Quant_Library_v1.0: The Research & Tools Archive Of Picture Perfect Portfolios

Proprietary Research Ledger v1.0

The Quant Library

A high-authority collection of the seminal research, institutional whitepapers, and technical data powering the Expanded Canvas framework.

✈️Travel Professional
📊DIY Quant
🔍Independent Researcher

I. The Canon

The mathematical bedrock of the modern DIY Quant approach.

Seminal Paper 📁

Return Stacking

ReSolve Asset Mgmt & Newfound Research

The foundation of modern capital efficiency. It justifies why adding uncorrelated strategies on top of core assets improves risk-adjusted returns.

Nomadic Take: “The paper that destroyed the 100% Notional myth. If you want to expand your canvas, start here.”
Institutional 🏛️

Portable Alpha: Why Now?

AQR Capital Management

A rigorous explanation of the decoupling of ‘Alpha’ from ‘Beta.’ AQR demonstrates how to build better portfolios by transporting returns.

Nomadic Take: “AQR explains the science of separation: Stop choosing between Beta and Alpha. Transport and own both.”
Historical Proof ⏳

A Century of Evidence

AQR Capital Management

The definitive 100-year study on Trend Following. Proof that the strategy thrives across wars, depressions, and inflationary cycles.

Nomadic Take: “Survival is the ultimate validator. If a strategy works for a century of global chaos, it’s a structural feature, not luck.”
Tactical Baseline 🎯

A Quantitative Approach

Mebane T. Faber

The ‘Granddaddy’ of tactical whitepapers. Faber outlines a simple, robust quantitative system for moving between assets to minimize drawdowns.

Nomadic Take: “Meb Faber made quantitative trading accessible to everyone. This is the simplest explanation of Trend Following ever written.”
160%

The Canvas is Expanded

> SYSTEM_STATUS: OPTIMIZED
> BETA_EXPOSURE: 100%
> ALPHA_OVERLAY: +60%
> CORRELATION_COEFFICIENT: NEAR_ZERO

Initiate Sequence
Sharpe: 1.2
Drawdown: -12%
Vol_Target: 12%
FILTER_STATUS: ACTIVE
SMA_200_DAY
NOISE (News/Emotion)
SIGNAL (Price Action)
system_backtest_v4.02.sh
> Initializing “Expanded Canvas” logic… [DONE]
> Scanning 100-year historical dataset (AQR/Ilmanen)…
> Applying 60% Stacked Alpha (Trend/Carry/Gold)…
[PROCESSING]
> RESULT: SHARPE_RATIO IMPROVEMENT DETECTED (+42%)
> RESULT: MAX_DRAWDOWN REDUCTION DETECTED (-18%)
samuel@quant-rig:~$ _
MATRIX_STATUS: STRESS_TESTING REGIME: CRASH
STOCKS
1.00
REAL ESTATE
0.85
CRYPTO
0.92
CORP BONDS
0.75
MANAGED FUTURES
-0.40
PE
0.88
“In a crisis, the only thing that goes up is correlation.”
$1.00
CASH INPUT
STACKING ENGINE
$1.60
ASSET EXPOSURE

II. The DIY Quant Bookshelf

Beyond the whitepapers: The essential texts for mastering market psychology, factor theory, and portfolio construction.

THE FOUR PILLARS
Bernstein

The Four Pillars of Investing

William J. Bernstein

The definitive guide to understanding the history, psychology, and math of the markets.

Nomadic Take: “This book is the vaccine against ‘dumb’ investing. It builds the mental foundation required to survive a bear market.”
VIEW ON AMAZON ➔
FACTOR INVESTING
Swedroe / Berkin

Complete Guide to Factor-Based Investing

Andrew L. Berkin & Larry E. Swedroe

A rigorous filter for identifying which investment “factors” are actually backed by data.

Nomadic Take: “The ‘BS Detector’ for your portfolio. It teaches you how to stop buying themes and start buying data.”
VIEW ON AMAZON ➔
EXPECTED RETURNS
Antti Ilmanen

Expected Returns

Antti Ilmanen

The “Bible” of asset allocation. A comprehensive study on risk premia and future market rewards.

Nomadic Take: “This is the most important book on my shelf. It’s the ultimate reality check for what returns are actually possible.”
VIEW PUBLISHER ➔
MARKET WIZARDS
Jack D. Schwager

Market Wizards

Jack D. Schwager

Interviews with the greatest traders of all time, revealing the universal traits of winning.

Nomadic Take: “Investing isn’t just math; it’s a battle with your own ego. These stories provide the grit needed to stick to your system.”
VIEW ON AMAZON ➔
/// PSYCHOLOGY_DAEMON_V2.1 ///
[ALERT] Amygdala hijack detected.
[INPUT] User wants to “Sell Everything” at bottom.
Processing Request… ERROR
[SYSTEM] REQUEST DENIED
[REASON] Violation of Investment Policy Statement.
[ACTION] Executing “Rebalance” instead. Buying cheap assets.
🧠
8th
COMPOUNDING_ENGINE: ONLINE
./run_expanded_canvas.sh
> Initializing proprietary logic… [OK]
> Importing 100-year dataset (Source: AQR/Ilmanen)…
> Calculating correlation matrices…
[OPTIMIZING]
> DETECTED: 60/40 Portfolio Failure in 2022 Regime.
> APPLYING PATCH: +40% Managed Futures (Trend)
> RESULT: Drawdown reduced by 18%. Compounding restored.
root@nomadic-quant:~$ _

⚠️ THE MATHEMATICS OF DOOM

-10%
+11% Recovery
-33%
+50% Recovery
-50%
+100% Recovery

“The hole gets deeper faster than you can climb. Avoiding the drawdown is mathematically superior to chasing the upside.”

