portfolio-...
valuelytica.substack.com/p/portfolio-...
Just published my portfolio update for June.
valuelytica.substack.com/p/portfolio-...
valuelytica.substack.com/p/portfolio-...
Portfolio Update
June 2025 Edition
valuelytica.substack.com
June 6, 2025 at 11:38 AM
Just published my portfolio update for June.
valuelytica.substack.com/p/portfolio-...
valuelytica.substack.com/p/portfolio-...
Reposted by Valuelytica
Just published my screening list for June. Check it out.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Screening List
June 2025 Edition
valuelytica.substack.com
June 5, 2025 at 3:50 PM
Just published my screening list for June. Check it out.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Just published my screening list for June. Check it out.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Screening List
June 2025 Edition
valuelytica.substack.com
June 5, 2025 at 3:50 PM
Just published my screening list for June. Check it out.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Just published my screening list for May. My portfolio update will be published in the next few days.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Screening List
May 2025 Edition
valuelytica.substack.com
May 1, 2025 at 1:51 PM
Just published my screening list for May. My portfolio update will be published in the next few days.
valuelytica.substack.com/p/screening-...
valuelytica.substack.com/p/screening-...
Reposted by Valuelytica
Published a new post. I compared the Piotroski F-Score and the FS-Score by Gray and Carlisle
valuelytica.substack.com/p/f-score-vs...
valuelytica.substack.com/p/f-score-vs...
F-Score vs FS-Score
A Comparison between a popular investing formula and its improvement
valuelytica.substack.com
April 26, 2025 at 2:12 PM
Published a new post. I compared the Piotroski F-Score and the FS-Score by Gray and Carlisle
valuelytica.substack.com/p/f-score-vs...
valuelytica.substack.com/p/f-score-vs...
Published a new post. I compared the Piotroski F-Score and the FS-Score by Gray and Carlisle
valuelytica.substack.com/p/f-score-vs...
valuelytica.substack.com/p/f-score-vs...
F-Score vs FS-Score
A Comparison between a popular investing formula and its improvement
valuelytica.substack.com
April 26, 2025 at 2:12 PM
Published a new post. I compared the Piotroski F-Score and the FS-Score by Gray and Carlisle
valuelytica.substack.com/p/f-score-vs...
valuelytica.substack.com/p/f-score-vs...
Reposted by Valuelytica
Did we see a basisclysm or a Swapsmageddon this week? Here’s quick, very early autopsy of the Treasury market shenanigans. on.ft.com/3YoEOYu
A Treasury market meltdown postmortem
Swapsmageddon or a Basisclysm?
on.ft.com
April 10, 2025 at 2:38 PM
Did we see a basisclysm or a Swapsmageddon this week? Here’s quick, very early autopsy of the Treasury market shenanigans. on.ft.com/3YoEOYu
Reposted by Valuelytica
The 10 year Treasury yield has shot up to 4.45% and the 30-year is close to 5%. Here’s my attempt from yesterday to explain why even the biggest and safest bond market now seems to be creaking. TLDR: the liquidation of massively leveraged hedge fund trades. on.ft.com/3R748hN
The Treasury basis trade rears its head again
[FREE TO READ] Bills and bonds and Treasury basis trades, oh my!
on.ft.com
April 9, 2025 at 5:56 AM
The 10 year Treasury yield has shot up to 4.45% and the 30-year is close to 5%. Here’s my attempt from yesterday to explain why even the biggest and safest bond market now seems to be creaking. TLDR: the liquidation of massively leveraged hedge fund trades. on.ft.com/3R748hN
Reposted by Valuelytica
Check out my new portfolio update for April. It includes the screening list for my quant strategy. 1/n
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Holy-Trinity Portfolio Update
April 2025 Edition
valuelytica.substack.com
April 3, 2025 at 10:22 AM
Check out my new portfolio update for April. It includes the screening list for my quant strategy. 1/n
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Check out my new portfolio update for April. It includes the screening list for my quant strategy. 1/n
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Holy-Trinity Portfolio Update
April 2025 Edition
valuelytica.substack.com
April 3, 2025 at 10:22 AM
Check out my new portfolio update for April. It includes the screening list for my quant strategy. 1/n
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Reposted by Valuelytica
Some links to stories that I found interesting have been posted on
Substack:
valueandopportunity.substack.com/p/some-links...
