QuantStrategy
Thomas Osowski, Felix HaaseRigorous content on portfolio construction, decision tools for allocators, and behavioral finance for investment committees.
| Platform |  | Pricing | Only free issues | Publishes | Weekly |
|---|---|---|---|---|---|
| Issues | 17 | Founded | a year ago | Last Issue | 12 days ago |
| Active | |||||
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The Institutional View Factory
Abstract
As part of the tactical asset allocation (TAA), investment committees often translate a positive view directly into an overweight. That shortcut can be transparent and defensible when the view is simple, isolated and calibrated to...
From Returns to Scenario Building Blocks
Abstract
The first article in this series established the primitive objective: a Scenario Atlas of multi-period asset paths rather than a covariance matrix.
This second article addresses the next design problem. How can 782 synchro...
The Committee Is Not an Investor
Investment committees spend a great deal of time asking whether their view is right. They spend less time asking whether the process would produce the same view again. Sometimes the evidence barely changes but the decision does; at other ti...
Your Covariance Is Not a Risk Model
A single covariance estimate compresses multiple macro states into one unconditional summary. An investment committee still has to decide which states deserve attention — and what happens if its diagnosis is wrong.
Which macro shock...
The Data Layer Behind the Scenario Atlas
Article role: This article documents the empirical foundation for the Scenario Atlas: 11 investable assets, one auxiliary EUR/USD risk driver, and 782 complete W-FRI return vectors from 7 January 2011 through 26 December 2025. The 11 asset...
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Authors
The writers behind this newsletter.
Personal Writing on Quantitative Investing, Portfolio Construction and markets methods. Views are my own. Reach me: [email protected].
Economist with a passion for financial markets and their statistical modeling
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