Writing
Essays on systematic portfolio construction, factor investing, and quantitative methods.
- Feb 10, 2024 Long-Only Factor Portfolios: Beyond Fama-French
Backtesting 13 non-traditional return drivers as long-only top-10 portfolios in the S&P 500. Low Vol and Asset Turnover stand out on a risk-adjusted basis.
- Dec 17, 2023 Measuring Factor Exposure
How to use factor regressions to measure a stock's or portfolio's exposure to systematic risk premia — and why a hedge fund manager and an ETF provider care about the same regression for opposite reasons.
- Aug 27, 2023 Exploring Traditional Factor Portfolios
Walking through Size, Value, Momentum, Profitability, and Investment factor returns using data from Ken French's library — with code, charts, and observations on crisis-period behaviour.
- Feb 24, 2023 Factor Investing: From CAPM to the Factor Zoo
The Fama-French factor models did something unusual for academic finance: they became genuinely useful to practitioners. A walkthrough of the models, the data, and the practical question of how to use factor exposures.
- Sep 17, 2022 Loss Aversion and the Cost of Checking Your Portfolio
The combination of loss aversion, negatively skewed equity returns, and high observation frequency turns a positive-expectation investment into a psychologically negative experience.
- May 14, 2022 Backtests Don't Account for Fear, Uncertainty and Doubt
A backtest lets you observe a strategy's volatility with full knowledge of the outcome. Live trading doesn't. That gap matters more than most people expect.
- May 7, 2022 Markov Chains: A Practitioner's Refresher
Transition matrices, n-step probabilities, and stationary distributions — the mathematical scaffolding behind regime-switching models, credit migration matrices, and any system where the next state depends only on the current one.