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Month upon month, we see that articles and studies out about active management under performing their benchmarks, some say it 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. First […]
Three years ago I was approached to build a product that aimed to outperform the S&P500 on a risk adjusted basis with a slight twist in that we had to have a “better” portfolio on certain key ESG impact metrics. After careful deliberation we ended up settling upon a mix of both algorithmic stock selection […]
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 […]
Sustainable Equity is a product whose algorithms I helped developed and maintain that is generating significant risk adjusted returns (see attached for the trailing 12 month alpha) and is currently ahead of the S&P 500 with lower volatility and lower drawdowns. Many wonder how the product got there given it’s Sustainability Mandate and have a […]
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 […]
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 […]
Quick preview I will be expanding on this in the days to come.
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 […]
Turning data science into actionable insights, learn how your business can use big data to identify areas of opportunity that can make an impact on your balance sheet. Some examples of this that we have done for previous clients: Construct models to improve lead targeting in order to maximize marketing spend ROI Identify and develop key […]