Why Bitcoin is the Ultimate Safe Haven Asset
In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then…
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What Happened Last Time Global Yields Surged?
Volatility has returned to financial markets over the past week as comments from policy makers has renewed uncertainty over the future path of…
How to Scrape Data for Over 1,900 ETFs
At the investment management firm I worked at, we had teams of people that devoted lots of time just trying to accurately calculate the total return of…
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This blog focuses on investing using an algorithmic, quantitative, and systematic approach.
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Trading StrategiesAll posts
How to Measure the Performance of a Trading Strategy
This post contains some of the research I have done regarding how to measure the performance of a trading strategy. The immediate goal…
Risk ParityAll posts
Reverse Engineering AQR’s Risk Parity Strategy
I’m going to start this post by saying that it makes no sense for anyone to pay management fees to get a return stream that…
How to Implement a Simple Risk Parity Strategy
When I worked at Bridgewater Associates, I regularly came across marketing materials about the theory behind risk parity and evidence that risk parity portfolios…