Essays and working notes on systematic investing, market structure, risk and the craft of building models that survive contact with reality.
Markets change character gradually, then all at once. A model can remain statistically intact while its economic premise quietly expires. The distinction is where most of the work begins.
A practical framework for separating a durable factor from the market environment that made it look durable.
Three observations from a market where index-level volatility conceals a widening distribution underneath.
Why realistic implementation details tend to matter most precisely when a strategy appears simplest.