Every report we publish, in one place. We aim to release one new piece of quantitative research each month — new publications are added to the top of this archive as they go live.
Published
An analysis of how correlation, covariance and asset allocation influence portfolio volatility, comparing concentrated equity exposure with broader cross-asset diversification.
Coming Soon
Future reports currently in research. Titles and scope may change before publication.
A closer look at how correlation structures shift between calm and turbulent markets, and what that means for diversification when it matters most.
Comparing two simple portfolio construction rules to test whether minimising variance actually delivers a better risk-adjusted outcome than naive equal weighting.
Testing whether an asset's sensitivity to the broad market is stable over time, or whether beta itself shifts across bull, bear and sideways regimes.
An empirical test of momentum-based strategies, evaluated on a risk-adjusted rather than a raw-return basis.
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