Kurtis The Quant retweeted
Should you cap-weight or equal-weight your factor portfolio?
I ran the same test in 2 markets and got 2 different answers.
Here is the setup:
🔹 Top 50 stocks from 2005 to 2026 according to factor style
🔹 Ran cap-weighted and equal-weighted
🔹 Run in Russell 3000 (USA) and Stoxx 600 (Europe)
The chart shows the difference in Sharpe ratio between the two.
🔹 In the US, cap-weighting won for every style.
🔹 In Europe it was equal weighting.
One major disclaimer is that the Sharpe gaps between equal-weight and cap-weighting were small. Mostly noise.
The weighting choice is really a bet on big companies leading or not.
Which do you use?
Kurtis The Quant retweeted
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Never give up on an AI Factor Model ;-)
Again, the replication rate (OOS live trading mirroring the behavior of the holdout) of our design choices is almost unbelievable.
Here are some results from our "base systems." Those base systems take 4–7 existing ranking systems and use their factors as features.
OOS Live Trading from 05/21/25 (rest is holdout, predictor trained from 2003 - 2020).
Kurtis The Quant retweeted
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AI Factor Models from "The Factor Edge" maxquantstrike.substack.com/ went up yesterday ;-) YTD 69% & 58% ATHs! But...
Kurtis The Quant retweeted
Momentum is one of the most studied factors in investing. It is also one of the most misused.
Join me live on Oct 21 at 12:30 PM ET for a @P123Finance webinar: “MOMENTUM: What Actually Works?”
Register: calendar.app.google/oPvtW9eh…
#FactorInvesting #Momentum
🤖 Made with AI
Kurtis The Quant retweeted
Portfolio123’s global data is in beta, with full release coming soon.
The table below is public Value and Momentum ranking systems combined, run in 12 Asia-Pacific and emerging markets.
15 stocks, 4-week rebalance, $250K liquidity floor, 0.35% slippage.
Kurtis The Quant retweeted
Replying to @Quant_Kurtis
Nah, it’s not his fault at all. Bro was just trying to do a solid for his father in law by wiping an old iPad that belonged to a deceased 90 year old man, clearing the personal data, and possibly putting the device to good use. That is normal family and estate cleanup, not some criminal mastermind plot. Activation Lock exists specifically to prevent theft, so the moment he asked ChatGPT how to remove the lock when the owner was dead and there was no receipt or will, the automated filters went full paranoid mode and slapped him with a “Cyber Abuse” label.
OpenAI’s classifiers can be notoriously trigger happy when it comes to anything involving device unlocking, reverse engineering, or cybersecurity related discussions. There are reports of people doing completely legitimate things, such as coding their own projects, preparing cybersecurity job applications, or working on hardware they own, receiving similar warnings or worse, sometimes followed by appeals being rejected within an hour through what appear to be template responses. The system saw keywords and context that suggested possible unauthorized access, ignored the backstory about the deceased owner and the informal agreement, and defaulted to caution. He even explained the situation in the chat, but nuance clearly is not the classifier’s strongest suit right now.
Practically speaking, he has already appealed and lost, so pursuing further human review through the usual channels may be a dead end. The real solution for the iPad is still Apple Support, which can explain whether the device can be unlocked with appropriate documentation. Proof of death and evidence of the relationship may help, although an informal agreement alone does not guarantee an exception. As for his OpenAI account, the safest move is to respect the warning and avoid further prompts that could be interpreted as attempts to bypass device security. People who believe they have encountered a false positive can also use the available official support or appeal channels to seek clarification.
The underlying problem he pointed out is real. AI safety systems can struggle to distinguish between someone helping a family member deal with a deceased person’s old tablet and someone attempting to gain unauthorized access to a device. Legitimate requests deserve careful contextual assessment, not just keyword matching. Safety matters, but so does getting the context right. If the system gets that balance wrong, legitimate users end up paying the price.
Kurtis The Quant retweeted
Replying to @Quant_Kurtis
Hi Kurtis, first of all I'd like to apologize (on behalf of @OpenAI). No human or quant should be treated this way. Second, there is a loophole and missing guardrail layers here.
I've also reported the same for a friend, @gregmushen.
@sama would you be so kind to help fix? Tysm
It's official. I have been outed by OpenAI to be a Cyber Criminal. I appealed and lost. No further appeals will be considered. My crime?
