An asset can be useful to monitor without being the asset a strategy wants to hold. Defensive Asset Allocation separates those roles: momentum chooses the investment candidates, while a designated ...

A strong leading asset can coexist with growing weakness elsewhere in a portfolio’s opportunity set. Vigilant Asset Allocation makes that breadth part of the decision. Relative strength selects a h...

Sector momentum asks whether leadership persists long enough to justify moving capital between industries. The first design choice is what leadership means. A sector can beat the market while losin...

An allocation can maximize estimated long-run growth and still be too large for the opportunity that actually exists. Kelly’s criterion makes this tension unusually clear: the fraction of wealth ex...

Hierarchical risk parity organizes an allocation around estimated relationships between assets. It groups similar exposures, orders them through a tree, and divides capital recursively. That struct...

A portfolio optimizer translates beliefs into positions. It can make that translation precisely while the beliefs themselves remain uncertain. Mean–variance allocation is useful because it exposes ...

An equally weighted portfolio can still be dominated by one source of risk. If equities fluctuate much more than short bonds, assigning each one third of the capital does little to equalize their i...

Who am I ? I am qunatitative researcher at asset management fintech company. I aim to solve various problems in liquid modern financial market with a data-driven approach. During my professional ex...