Wordpress:
valueandopportunity.com/2025/03/30/s...
Substack:
valueandopportunity.substack.com/p/some-links...
Wordpress:
valueandopportunity.com/2025/03/30/s...
Some links 08/2025
If you have 2 hours to spare and want to know more about AI LLMs than 99,8% of your peers, then this video from Andrej Karpathy is what you should watch
valueandopportunity.substack.com
March 30, 2025 at 2:15 PM
Some links to stories that I found interesting have been posted on
Substack:
valueandopportunity.substack.com/p/some-links...
Wordpress:
valueandopportunity.com/2025/03/30/s...
Substack:
valueandopportunity.substack.com/p/some-links...
Wordpress:
valueandopportunity.com/2025/03/30/s...
Reposted by Valuelytica
Some links to stories that I found interesting were published on:
Wordpress
valueandopportunity.com/2025/03/17/s...
and Substack
open.substack.com/pub/valueand...
Wordpress
valueandopportunity.com/2025/03/17/s...
and Substack
open.substack.com/pub/valueand...
Some links 07/2025
The Wintergem Substack with a very interesting write-up on Canadian Business Jet Maker Bombardier
open.substack.com
March 17, 2025 at 7:30 AM
Some links to stories that I found interesting were published on:
Wordpress
valueandopportunity.com/2025/03/17/s...
and Substack
open.substack.com/pub/valueand...
Wordpress
valueandopportunity.com/2025/03/17/s...
and Substack
open.substack.com/pub/valueand...
Reposted by Valuelytica
Mediobanca has a fantastic piece of research on car insurance and premium finance in the UK.
A quick thread but the basic TLDR is that some customers are getting insanely screwed with APR going from the advertised 17% to a real APR of 34%....
@martinlewis.moneysavingexpert.com
A quick thread but the basic TLDR is that some customers are getting insanely screwed with APR going from the advertised 17% to a real APR of 34%....
@martinlewis.moneysavingexpert.com
March 17, 2025 at 9:31 AM
Mediobanca has a fantastic piece of research on car insurance and premium finance in the UK.
A quick thread but the basic TLDR is that some customers are getting insanely screwed with APR going from the advertised 17% to a real APR of 34%....
@martinlewis.moneysavingexpert.com
A quick thread but the basic TLDR is that some customers are getting insanely screwed with APR going from the advertised 17% to a real APR of 34%....
@martinlewis.moneysavingexpert.com
Reposted by Valuelytica
He may not be as famous as Bill Sharpe, Ed Thorpe or Jim Simons, but Barr Rosenberg is one of the OGs of quantitative finance. Alphaville was sad to learn he passed away last month, so we wrote this tribute to “the accountant of risk”. on.ft.com/4bumJxE
RIP quant-father Barr Rosenberg
The ‘accountant of risk’ has passed away
on.ft.com
March 14, 2025 at 5:03 PM
He may not be as famous as Bill Sharpe, Ed Thorpe or Jim Simons, but Barr Rosenberg is one of the OGs of quantitative finance. Alphaville was sad to learn he passed away last month, so we wrote this tribute to “the accountant of risk”. on.ft.com/4bumJxE
Reposted by Valuelytica
Fresh update: Low-volatility data now 10 years out of sample! The paradox persists. Check the latest data here: www.paradoxinvesting.com/data
March 12, 2025 at 12:53 PM
Fresh update: Low-volatility data now 10 years out of sample! The paradox persists. Check the latest data here: www.paradoxinvesting.com/data
Just released my portfolio update for March + my Holy-Trinity screening list.