A 90-year old bachelor passed away. My father-in-law (the bachelor's closest friend) is responsible for his few possessions. He asked if his 5 year old iPad could be wiped of personal information and updated.
I needed help from ChatGPT to reformat the glitchy device. Then I discovered it was activation locked. I asked ChatGPT to walk me through the process of removing it. It showed me the options - none of which could work.
▫️ The man is estranged from his family, he didn't save a receipt from 5 years ago, and he died without a will.
I asked for any other way to remove the lock. An hour or two later an e-mail came in and said I was guilty of Cyber Abuse. To be fair, I only got a warning. But I am one innocent question away from a lifetime ban.
I feel there is a gap in the system. If someone reviewed my account they would see quant research, a creative fiction book I am writing and a couple random posts trying to get an old iPad working. Not exactly the workings of a criminal mastermind.
Any advice on how to get a human in the OpenAI Trust & Safety department to review this matter would be most appreciated. @OpenAIDevs @romainhuet
Kurtis The Quant retweeted
The trend that doesn't end, TSR20 Rubber.
Slow Mean Reversion and Carry also came along for the ride buying dips on this one, while the original 2025-07 position is still holding on.
This kind of trade can make up for over 10 losing trades.
Kurtis The Quant retweeted
Many simple ETF trend-following systems have a weakness. Price alone only tells you the market trend. It does not speak of recession risk.
This public system adds rising unemployment and a recently inverted yield curve with the trend rule. This allows it to ride out normal corrections and hopefully sidestep the big bear markets.
ETFs for good markets - $SPY, $QQQ and $GLD
ETFs for bad markets - $IEF and $GLD.
The return mostly comes from minimizing bear market losses.
Link to model and full rules are in comment section.
Kurtis The Quant retweeted
First pitch to iMaps Capital is out!
The AI Factor Research GmbH has officially started the process to launch an ETI — a listed, actively managed exchange-traded instrument — on our AI Factor Strategy Book (long only), built via @P123Finance.
Early stage. Nothing signed yet. But today we start!
imaps-capital.com/
@iMapsCapital
My dad only ever invested in gold exploration stocks. Some did 100x while others went bust. It was like rolling dice as to which. $GLD
Could I develop a ranking system to improve the odds?
Not with exploration companies but there might be something with profitable miners. Link to screen in comments.
Kurtis The Quant retweeted
Coaching used to mean sessions and homework. Not anymore.
I'm building a private platform for my @P123Finance clients:
• Custom tools on top of their own P123 account
• Exclusive research
• Premium forum with the P123 community
• Session booking and homework tracking
• Course videos (oops, nothing there yet... maybe later)
• A skills tracker that measures your progress in numbers and shows exactly where your gaps are
The first thing you see when you log in: 0 of 36 skills confirmed. Then you start filling the board.
Still in the lab.
Would you want this on the market? Tell me.
Kurtis The Quant retweeted
Interested in what drives this long/short Russell 2000 strategy? This user-created screen is built on the following multifactor ranking system:
🔹 Sentiment - high EPS revision, high earnings surprises, low short interest
🔹Growth - 5 year EPS growth
The idea is to combine stocks with positive long-term and short-term drivers.
Long-term earnings growth shows a level of persistence. Short term analyst revisions with positive reporting surprises provides a shorter window of excess returns as stocks with less coverage tend to adjust to new information slower.
And finally, lower short interest in small caps may carry additional information that is often overlooked in ranking systems or things that cannot be measured quantitatively.
The link to this screen will be made available in the comments.
Companies with high operating leverage can really swing hard. Not all highly levered companies are the same. This is how I rank them to separate the good from the bad...
4 basic factors themes:
-Value
-Short Interest
-Growth
-Quality
Growth means fundamentals are moving in the right direction and improving.
Quality suggests that the growth might be sustainable.
Value is to keep the prices down for what you get.
And short interest is to see what informed investors are doing and where the ranking system might have a blind spot.
Below is my public 50-stock Russell 2000 screen. I set it to public so any P123 member can get the full rules/ranks and clone it. Link in the comments.
It is a backtest with all the disclaimers and such that come with it.



























