Banks under the Basel regime — one regulated factor.
Basel is a member of the Blaque Baux family. The core repo is the engine and blueprint — a governed, systematic platform (Julia) with a venue-agnostic execution controller and a Layer-3 live-money safety gate. Basel points that engine in its own direction and inherits the governance wholesale.
Not investment advice. Educational/research software. Nothing here is validated. See LICENSE.
git clone --recursive https://github.com/blaquebaux/basel.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()' # one-time engine setupThe base correlation study found US banks are ~0.8-0.95 one factor across every tier, because prudential (Basel) regulation homogenizes them: correlation is proportional to shared forced exposure. Basel makes that its subject — trade the regulated-bank factor, knowing that 'diversifying' across banks is an illusion. It is the deliberate opposite of Bio.
- The bank factor — confirm the one-factor structure across GSIBs; size to the real bet count, not the name count.
- Rate/curve sensitivity — banks' dominant macro driver; measure and optionally hedge it.
- Cross-tier / global — the mildly-distinct pockets (global ADRs, community banks) the base identified.
Full detail in research/README.md. The scorecard:
| # | Question | Verdict |
|---|---|---|
| 1 | Are banks really one factor? | ✅ confirmed — 17 banks = 1.5 eff-bets, corr 0.80, 81% one factor |
| 2 | What is the bank factor? | ✅ economy + short duration (beta-SPY +1.1, beta-TLT −0.5, +curve) |
| 3a | Stock-picking within banks? | ❌ null — nothing to pick |
| 3b | Timing the factor? | ❌ null — trend loses, rate-overlay < buy&hold |
The synthesis (and the completed Bio↔Basel pair): prudential regulation homogenizes banks into one factor — the exact mirror of biotech's FDA-driven idiosyncrasy — and that factor is the economy plus the yield curve (banks = long economy, short duration). Neither stock-picking nor naive timing yields systematic alpha. Together, Bio and Basel bound when cross-sectional alpha is possible: it needs dispersion that is both high and price-predictable — biotech has the first without the second, banks have neither. Basel's value is as a coherent macro sleeve (an equity curve/rates expression), not a price-alpha source.
Research: first pass complete (research/). No price-alpha keeper (correctly); a coherent
macro/known-beta sleeve. No live driver; nothing validated to the spine's bar.
Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.
Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.
This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.
engine/ the Blaque Baux platform (git submodule -> blaquebaux/base)
research/ three Path-A sketches (one-factor structure, rate/curve identity, tradeability null) + scorecard
live/ governed live drivers (once a sleeve graduates to paper A/B)
MIT. (c) 2026 Carter Warrens.