Third-Party Research & Methodology Only

This section shares summaries of third-party academic research and descriptions of quantitative models. The content represents the findings of the original researchers, not the opinions or recommendations of Foxholm Financial. Foxholm Financial does not publish hypothetical or backtested performance metrics on its quantitative research pages. All content is restricted to methodology, signal construction, factor logic, and risk architecture. SEC rules require that investment advisers not present misleading performance data, and our methodology-only approach reflects that standard and the firm's fiduciary obligations.

Glossary

Quantitative Finance Glossary

Plain-language definitions of the terms used across quantitative investing: risk metrics, factor models, portfolio construction, trading strategies, and statistical methods. Each entry explains what the term means, why it matters, and how it connects to other concepts.

Risk & Return Metrics

Measures for evaluating how much return an investment earns relative to the risk taken. These are the yardsticks used to compare strategies on an equal footing.

Sharpe Ratio Sortino Ratio Calmar Ratio Treynor Ratio Information Ratio Alpha Beta Risk-Adjusted Return Maximum Drawdown Drawdown Volatility Standard Deviation Tracking Error Active Return Active Share Risk Premium Equity Risk Premium

Risk Models & Statistics

Statistical tools and models used to measure, forecast, and manage financial risk. These methods quantify uncertainty and help answer questions like "how bad could it get?"

Value at Risk (VaR) Expected Shortfall (CVaR) Monte Carlo Simulation GARCH Volatility Clustering Fat Tails Tail Risk Skewness Kurtosis Stress Testing Scenario Analysis Confidence Interval Implied Volatility Realized Volatility VIX Variance Correlation Covariance Matrix

Factor Models & Premiums

The academic framework for understanding what drives stock returns. Factor models decompose returns into identifiable characteristics like value, size, momentum, and quality.

Factor Investing Fama-French Factors Value Factor Size Factor (SMB) Momentum Factor Quality Factor Profitability Factor Low Volatility Anomaly Factor Premium Factor Zoo Smart Beta Multi-Factor Model CAPM Efficient Market Hypothesis Systematic Risk Idiosyncratic Risk

Portfolio Construction

Methods for combining investments into portfolios. These techniques determine how much to allocate to each holding and how to balance risk against expected return.

Mean-Variance Optimization Efficient Frontier Black-Litterman Model Risk Parity Diversification Rebalancing Tactical Asset Allocation Strategic Asset Allocation Risk Budgeting Volatility Targeting Position Sizing Kelly Criterion 1/N Portfolio Long-Short Portfolio Benchmark

Trading Strategies & Signals

Systematic approaches to buying and selling securities based on quantifiable rules. These range from trend-following to statistical arbitrage and everything in between.

Momentum Mean Reversion Trend Following Cross-Sectional Momentum Time-Series Momentum Relative Strength Pairs Trading Statistical Arbitrage Sector Rotation Contrarian Investing Carry Cointegration Z-Score Moving Average Crossover

Backtesting & Model Validation

Testing whether a strategy would have worked in the past, and understanding why those tests can mislead. Backtesting is essential but full of traps that make bad strategies look good.

Backtesting Overfitting Curve Fitting Data Snooping Survivorship Bias Look-Ahead Bias Out-of-Sample Testing Walk-Forward Analysis Signal Decay Alpha Decay P-Hacking Multiple Testing Problem Publication Bias

Market Microstructure & Execution

The mechanics of trading: what it costs, how orders interact with markets, and why execution matters as much as the strategy itself.

Slippage Bid-Ask Spread Market Impact VWAP TWAP Transaction Cost Analysis Turnover Strategy Capacity Liquidity

Machine Learning & Alternative Data

Computational methods for finding patterns in financial data, and non-traditional data sources that go beyond price and volume.

Machine Learning in Finance Feature Engineering Random Forest Gradient Boosting Neural Networks Natural Language Processing Alternative Data Regularization Principal Component Analysis Cross-Validation

Meet with a Fiduciary Advisor

Foxholm Financial is a fee-only registered investment adviser serving Georgia. We bring quantitative rigor to every client engagement. Explore our services or get in touch to discuss how we can help.

Institutional Clients

Are you an institution or FinTech firm? Learn about our Quantitative Consulting Services.

Disclaimer

This content is for educational and informational purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing herein constitutes investment advice or recommendations tailored to your individual situation. All investments involve risk, including the potential loss of principal. Past performance is no guarantee of future results. Information presented is believed to be factual and up-to-date, but Foxholm Financial does not guarantee its accuracy and it should not be regarded as a complete analysis of the subjects discussed. Before making investment decisions, consult with a qualified financial advisor who can evaluate your specific circumstances.