Executive Summary: Quantitative Factor Analysis
Ultra-Aggressive 2-Week Strategy (Dec 9-19, 2025)
Date: December 7, 2025
Analyst: Senior Quantitative Investment Analyst
Strategy: 5x SPY performance target over 10 trading days
FINAL RECOMMENDATION
3-Position Portfolio (Scenario B)
| Ticker |
Shares |
Price |
Cost |
Allocation |
Risk-Adj Score |
| PLTR |
4 |
$181.76 |
$727.04 |
49.7% |
1.82 |
| IONQ |
5 |
$52.69 |
$263.45 |
18.0% |
1.83 |
| CRSP |
6 |
$56.88 |
$341.28 |
23.3% |
1.88 |
| Total |
- |
- |
$1,331.77 |
91.1% |
- |
| Fees |
- |
- |
$12.00 |
0.8% |
- |
| Cash |
- |
- |
$132.50 |
8.9% |
- |
Budget Used: $1,343.77 / $1,476.27 (91.0%)
PORTFOLIO METRICS
| Metric |
Value |
Interpretation |
| Expected Return (10-day) |
3.76% |
Below 5% target but reasonable |
| Expected Volatility |
12.60% |
FOMC-adjusted (1.75x multiplier) |
| Sharpe Ratio |
0.30 |
Superior to 2-position alternative (0.21) |
| Prob. Hit 5% Target |
46.1% |
~50/50 odds |
| Prob. Breach -10% Loss |
~17% |
Tail risk present |
| VaR (95% confidence) |
-16.96% |
EXCEEDS -10% CONSTRAINT |
KEY FACTOR SCORES (1-5 scale)
Top 3 Candidates (by Risk-Adjusted Score)
1. CRSP (CRISPR Therapeutics) - Score: 1.88
- Momentum: 4.0 (Week +9.03%, Month +3.19%)
- Volatility: 4.5 (Beta 1.73, Vol 3.45%)
- Quality: 2.5 (Setup 3/8, 0 red flags)
- Strength: Consistent momentum, biotech diversification
- Risk: 23.8% probability of -10% loss
2. IONQ (IonQ Inc) - Score: 1.83
- Momentum: 4.0 (Week +11.82%, Month -11.10%)
- Volatility: 4.5 (Beta 2.62, Vol 5.86%)
- Quality: 2.0 (Setup 3/8, 1 red flag)
- Strength: Highest weekly momentum, extreme volatility for upside
- Risk: 32.4% probability of -10% loss (HIGHEST)
3. PLTR (Palantir) - Score: 1.82
- Momentum: 4.0 (Week +8.52%, Month +2.15%)
- Volatility: 3.5 (Beta 1.50, Vol 1.61%)
- Quality: 3.0 (Setup 4/8, 0 red flags)
- Strength: Best quality score, clean fundamentals
- Risk: Only 6.6% probability of -10% loss (LOWEST)
CORRELATION ANALYSIS
| Pair |
Correlation |
Implication |
| PLTR-IONQ |
0.64 |
High (both tech) - creates concentration risk |
| PLTR-CRSP |
0.29 |
Low - diversification benefit |
| IONQ-CRSP |
0.26 |
Low - diversification benefit |
Portfolio Diversification: CRSP (biotech) provides critical diversification against tech concentration in PLTR + IONQ.
SCENARIO COMPARISON
| Metric |
Scenario A (2-pos) |
Scenario B (3-pos) |
Winner |
| Expected Return |
4.16% |
3.76% |
A |
| Volatility |
19.93% |
12.60% |
B |
| Sharpe Ratio |
0.21 |
0.30 |
B |
| Prob Hit 5% |
48.3% |
46.1% |
A |
| VaR (95%) |
-28.63% |
-16.96% |
B |
| Transaction Fees |
$8 |
$12 |
A |
Verdict: Scenario B offers superior risk-adjusted performance despite lower absolute return expectation.
