Alpha Architect interprets Dmitriy Muravyev's 2026 working paper, which uses an in-house LLM replication pipeline to reconstruct the core results of 1,328 papers published in the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies between 2000 and 2020, of which 1,005 were eligible for subsequent out-of-sample testing.
Read originalAQR has released the third part of its research series on tax-aware long-short (TA LS) strategies, clarifying two common misconceptions. As an active investment strategy, TA LS deliberately retains tracking error to express alpha models and capture excess returns and tax deferral benefits, rather than minimizing tracking error like direct indexing. Portfolio construction for TA LS requires balancing expected returns, risk, costs, and taxes, rather than simply realizing capital losses or deferring capital gains.
Read originalAnalysis of 401(k) plan filings from 2013 to 2023 by the CFA Institute Research and Policy Center shows that the average expense ratio of 401(k) investment menus fell from 0.69% to 0.39%, with declines in both active and index fund fees, and the fee gap between small and large plans has essentially closed. Fund quality also improved over the same period, with the weighted average of Morningstar Medalist ratings rising from 3.45 to 3.85, and lower-cost funds often receiving higher ratings.
Read originalThis article treats the holding costs, behavioral pressures, and governance burdens of tail risk hedging during calm periods as design constraints rather than post-hoc inconveniences. The authors first break down three types of "bleeding" sources: direct holding costs, opportunity costs, and evaluation pressure, and provide a table of cumulative sleeve losses for different annualized carry rates over 3 to 15 years, as well as a table of portfolio-level annual drag converted by sleeve weight.
Read originalQuantocracy has compiled the latest quantitative research-related links as of October 7, 2026, covering an interview with Kris Longmore of Robot Wealth, analysis of multi-asset drift effects around the US election, interpretation of market reactions following earnings releases, and a backtest of the "boiling frog" momentum strategy for the S&P 500 index. Readers can visit Quant Mashup to view the latest link content.
Read originalQuantpedia analyst Cyril Dujava released a study based on a sample of 13 US federal elections from 2000 to 2024, covering XLK, SPY, IYR, IEF, EEM, and GLD.
Read originalQuantocracy has compiled recent quantitative research-related links as of October 5, 2026, covering 5 quantitative research pieces on different topics. The content includes a study on the century-long history of meme stocks, methods for constructing statistically valid backtests, market reactions following analyst downgrades, a comparison of 200-day moving average and volatility targeting strategies, and an introduction to the Orthogonal Clustering Risk Parity (OCRP) strategy.
Read originalAlpha Architect interprets the paper "Competition, complexity, and security design: evidence from retail investment products" published in the Review of Finance in 2026. This study takes yield-enhancement products in the Swiss market as a sample and finds that issuers deliberately increase product complexity to weaken price competition when competition intensifies.
Read originalThe SSRN paper "A Century of Meme Stocks and the Price of Coordination" proposes training machine learning models using market and company data to identify meme stocks, extending the traceable "memeness" indicator back to 1926.
Read originalQuantocracy compiled recent links related to quantitative research on October 3, 2026, covering five topics: a backtest of Warren Buffett's contrarian investment advice, the performance of a Nasdaq-100 polynomial regression band strategy, the causes of the asset growth anomaly, a test of the U.S. stock turn-of-the-month effect, and a method for calculating transaction costs in macro trading strategies.
Read originalQuantocracy has compiled the latest links related to quantitative research as of October 2, 2026, covering a range of quantitative research topics. These include 897,000 tests conducted on approximately 150 types of trading patterns, an analysis of the impact of 13 oil price surges on U.S. stocks since 1970, a study of asset performance during periods of rising bond yields from 1963 to 2026, and research on an attention factor based on the WallStreetBets herding effect and BERT sentiment.
Read originalAlpha Architect published an interpretive article by Larry Swedroe introducing the research "What drives the Asset Growth-return Relation: Mispricing or Risk?" published in July 2026 by Zhuo Cheng, Daniel Cohen, and Jing Fang.
Read originalQuantocracy released its latest roundup of quantitative research links on September 30, 2026, covering areas such as quantitative strategy replication, machine learning cross-sectional factors, quantitative trading podcast analysis, and correlation and volatility research. This includes the launch of the Quantpedia Awards 2027 competition, a replication of the intraday momentum strategy proposed by Gao et al. in 2018, and a systematic summary of the 335th episode of a quantitative trading podcast.
Read originalBlock Scholes has released its Week 40 crypto derivatives market analysis report, noting that against a macro backdrop of rising oil prices, the ongoing U.S.-Iran Strait of Hormuz standoff, and deepening U.S. Treasury sell-offs, BTC prices have consolidated in the $82,000 to $84,000 range, while spot BTC and ETH ETFs have recorded net capital inflows for over 7 consecutive days.
