Quantocracy 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 originalThe Quantpedia Awards 2027 is now open, with a total prize pool of USD 25,000, for quantitative research papers published on open-access platforms such as SSRN and arXiv between May 1 and December 31, 2026.
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.
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