Quant Memo
The reference database for quant strategies, with practical notes.
We democratize quant knowledge. Learn and reference here. To invest systematically, see Quant Native.
Pulse
Prediction market odds: finance, crypto, macro. From Polymarket & Kalshi.
Popular Strategies
Dual Momentum Equity
Outperform by switching between equities and cash (or bonds) when relative and absolute momentum favor the switch.
Trend Following (Futures)
Capture sustained moves across commodities, rates, FX, and equity indices using normalized price breakout signals.
Vol Targeting (Multi-Asset)
Target a stable portfolio volatility by scaling exposure to a diversified multi-asset basket inversely to realized vol.
FX Carry
Earn the interest rate differential by going long high-yield and short low-yield currencies, with vol scaling.
Mean Reversion (Russell 2000)
Small caps overshoot on short-term moves; fade extreme z-scores over 5–10 days for mean reversion edge.
Sector Rotation (Momentum)
Rotate into sectors with strongest relative momentum (e.g. 3–6m) and out of weakest; rebalance monthly.
Newly Updated
Core Concepts
Grouping assets or signals by correlation structure to manage diversification and risk.
DrawdownThe peak-to-trough decline in portfolio value; key risk metric for live and backtest.
Mean ReversionThe tendency of prices or returns to revert to a long-run average after deviations.
MomentumThe tendency of assets that have performed well (poorly) to continue performing well (poorly) over the next period.
OverfittingFitting a model or strategy so closely to historical data that it fails out-of-sample.
PCA (Principal Component Analysis)Dimensionality reduction by projecting data onto orthogonal directions of maximum variance.
Position SizingRules for how much capital to allocate per trade or asset (equal weight, risk parity, Kelly, etc.).
Regime DetectionIdentifying and adapting to different market states (trending vs mean-reverting, risk-on vs risk-off).
Latest Memo
Memo 001: Momentum primer and database intro
A short intro to the Quant Memo database and why we start with momentum as a core theme.
2025-02-20
Strategies: dual-momentum-equity, trend-following-futures, sector-rotation
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