Notes from the lab.
Methodology, paper reviews, regime commentary, and multi-strategy framing — written for practitioners and discussed at the level of the underlying signal.
- Factor investing · Risk premia · Portfolio construction · Systematic strategies
Traditional and Alternative Risk Premia: What You're Really Paid For
Most investment returns are payment for bearing risk others avoid — or for exploiting mistakes they repeat. This guide maps traditional and alternative risk premia, the crucial line between true premia and market anomalies, and what it means for building a genuinely diversified portfolio.
8 min read - Factor investing · Momentum · Systematic strategies · Risk
Momentum Investing: Why Past Winners Keep Winning
Momentum — the tendency for past winners to keep winning — is finance's most pervasive anomaly. Three decades of evidence show why it persists across every asset class, the crash risk it carries, and why risk management is what makes it investable.
7 min read - Portfolio construction · Risk · Volatility · Systematic strategies
Volatility Scaling: Keeping Portfolio Risk on Target
Volatility scaling keeps a multi-asset portfolio inside a fixed risk band by levering up in calm markets and cutting exposure in stress. A decade of evidence shows where it adds value — and the V-shaped-recovery cost every investor should understand.
6 min read