Quantitative research platform for systematic trading strategies. Build & test ideas with point-in-time discipline. quanterlab.com/
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Thirty Years of the Technology Industry, From Dot-Com to ChatGPT: Its Strong Stories and Their Relation to Capital Expenditure
(September 22, 2026). Available at SSRN: ssrn.com/abstract=7507181 or dx.doi.org/10.2139/ssrn.7507…
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Post-Earnings Drift in the Point-in-Time S&P500 universe across different sector constituents, different holding periods, different entry points.
papers.ssrn.com/sol3/papers.…
Post-Earnings Drift in the Point-in-Time S&P500 universe across different sector constituents, different holding periods, different entry points.
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papers.ssrn.com/sol3/papers.…
Post-Earnings Drift in the Point-in-Time S&P500 universe across different sector constituents, different holding periods, different entry points.
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QuanterLab
Rebuilding The Fama-French Factor Construction Inside the Point-in-Time S&P 500 Available at SSRN: ssrn.com/abstract=7465182 or dx.doi.org/10.2139/ssrn.7465…
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QuanterLab
Rebuilding The Fama-French Factor Construction Inside the Point-in-Time S&P 500 Available at SSRN: ssrn.com/abstract=7465182 or dx.doi.org/10.2139/ssrn.7465…
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Rebuilding the Fama-French factor construction inside the point-in-time S&P 500: value, dividend yield, profitability and net issuance, 2006 to 2025
quanterlab.com/research/the-…
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QuanterLab retweeted
Fama-French factors inside the S&P 500: walk-forward 2006 to 2025 [@QuanterLab] dlvr.it/TVWQYt
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Piotroski's F-score is the screen every value investor has run: nine yes-or-no questions on the last two annual statements, a point for each yes, buy the eights and nines. We decomposed it against itself.
quanterlab.com/research/does…
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QuanterLab retweeted
Piotroski F-score backtest on the S&P 500, point in time, 2000 to 2025 [@QuanterLab] dlvr.it/TVS7t9
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QuanterLab retweeted
European country rotation vs sector rotation [@QuanterLab] dlvr.it/TVNrjQ
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QuanterLab retweeted
Post-earnings-announcement drift decomposed by earnings predictability and gross profitability [@QuanterLab] dlvr.it/TVM7LZ
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Antonacci's Global Equities Momentum is two ideas welded together, famous one is relative momentum, quiet one is absolute momentum. This study takes the weld apart and prices each idea separately, on instruments you can actually buy.
quanterlab.com/research/anto…
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The drift the academic literature describes does not pay in large caps.
The reaction to the earnings number itself still does.
quanterlab.com/research/post…
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People usually take All Weather for the fixed allocation Dalio gave Tony Robbins, but that one is All Seasons and it carries no borrowing at all. We built that one and charged it the three-month Treasury bill, plus fifty basis points.
quanterlab.com/research/dali…
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Greenblatt's Magic formula tested with PIT S&P500 constituents over 20 years.
3 Test cases:
Original formula (quality and value)
Quality half alone,
Value half alone,
One half beat the whole thing!
quanterlab.com/research/one-…
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