Advanced Quant Trading
Phase 4 of the quantitative learning path. You've seen the basic backtest. Now you'll learn the factor machinery that institutional quant firms actually use. and the honest limits of every factor model.
8 articles ~54 min
Foundations
- What Are Alpha Factors . An alpha factor is a number that predicts future returns. IC, IC IR, turnover, and the brutal math of what's worth trading.
- CAPM and Market Beta . CAPM, beta, and the three famous failures that opened the door to multi-factor models.
Factor Models
- Fama-French Three-Factor Model . Market + size (SMB) + value (HML). The 30-year-old workhorse and the default benchmark for US equity returns.
- Carhart Four-Factor Model . Adding momentum (UMD) to the Fama-French model. The four-factor decomposition is how institutional research isolates true alpha.
- Factor Zoo and Beyond: Which Factors Actually Survive Transaction Costs . Beyond Fama-French: quality, low-volatility, profitability, investment, carry. The expanded factor menu and what still works.
Strategy Frameworks
- Momentum Strategies: The Most Robust Factor and How Not to Get Killed by It . Cross-sectional vs time-series momentum. The most robust and most dangerous factor in finance. How to build it without getting crushed by the next 2009.
- Mean Reversion Strategies: Pairs Trading, Stat Arb, and Why Capacity Is Limited . Pairs trading, statistical arbitrage, Ornstein-Uhlenbeck. Real edges that scale poorly and die from crowding.