Blog
Overnight Mean-Reversion
Sharpe 4+ | Why Overnight Moves Reverse During the Day Premise Most people calculate a “daily return” simply using yesterday’s …
When Futures Overreact (Part 2): Sharpening the Edge
A few weeks ago, I shared a post about a surprisingly consistent edge found in the weekly spread between nearby …
Risk Premium Harvesting
At QuantReturns, we spend a lot of time digging into niche edges: timing institutional flows, capturing futures reversals or exploiting …
When Futures Overreact: Short-Term Basis Reversal
The Premise Commodity exposure is accessed via futures contracts, which form a term structure across maturities. In the recent academic …
The Unintended Consequences of Rebalancing
The Premise While much of the research in modern markets has focused on persistent forces like momentum, value, or macro …
Keller’s Lethargic Asset Allocation Portfolio: Performance
Portfolio Overview Keller’s Lethargic Asset Allocation (LAA) framework is a rules-based approach that aims to reduce portfolio volatility while maintaining …
