Why your fund isn’t doing well: understanding the relationship between skill, active weight and fees

Month upon month, we see that articles and studies out about active management under performing their benchmarks, some say it use due to fees and others due to managers having no skill. Personally I think it’s a bit of both, I will demonstrate mathematically how fund constraints combined with fees can make outperformance very difficult. […]

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Portfolio Construction and Optimization

This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial (after fee) performance numbers for the Stance Equity product at […]

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Case Study: Leveraging Risk Efficient Portfolios for enhanced returns

Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and the like. The goal of the experiment here is to see […]

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A deep dive into the Overnight Returns vs Intra Day Returns of the S&P500 Sector ETFs

This is from a talk I gave at r/finance 2016. To start, I define the Overnight Effect as buying at the close and selling at the open, and the intraday as buying at the open and selling at the close. I applied the above strategy using the 9 sector SPDRs and assuming 2bps roundtrip transaction […]

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Post Preview: The Overnight Returns of the S&P500 vs Day Returns

Quick preview I will be expanding on this in the days to come.

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The Current and Changing relationship between Oil and the U.S. Dollar

In this quick data-tidbit we aim to explore the hypothesis that current Oil Price decreases are driven by US dollar strength. First let’s define some data, when I say Oil I am referring to the WTI Crude Futures, Continuous Contract #1 and for the U.S.D. I am using the Trade Weighted U.S. Dollar index (https://research.stlouisfed.org/fred2/series/DTWEXM). Let’s […]

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