Read originalAQR has published the second installment of its research series on tax-aware long-short (TA LS) investing, clarifying two misconceptions arising from analogies to direct indexing. First, the tax benefits of TA LS come primarily from deferred capital gains rather than active loss harvesting: its loss realization pace is similar to ordinary tax-insensitive strategies, and tax-aware optimization is mainly used to avoid selling positions with existing unrealized gains, especially short-term gains.
Read originalBridgewater released a research report pointing out that current carbon pricing mechanisms cover approximately 30% of global emissions, mainly dominated by the emissions trading systems of the European Union and China. The EU Carbon Border Adjustment Mechanism (CBAM) is amplifying its impact and promoting the adoption of carbon pricing worldwide.
Read originalAQR has published a research article noting that the market often incorrectly analogizes tax-aware long-short investing (TA LS) to direct indexing strategies, clarifying two core misconceptions.
Read originalBlock Scholes released its Week 38 crypto derivatives market analysis report. The current market prices in a 93% probability of a rate hike at the Fed's next-day meeting, while the probability of the Clarity Act passing by the end of 2026 on Polymarket has dropped to 19%.
Read originalAQR has updated its previous analysis of inflation sensitivity and inflation hedging, based on over 50 years of market data. While global inflation has fallen rapidly from its 2022 peak, inflation uncertainty persists in major markets, stock-bond correlations are at multi-decade highs, and traditional stock-bond portfolios are vulnerable to simultaneous losses during inflation shocks. Commodities and trend-following strategies perform strongly during inflation upcycles and can serve as inflation diversification tools, with implementation methods significantly affecting long-term returns and macro diversification outcomes.
Read originalAQR’s latest research, "Liquidity without Liquidation", shows that tax-sensitive long-short strategies can extract large amounts of cash without fully liquidating the portfolio, while maintaining pre-tax returns, target tracking error, and leverage levels.
Read originalAQR has released the research Investing in a Warming World, noting that mainstream portfolio carbon metrics such as carbon footprint and carbon intensity are easily affected by rising stock market valuations, and may show improvement even when corporate emissions change little, potentially overestimating decarbonization progress when used as time-series measures of decarbonization. Financed emissions are more directly linked to real-world emissions outcomes. The study also explores approaches to constructing climate-oriented portfolios, noting that combining multiple metrics can provide a more comprehensive assessment of climate-related investment progress.
Read originalAQR research explores whether tax-aware equity strategies can provide sufficient liquidity without full liquidation, while preserving investment objectives. The study finds that substantial capital can be extracted while maintaining tracking error, leverage, and pre-tax information ratio. The tax-efficient extraction capability of long-short strategies is generally superior to that of direct indexing strategies, and improves with higher strategy tracking error and leverage levels.
Read originalBlock Scholes released its Week 35 crypto derivatives market review. Influenced by the U.S. Treasury's plan to expand Treasury repo operations and Trump pushing the Senate to pass the Clarity Act, BTC rose 20% over the past week, with its current price breaking through $80,000, and ETH rose 30%. The three major sentiment indicators in the derivatives market have repriced along with spot market movements. Options skew has turned positive, call option premiums have appeared in contracts with tenors of 7 days or more, funding rates remain positive, and the futures term structure is inverted.
Read originalAswath Damodaran, Professor at New York University Stern School of Business, released the July 2026 edition of his country risk research, systematically outlining the drivers, measurement methods, and impact on corporate valuation and investment.
Key Takeaways:You can learn the complete process of deriving country risk premiums for each country starting from the implied equity risk premium of mature markets, combined with sovereign ratings, default spreads, and relative volatility between stocks and bonds.
This study focuses on the wealth creation effect in stock returns, exploring how the combination of profitability and investment behavior affects stock returns. The article is published in the Financial Analysts Journal, Vol. 82, No. 3, Q3 2026, pp. 78-110.
Read originalThe authors use random subsample backtests to examine the effectiveness of exponentially weighted window estimates of the Sharpe ratio for portfolio optimization. They compare the out-of-sample Sharpe ratios of EWM spans of 5, 10, 20, and 30 years against full-sample estimates across various in-sample and out-of-sample periods.
Read originalThe article analyzes three profitability metrics: EBITDA, EBITA, and EBIT. It is published in the Financial Analysts Journal, Volume 82, Issue 3, 2026, pages 59-77.
Read originalThis article is published in the Financial Analysts Journal, Volume 82, Issue 3, Q3 2026, pages 28-33. Its core argument is that investors should not blame index investing for their own problems.