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Holy-Trinity Portfolio Update
March 2025 Edition
valuelytica.substack.com
March 10, 2025 at 7:25 PM
Just released my portfolio update for March + my Holy-Trinity screening list.
valuelytica.substack.com/p/holy-trini...
valuelytica.substack.com/p/holy-trini...
Just published my first post in English. It's a repost from my German post last week.
valuelytica.substack.com/p/introducti...
valuelytica.substack.com/p/introducti...
Introduction to my quantitative investment strategy
I published this post last week in German. As an experiment I am republishing it in English now. I will maybe publish more posts in English in the future. Let me know if you like it and be interested ...
valuelytica.substack.com
March 8, 2025 at 5:15 PM
Just published my first post in English. It's a repost from my German post last week.
valuelytica.substack.com/p/introducti...
valuelytica.substack.com/p/introducti...
Nun ist die Katze aus dem Sack. In meinem neuesten Beitrag stelle ich meine quantitative Anlagestrategie vor.
valuelytica.substack.com/p/vorstellun...
valuelytica.substack.com/p/vorstellun...
Vorstellung meiner quantitativen Anlagestrategie
Wie bereits angekündigt, habe ich meinen Fokus auf das quantitative Investieren gelegt.
valuelytica.substack.com
March 1, 2025 at 5:14 PM
Nun ist die Katze aus dem Sack. In meinem neuesten Beitrag stelle ich meine quantitative Anlagestrategie vor.
valuelytica.substack.com/p/vorstellun...
valuelytica.substack.com/p/vorstellun...
In meinem neuesten Beitrag habe ich verschiedene systematische Anlagestrategien analysiert.
valuelytica.substack.com/p/ausflug-in...
valuelytica.substack.com/p/ausflug-in...
Ausflug in den Formel-Investing-Zoo
Analyse verschiedener systematischer Anlagestrategien
valuelytica.substack.com
January 24, 2025 at 8:14 PM
In meinem neuesten Beitrag habe ich verschiedene systematische Anlagestrategien analysiert.
valuelytica.substack.com/p/ausflug-in...
valuelytica.substack.com/p/ausflug-in...
Äußerst relevanter 🧵 für alle Eurobank- und Fairfax-Aktionäre.
Ziemlich smarter move, aber eben lipstick on a 🐷
Ziemlich smarter move, aber eben lipstick on a 🐷
This is pure gold, Greek edition.
How did Eurobank achieve such an increase in capital ratios, in Q3 24? The trick is in the +99bps.
Which comes from a mysterious decrease of 2.4bn€ in RWA. But how? Deleveraging?
Oh no, that would be hard work. I’ve got a better idea.
Thread.
How did Eurobank achieve such an increase in capital ratios, in Q3 24? The trick is in the +99bps.
Which comes from a mysterious decrease of 2.4bn€ in RWA. But how? Deleveraging?
Oh no, that would be hard work. I’ve got a better idea.
Thread.
January 10, 2025 at 6:32 PM
Äußerst relevanter 🧵 für alle Eurobank- und Fairfax-Aktionäre.
Ziemlich smarter move, aber eben lipstick on a 🐷
Ziemlich smarter move, aber eben lipstick on a 🐷
Reposted by Valuelytica
The (quite humilating) V&O 2024 Performance review has been posted on Wordpress:
valueandopportunity.com/2025/01/10/p...
and Substack:
open.substack.com/pub/valueand...
valueandopportunity.com/2025/01/10/p...
and Substack:
open.substack.com/pub/valueand...
Performance review 2024 – Comment “Extrapolate the past at your own peril”
2024 overviewThere is no way around it: 2024 was a in absolute terms relative terms however really bad. The Value & Opportunity portfolio lost -2,5 % (including dividends, no taxes, AOC fund as…
valueandopportunity.com
January 10, 2025 at 12:18 PM
The (quite humilating) V&O 2024 Performance review has been posted on Wordpress:
valueandopportunity.com/2025/01/10/p...
and Substack:
open.substack.com/pub/valueand...
valueandopportunity.com/2025/01/10/p...
and Substack:
open.substack.com/pub/valueand...