III. The Quant Laboratory

In quantitative finance, data is the only source of truth. This is the primary engine I use to stress-test every allocation theory.

Classic Research Engine
⚡

Portfolio Visualizer (Legacy)

While many prefer modern “wrappers,” the serious researcher often returns to the Legacy Engine. It provides the raw, high-fidelity computational power required for Asset Correlations, Factor Loadings, and Monte Carlo Simulations with a level of clarity and efficiency the modern web has lost.

Optimization
Efficient Frontier Modeling
Risk Analysis
Drawdown & Tail Risk Testing
Factor Analysis
Fama-French Multi-Factor Regression
📈⭐
Nomadic Take:

“The Legacy version of Portfolio Visualizer is the ‘Secret Menu’ of quantitative finance. It’s faster, more direct, and cuts through the noise to give you exactly what matters: the math. It remains my daily driver for building and stress-testing the Expanded Canvas.”

LAUNCH LEGACY ENGINE ➔
Canvas Capacity Test
TRADITIONAL (100%)
+ ALPHAS (60%)
TOTAL_EXPOSURE: 160%
❄️

Cryo-Stasis Protocol

System Status: Portfolio Locked.
The best strategy is the one you don’t interrupt. We utilize “Benign Neglect” to allow the compounding reaction to mature. Do not open the chamber during market volatility.

SECURING
portfolio_allocation_refactor.diff
@@ -1,5 +1,7 @@
– const portfolio = {
–   stocks: “60%”,
–   bonds: “40%”,
–   leverage: false // “Too risky”
– };
+ const portfolio = {
+   core: “100% (Diversified Factor Beta)”,
+   alpha_stack: “60% (Trend / Carry / Alts)”,
+   canvas_total: “160%”,
+   volatility_target: “12%”
+ };
📄 portfolio_allocation.json
Commit: feat: enable_leverage
  {
    “strategy_name”: “Retail_Standard”,
–“equity_exposure”: “100%”,
–“diversification”: “Stocks & Bonds Only”,
–“leverage_fear”: true
+“equity_exposure”: “90% (Core Beta)”,
+“stacked_alts”: “60% (Trend + Carry)”,
+“total_canvas”: “150%”
  }

IV. The Expanded Canvas

“An artist needs a bigger canvas. A quant needs structural leverage.”

🐉
Exhibit A: Survival

The Allegory of the Hawk and Serpent

Artemis Capital Management

The cult classic that redefined risk. Christopher Cole argues that a traditional portfolio (The Hawk) dies during secular change, and you need a “Long Volatility” component (The Serpent) to survive the 100-year cycle.

Curator’s Note

“This isn’t just finance; it’s philosophy. It proves that a portfolio without ‘Long Volatility’ exposure is just gambling on history repeating itself.”

VIEW MASTERPIECE ➔
⚖️
Exhibit B: Balance

The All Weather Story

Bridgewater Associates

Ray Dalio’s origin story for Risk Parity. It explains why a 60/40 portfolio is actually 90% risky (equity dominant) and why true diversification requires balancing assets based on risk, not dollars.

Curator’s Note

“The philosophical grandfather of the Expanded Canvas. You cannot stack returns until you have first balanced your risks.”

VIEW MASTERPIECE ➔
⚡
Exhibit C: The Math

Leverage Aversion & Risk Parity

Asness, Frazzini, Pedersen (AQR)

The academic proof that “safe” assets offer better risk-adjusted returns than risky ones, but are ignored because they are boring. Therefore, leveraging safe assets is safer than concentrating in risky ones.

Curator’s Note

“The most counter-intuitive truth in finance: Leveraging a safe, boring asset is often safer than buying a volatile, exciting one.”

VIEW MASTERPIECE ➔
🌍
Exhibit D: The Trap

Global Asset Allocation

Meb Faber

A comprehensive backtest of the world’s most famous portfolios. Faber discovers that exact allocation matters less than fees, patience, and—crucially—avoiding the “Home Bias” trap.

Curator’s Note

“If your canvas only includes the S&P 500, you aren’t painting; you’re betting. Meb proves that global diversification is the only free lunch.”

VIEW MASTERPIECE ➔
⚠ TAIL RISK DETECTED
Sector: Global Equities (-20%)
CRISIS ALPHA: ENGAGED
SYSTEM_ID: NOMADIC_QUANT_V2 // LATENCY: 12ms // ALLOCATION: OPTIMIZED
Data Uplink
AQR
ARTEMIS
BRIDGEWATER