Research

Fiat lux

• Paper review; how do factor premia vary over time?

  Posted on:August 8, 2023 |  at 05:00 PM

  We review a paper from AQR where simple, well-known factor-alphas demonstrate persistance in-sample and out-of-sample over the course of the past century.

• Volatility targeting

  Posted on:July 31, 2023 |  at 12:00 AM

  Investors that take too much risk eventually encounter a catastrophic loss that takes them out of the game, meanwhile, investors that do not take enough risk leave money on the table. We seek to achieve a balance using quantitiative approaches.

• A strategy's growth rate is proportional to the square of it's Information Ratio

  Posted on:July 30, 2023 |  at 12:00 PM

  For strategies that can be easily and cheaply levered, high risk-adjusted returns imply the possibility of very-high absolute returns.