Skip to main content
WeiMindWeiMind
ChineseView Course
Quant Radar

Content Formats

Paper Research Latest Activity

Research from arXiv, SSRN, and large funds: prioritize papers that provide data, code, and out-of-sample tests.

124 related activitiesLast 30 days 97 itemsFeatured among them 1 items

Updated

Activity Archive · Page 6 页

1 SeptTueIssue 101–120 items
  1. AQR: Research44

    AQR Research on Investing in a Warming World: Analysis of Differences Between Mainstream Portfolio Carbon Metrics and Financed Emissions

    AQR 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 original
28 AugFri
  1. AQR: Research38

    AQR Research: Accessing Liquidity Without Liquidating

    AQR 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 original
27 AugThu
  1. Deribit Insights40

    Block Scholes Weekly Crypto Derivatives Analysis: Week 35

    Block 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 original
16 JulThu
  1. Aswath Damodaran：Musings on Markets75

    Aswath Damodaran releases 2026 edition of country risk research: drivers, measurement and investment implications

    Aswath 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.

    Read original
1 JulWed
29 JunMon
  1. Rob Carver：This Blog is Systematic59

    Is Rolling Exponentially Weighted Estimation Better Than Full Sample: A Backtest Examination of Portfolio Optimization Parameters

    The 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 original
23 JunTue
22 JunMon
18 JunThu
  1. Rob Carver：This Blog is Systematic58

    Does Portfolio Optimization Need Clustering? A Backtest Examination Across Different Asset Sizes and Sample Lengths

    This 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 original
15 JunMon
  1. Rob Carver：This Blog is Systematic62

    Comparing Portfolio Optimization Shrinkage Methods Using Real Return Data: Backtesting Conclusions for Monte Carlo, Bootstrap, and Double Shrinkage

    In 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 original
19 MayTue
12 MayTue
7 JanWed
  1. Bridgewater: Research & Insights55

    Bridgewater Research: The Macroeconomic Impact of the AI Capital Spending Boom

    Bridgewater 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 original
13 NovThu
  1. Bridgewater: Research & Insights50

    Bridgewater Research: How Canada Is Responding to U.S. Mercantilism

    Bridgewater 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 original
16 OctThu
  1. Bridgewater: Research & Insights46

    Power Politics: Energy Self-Sufficiency in a Modern Mercantilist World

    Bridgewater 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 original
22 SeptMon
  1. Bridgewater: Research & Insights52

    Bridgewater: Inflation Risks Enter a New Era of Structural Uptrend

    Bridgewater 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 original
10 JulThu
  1. Bridgewater: Research & Insights34

    What Does It Take to Revive U.S. Manufacturing? Part 2: Boosting U.S. Manufacturing Productivity

    Bridgewater, 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.

    Read original