A personal blog about code, learning, and the things in between.https://sparse.ch/https://sparse.ch/blog/longonly-factors/https://sparse.ch/blog/longonly-factors/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.Sat, 10 Feb 2024 00:00:00 GMThttps://sparse.ch/blog/factor-regressions/https://sparse.ch/blog/factor-regressions/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.Sun, 17 Dec 2023 00:00:00 GMThttps://sparse.ch/blog/traditional-factors/https://sparse.ch/blog/traditional-factors/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.Sun, 27 Aug 2023 00:00:00 GMThttps://sparse.ch/blog/factor-investing/https://sparse.ch/blog/factor-investing/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.Fri, 24 Feb 2023 00:00:00 GMThttps://sparse.ch/blog/loss-aversion/https://sparse.ch/blog/loss-aversion/The combination of loss aversion, negatively skewed equity returns, and high observation frequency turns a positive-expectation investment into a psychologically negative experience.Sat, 17 Sep 2022 00:00:00 GMThttps://sparse.ch/blog/backtest-fud/https://sparse.ch/blog/backtest-fud/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.Sat, 14 May 2022 00:00:00 GMThttps://sparse.ch/blog/markov-chains/https://sparse.ch/blog/markov-chains/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.Sat, 07 May 2022 00:00:00 GMT