Insights
Systematically Speaking
When Tax Alpha Is Negative
It may come as a surprise to discover that tax-loss harvesting can result in negative alpha: Here’s what’s going on.Systematically Speaking
Vixology
How VIX history rhymes—and why we believe option writing strategies are still attractive despite the huge equity market rally.Systematically Speaking
Past Performance is Not a Guarantee of Future Results
When the world is changing so rapidly and profoundly, how can we trust the underlying data used in our investment models?Systematically Speaking
Risk Parity and the Fallacy of the Single Cause
Were risk parity strategies really the cause of the recent correlated stock and bond market sell-off, or one of its victims?Systematically Speaking
Disappearing Alpha & Hidden Beta—A Sleight of Hand
Comparing Option Strategy Indices and Hedge Fund Indices before and after the 2008 ꟷ 09 financial crisis reveals that what many investors thought was “alpha” was just an illusion.Systematically Speaking
Fixed Expense Investing
Low and even negative yields have turned some fixed income investing into “fixed expense” investing—but there are still good reasons to hold negative-yielding bonds.Systematically Speaking
Two Cultures, One Aim
How genuine collaboration between quantitative and fundamental analysts can enhance stock selection and portfolio construction.Systematically Speaking
The Alpha Left on the Table?
The 60/40 portfolio looks “efficient”—until we drop the no-leverage constraint.Systematically Speaking
PutWrite Goes Global
The launch of CBOE’s ex-U.S. PutWrite indices could help build momentum for these strategies.Systematically Speaking
The China Factor
China’s A-share market reminds us of developed markets 20 years ago, in the heyday of quant investing.Systematically Speaking
Harvesting Insights from Insider Activity
The intuitive link between legal insider trades and stock returns proves elusive as a quant strategy.Systematically Speaking
The S&P 500 Sweepstakes
Buying call options has made unusual profits recently—has the “fear index” become a “greed index”?Systematically Speaking
Volatility Seems Here to Stay
Our volatility models indicate that a return to the low-vol of 2017 is highly unlikely.Systematically Speaking