CRITICAL RISKS
1. FOMC Meeting (December 17)
- Event: Federal Reserve policy announcement mid-trading period (Day 7 of 10)
- Historical Impact: 50-100% volatility spike
- Model Adjustment: All volatility estimates multiplied by 1.75x
- Mitigation: Active monitoring, ready to exit positions immediately
2. VaR Constraint Violation
- Issue: Both scenarios show VaR > -10% max loss limit
- Scenario A VaR: -28.63% (SEVERE violation)
- Scenario B VaR: -16.96% (Moderate violation)
- Implication: ~17% probability of exceeding -10% loss in Scenario B
- Mitigation: Hard stop-loss at -10%, daily monitoring
3. Ultra-Short Horizon (10 Days)
- Challenge: Insufficient time for mean reversion
- Risk: Single bad day can wreck entire strategy
- Cost Impact: 0.81% transaction fees consume 21% of expected return
- Mitigation: Accept high-risk profile or don't trade
4. Momentum Reversal
- IONQ Warning: +11.82% weekly BUT -11.10% monthly (divergence)
- Risk: Recent winners become sudden losers
- Mitigation: Diversification, position size limits (IONQ only 18%)
5. Model Limitations
- Normal distribution assumption (fat tails underestimated)
- Stable correlations (may spike during FOMC)
- No regime change modeling
- Estimates not certainties
EXECUTION PLAN
Pre-Trade (December 8)
- [ ] Verify all candidates still meet criteria
- [ ] Check for breaking news
- [ ] Set up -10% stop-loss alerts
- [ ] Prepare limit orders for Dec 9 open
Trade Entry (December 9, Market Open)
BUY PLTR 4 shares @ limit $182.00
BUY IONQ 5 shares @ limit $53.00
BUY CRSP 6 shares @ limit $57.00
Active Management (Dec 9-19)
Daily: Check portfolio P/L vs -10% stop-loss
FOMC Day (Dec 17, 2:00 PM ET): Be ready to exit immediately
Time Stop: Exit all positions by 3:50 PM ET on Dec 19
Exit Triggers
| Condition |
Action |
| Portfolio +5% |
EXIT ALL (target achieved) |
| Portfolio -10% |
EXIT ALL (stop-loss hit) |
| FOMC day -8% intraday |
EXIT ALL (volatility spike) |
| Dec 19, 3:50 PM |
EXIT ALL (time stop) |
PROBABILITY ASSESSMENT
Outcome Scenarios
| Scenario |
Probability |
Return |
Description |
| Base Case |
46% |
+4.5% |
Target achieved, FOMC neutral |
| Bull Case |
20% |
+8% |
FOMC dovish surprise |
| Bear Case |
17% |
-12% |
FOMC hawkish or momentum reversal |
| Neutral |
17% |
+1.5% |
Sideways market, miss target |
Expected Value:
E[Return] = 0.46(4.5%) + 0.20(8%) + 0.17(-12%) + 0.17(1.5%)
= 2.07% + 1.60% - 2.04% + 0.26%
= 1.89% (vs model's 3.76%)
Interpretation: True expected return likely lower than model estimate when accounting for full probability distribution including fat tails.
THEORETICAL FOUNDATION
Analysis grounded in Elements of Quantitative Investing:
- Chapter 4: Multi-factor linear models (momentum 40%, volatility 30%, quality 20%, value 10%)
- Chapter 5: Covariance matrix estimation, volatility scaling
- Chapter 9: Mean-variance optimization, Sharpe ratio maximization
- Chapter 10: Constraint handling (VaR, position limits, integer shares)
- Chapter 13: Kelly-style position sizing, drawdown control
BOTTOM LINE
✅ PROCEED with Scenario B IF:
- You accept ~54% probability of NOT hitting 5% target
- You accept ~17% probability of losing >10%
- You can actively monitor positions daily
- You have discipline for stop-losses
- You understand this is ULTRA-HIGH RISK
❌ DO NOT PROCEED IF:
- You cannot accept -10% loss
- You cannot monitor positions during FOMC (Dec 17)
- You lack discipline for stop-losses
- You expect "set and forget" strategy
- You need guaranteed outcome
FINAL VERDICT
RECOMMENDED: EXECUTE SCENARIO B
This represents the best quantitative risk-adjusted approach given the constraints, but investors must accept significant tail risk and active management requirements.
Alternative: If risk profile is unacceptable, reduce target to 3x SPY (2-3% return) or extend horizon to 20 days.
Confidence Level: Moderate (70%) - High uncertainty due to FOMC event and ultra-short horizon
Full Analysis: /home/pengacau/pasar-malam/output/quantitative_factor_analysis_report_dec7.md
Detailed Data: /home/pengacau/pasar-malam/output/quantitative_factor_analysis_final_dec7.json
Analysis Script: /home/pengacau/pasar-malam/scripts/quantitative_factor_analysis_v2.py