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 | 19 | Founded | 2 years ago | Last Issue | 3 days ago |
| Active | |||||
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quantstrategy.substack.comLatest Issues
When Investment Committees Make Economic Sense
Abstract
Investment committees can bring expertise, check risks, and explain decisions clearly. But a shared market view is only one possible task. This article combines research on investment teams with Bernhard Scherer’s model to examine...
How Much History Should a Scenario Remember?
Abstract
A scenario model can contain the right historical market weeks and still miss how stress builds over time. We use historical blocks to retain short sequences of joint asset movements, then combine them into new five-year paths. Fo...
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...
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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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