Insights
Notes from the research desk.
Original research and short articles on factor investing, portfolio construction and systematic processes.
-
Article
Portfolio123 Claude Skill 4.1.1: Factor Recipes, a Current API and Fewer Wrong Answers
Version 4.1.1 of the free Portfolio123 Claude Skill fixes what live use turned up, adds 35 factor-replication recipes and documents the current Portfolio123 API.
-
Article
Where Your Portfolio's Risk Comes From, in Three Steps
A free factor risk model for any list of US holdings. It splits the risk across 13 style factors, the industries behind them, and what is left for each company on its own.
-
Article
The index was calm. The cross-section was not.
Notes from a second conversation with David Nelson on The Money Runner. A quiet index sat on top of a violent cross-section, and the interesting question was not which factor was winning but what a momentum factor is actually holding when it does.
-
Research · SSRN
Nature of the Factors: Value
Two portfolios, both honestly called value, cut from the same universe on the same date and to the same size, hold seven names in ten differently. An empirical study of the accounting decisions that decide which companies a value rule holds. Published on SSRN.
-
Article
A Free Claude Skill That Argues With Your Backtest
A free Claude skill built from 71 quant finance papers. It audits backtests, runs deflated Sharpe and factor attribution, and cites a page for every number.
-
Article
A Free Claude Skill That Knows Every Portfolio123 Factor
Download the free Portfolio123 Claude Skill: all 4,463 factors and 465 functions, the full REST API, and ready-to-run scripts. MIT licensed.
-
Research · SSRN
Don't Mix What Should Be Separated: Why Combining Value and Momentum Signals Destroys Alpha
An empirical study on how combining value and momentum factors at the signal level can destroy the alpha that each generates independently. Published on SSRN.
-
Article
When losing less is the right answer
A personal retrospective on running a systematic equity book through 2025: the decision to switch engines, the role of a benchmark hedge during the spring selloff, and one framing question that shaped every change to the playbook.
-
Article
Four lessons from a year of trading on a small account
What a year of running stock-picking models and equity options on a small account taught me about position sizing, gamma management, model robustness, and a realistic risk framework.
-
Research · PDF
Factor Timing: Dynamic Portfolio Allocation via Machine Learning
A working paper proposing a machine-learning framework for dynamic factor allocation in equity portfolios, with out-of-sample validation across regimes.
Considering a quantitative approach?
Begin with a free 45-minute introductory conversation to assess fit, scope and approach.
Request an introductory consultationOr write to: c.morales@quantsolvings.com