Read originalThe Financial Analysts Journal, Volume 82, Issue 3 (Q3 2026), pages 5 to 14, published a tribute to Martin Leibowitz, reviewing his relevant contributions to the financial field. This content is a commemorative article recently released by the journal.
Read originalPublished in the Financial Analysts Journal, Vol. 82, No. 3, Q3 2026, pp. 43-58. This article explores the early development of equity premium theory, focusing on why E. L. Smith failed to perceive the negative impact of deflation.
Read originalThis study is published in the Financial Analysts Journal, Q3 2026, Volume 82, Issue 3, pages 138-166. It uses the National Pension Service of Korea as a sample to analyze ESG implementation by pension funds.
Read originalThis is the sixth article in a portfolio optimization series. The author conducts hundreds of random backtests to examine the impact of different numbers of clusters, correlation shrinkage, SR shrinkage, and in-sample vs. out-of-sample lengths on out-of-sample Sharpe ratios across asset sizes of 20, 30, and 40. The results show that most parameter combinations have no significant differences, with only weak evidence that moderate clustering outperforms no clustering, and that the number of clusters should not be too large. The author ultimately recommends using an empirical value of 6 clusters when clear statistical evidence is lacking, while noting that clustering significantly increases optimization time.
Read originalIn the fourth installment of the Summer 2026 Portfolio Optimization Series, the author backtests Monte Carlo, bootstrap, double shrinkage, naive mean-variance, equal weight, maximum diversification, and EPO using real trading rule and instrument return data. Each test randomly selects 9 trading rules and one instrument, comparing portfolios over 1-, 5-, and 10-year in-sample periods and 1- and 5-year out-of-sample periods. The results show that under real data, correlation estimates are less stable than Sharpe ratios, requiring more correlation shrinkage rather than more Sharpe ratio shrinkage.
Read originalCarbon Beta is a market-based measure of climate transition risk exposure. This study is published in the Financial Analysts Journal, Vol. 82, No. 3, Q3 2026, pp. 111-137.
Read originalAn examination of Morningstar's 'Mind the Gap' study shows that poor market timing did not cost investors 15% of fund returns. The study is published in the Financial Analysts Journal, Volume 82, Issue 3, pages 34-42, 2026.
Read originalBridgewater released a research report on January 7, 2026, estimating that AI capital spending will contribute about 140 basis points to U.S. GDP growth in 2026 and about 150 basis points in 2027, a scale comparable to the contribution of business investment to growth during the dot-com bubble.
Read originalBridgewater released a study on November 13, 2025, analyzing Canada's response path under U.S. high tariffs and USMCA uncertainty. The report notes that Canada's GDP contracted in Q2 2025, after which it adopted a three-pillar strategy of trade diversification, fiscal expansion, and loose monetary policy, aiming to double non-U.S. exports within a decade and add over CAD 300 billion in trade volume. The fiscal deficit for FY2025-26 reached CAD 78 billion, accounting for 2.5% of GDP. The Bank of Canada maintains an accommodative stance, and initial signs of stabilization have emerged in manufacturing orders, residential construction, and the labor market.
Read originalBridgewater released a research report outlining the energy supply and security landscape across the U.S., China, and Europe in the context of modern mercantilism. The report notes that cheap and abundant electricity is critical to the AI race and national competitiveness, and governments are now making energy self-sufficiency a core policy priority. The report also analyzes the differentiated challenges and advantages of the three regions in energy supply chains and power capacity expansion.
Read originalBridgewater released a research report, arguing that the inflation center in the post-pandemic era has risen compared with that before the pandemic, 2% is more like a bottom than an upper limit, and the distribution of inflation outcomes is wider and skewed upward. The report compares the current environment with that in the 2010s, pointing out that restraining factors such as China's export of low-priced goods, shale oil production, and post-crisis deleveraging have weakened; while the medium-term expansion deficit of about 7% of US GDP, the compromised independence of the Federal Reserve, tariffs and trade restructuring, potential depreciation of the US dollar, and AI power and commodity demand constitute structural inflationary pressures.
Read originalBridgewater, in collaboration with Eclipse, released the second part of its series on reviving U.S. manufacturing, pointing out that U.S. manufacturing lacks competitiveness due to high labor costs and a weak industrial base, and tariffs cannot bridge the cost gap. The report proposes leveraging mature technologies such as automation, computer vision, and additive manufacturing, as well as cutting-edge technologies like generative AI and embodied AI, to boost manufacturing productivity by 1 to 2 orders of magnitude. Scaling the application of these technologies is expected to take nearly a decade.
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