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Research bits #1: The Most Underrated Metric in (Factor) Research
We’re switching over to small, more frequent posts that are easier to write & read - hope you like it!
Sep 11
•
Mark Aron Szulyovszky
and
Daniel Szemerey
1
August 2025
Cross-Sectional Alpha Factors in Crypto: 2+ Sharpe Ratio Without Overfitting
In the early ’90s, the quant forefathers (Fama and French) introduced their now-canonical factor models: first three, then five, and eventually seven…
Aug 14
•
Mark Aron Szulyovszky
and
Daniel Szemerey
46
4
April 2025
How Speculative Money Flows into Crypto
Measuring how exogenous risk factors predict crypto returns
Apr 28
•
Mark Aron Szulyovszky
11
The unreasonable effectiveness of volatility targeting - and where it falls short
Part 1: Introduction, a paradox & blindspots
Apr 22
•
Mark Aron Szulyovszky
24
4
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