Portfolio risk14 pages
US Stock-Bond Correlation and Capital Preservation
Annual US returns and a separate monthly yield proxy
Research & Insights
Independent research on systematic trading. Methods, sources and limitations included.
Latest publication 7 October 2026
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Market mechanics13 pages
Oil Benchmarks and European Power Markets
Brent and WTI regional spot prices, oil benchmark and contract terms, and European power-market time units and annual turnover.
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Portfolio risk14 pages
Corporate Credit Risk Aggregation
Investment-grade and high-yield return covariance, private-credit annual returns and borrower metrics, with their measurement limits.
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Portfolio risk13 pages
Similar Sharpe Ratios Hide Severe Loss Tails and Distort Position Sizing
Why similar Sharpe ratios and equal volatility can conceal very different loss tails and drawdowns.
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Portfolio risk14 pages
Historical Covariance Forecasts Underestimate Stress Risk by a Factor of 1.6
A walk-forward study of portfolio risk forecasts, their errors in market stress and the sources of the gap.
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Validation12 pages
Since 2010 Stock Signals Lose Most of Their Return Before Publication
Evidence on signal decay before and after publication, compared by discovery cohort, data type and strategy capacity.
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Validation13 pages
Backtests Are the Most Optimistic Estimates a Strategy Will Get
Published stock-return predictors compared across reconstructed backtest, forward and post-publication windows. These are not verified live trading results.
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Costs and fees13 pages
Compounding Fee Drag
How annual management fees reduce the growth that remains with the investor over a long holding period.
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Portfolio risk17 pages
Hedge Fund Strategy Returns Under Positive Interest Rates
Historical strategy-index returns across interest-rate regimes, separating market conditions from strategy behaviour.
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AI in trading18 pages
Artificial Intelligence in Quant Trading
A plain-language guide to the kinds of AI used in quantitative trading and how they fit into an investment system.
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AI in trading16 pages
Quant Trading, AI & the New Sources of Alpha
How AI changes operating models and competition, and what separates defensible alpha from a marketing narrative.
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