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 | 14 | Founded | a year ago | Last Issue | 5 days ago |
| Active | |||||
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quantstrategy.substack.comLatest Issues
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 draft documents the empirical foundation for the upcoming Scenario Atlas articles: 11 investable assets, one EUR/USD risk driver, monthly EUR log returns, and a complete analysis sample from 2011-01-31 to 2025-12-31.
Bef...
I. Scenario Modeling: Why We Build Scenario Atlases, Not Covariance Matrices
Three key points:
• The optimizer is not the beginning of the portfolio process.
Before we place views or compute weights, we need a model of what can happen.• A covariance matrix is a useful diagnostic, but a poor...
The Portfolio You Own Is Not the Portfolio You Think You Own
How many independent risks sit underneath your portfolio’s asset-class lines?
Most allocation reports cannot answer that question. They show where capital is invested: equities, government bonds, credit, gold, commodities and cash. T...
Welcome to QuantStrategy — Start Here
Most resources on portfolio optimization focus on one thing: the optimizer.
We think that’s too narrow.
Portfolio construction is a decision architecture — from raw assumptions and market views all the way to an implementable, explainable...
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| Subscribers | Engagement | 68 | Monthly Web Visits | ||
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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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