Green Lark

Quantitative Investing: factors, especially momentum in all its forms

also AI, Physics, Math

[Green Lark @green_lark]

Claude is really helpful for quickly building investing algorithm baselines for strategies I want to explore.

For example, search for a good open implementation and implement it locally. Then modify it, pulling data on the fly. So efficient!

[Green Lark @green_lark]

A map of the Nasdaq

AI on the left, Big Tech at the bottom, defensives and biotech on top right.

Within the MAG7, Meta, Google, Amazon bunch together.
Microsoft is with software, Apple is independent.
Tesla is next to Palantir.
Nvidia sits in the center of AI with AMD, ASML, ARM attached.
A second megacap AI cluster with memory (Micron) and infrastructure (Broadcom) has come up next to it.

[Green Lark @green_lark]

@Cheesecake_Lord no, i assembled it with the methods described under the plots

[Green Lark @green_lark]

119 factor funds vs their respective benchmark (determined by size) evaluated on 5-year performance

Best Momentum: SPMO
Best Quality: GARP
Best Value: AVUV and DFAT
1/2

[Green Lark @green_lark]

@JulianLippa rebalancing weekly and adding in new funds after they start. not survivorship bias free.

[Green Lark @green_lark]

Factor ETFs naturally cluster into 6 groups:
A big value cloud from small to large cap, two momentum groups and a quality cluster.
Some funds are in between clusters, for example VAMO has value+momentum+a defensive trend overlay, which worked well in 2022.
Overall, the value style seems really overrepresented.
There is room for more quality and momentum ETFs.

[Green Lark @green_lark]

@cjcjc not of the mean of the cluster over this time frame

[Green Lark @green_lark]

@SystematicIRE @SharpeAxiom the semi-annual rebalancing approaches really don't make sense to me.

[Green Lark @green_lark]

@SystematicIRE For momentum I suspect it's a lack of story one can tell about it? Quality is really odd, and I also don't understand why the US-traded ETFs here don't perform better.

[Green Lark @green_lark]

@gdogorous searched names on https://t.co/mw8c5pzKiQ for words like momentum, value, quality

[Green Lark @green_lark]

@SharpeAxiom Japanese small cap value ETFs are nice, also ORR, which loads on Japan Value. I like also just the UCITS MSCI World Quality ETF.

[Green Lark @green_lark]

@SharpeAxiom FMTM looks interesting to me so far.

[Green Lark @green_lark]

@retire_readyinv I find one really has to look at every ETF in detail

[Green Lark @green_lark]

@ThierryBorgeat bonds are extreme, with seemingly endless bull and bear markets.

[Green Lark @green_lark]

@kazbeks the data series are from yahoo finance

[Green Lark @green_lark]

@gdogorous not that i am aware of

[Green Lark @green_lark]

@BMarcham40867 yes, it was hard to outperform large caps

[Darren r-σ²/2 @ReformedTrader]

Owning short-dated index straddles has a negative Sharpe, but the Sharpe approaches zero and becomes insignificant as maturity increases.

This is consistent with risk aversion declining as maturity increases.

(The straddles are reconstructed as delta-neutral each week.)

Term Structure of the Price of Variance Risk (Andries et al., 2025)

[Green Lark @green_lark]

@SharpeAxiom good point, it's kind of an outlier in the value bucket and also with an extreme weight now. but whatever works ...

[Green Lark @green_lark]

@NunoClara_ have to stitch everything together by hand or an agent

[Green Lark @green_lark]

Exponential Wealth:
Centuries of Stock
and Bond Returns

Roger G. Ibbotson

released a few days ago

[Jason Zweig @jasonzweigwsj]

This is sure to become the standard reference for long-term investment returns.

https://t.co/XaKSrBuYNH

[Green Lark @green_lark]

@NunoClara_ yes, that’s what i understand