backtesting
The Alpha Break-Even Cost: Where Trading Edges Go to Die
A momentum strategy returned 9.17% at zero costs. At 35 bps per trade, its edge vanished. At 50 bps, 49% of the promised wealth was destroyed.
Riskharvest
portfolio beta
Portfolio Beta Isn't a Constant: A 20-Year Test of the 60/40 Risk Narrative
A 60/40 portfolio's beta to the S&P 500 ranged from 0.30 to 0.79 over 20 years. The stock-bond correlation regime, not the allocation, drives the swing.
regime switching
Causal Structure, Not Just Parameters: Why Regime Switching Matters for Options
Market regimes are different causal structures, not parameters. Evidence is mixed on accuracy but agrees: markets change structure.
equity risk premium
The Equity Risk Premium Is Not a Number — It Is a Distribution
The realized ERP averaged 12.15% over rolling 10-year windows from 2007-2026 — nearly triple the 4.33% implied estimate. But 17% of years went negative.
sharpe ratio
Beyond Sharpe: 6 Metrics That Reveal a Strategy’s True Risk
Three strategies, same Sharpe ratio, wildly different risk. Six metrics that reveal what Sharpe misses.
methodology
Chasing the Ghost: Why AI on Price Indicators Finds Overfitting, Not Edge
Most trading indicators are the same signal in different formulas. Stacking them with AI adds overfitting, not edge. What grounds a system is a mechanism you can explain.
position sizing
How Much Should You Bet? A Backtest of Position Sizing Methods
Four position sizing methods backtested on 15 years of SPY data. Buy-and-hold, trend filter, volatility-targeting, and the combination — with real numbers.
strategy
The Broken Slot Machine: Why Alpha Erodes, and What Stays
Alpha is real, but it erodes. Every edge ever found has been slowly arbitraged away by the market — a self-equilibrating machine that fixes its own glitches. Yet some things persist.
When Data Stops Being the Edge: Feature Engineering, LLMs, and What Ordinary Investors Can Learn from Two Sigma
Ben Wellington of Two Sigma explains why the quant edge moved from data to feature engineering. LLMs change the game — but discipline, not data, is the new moat.
backtest
Three-Fund vs Golden Butterfly vs HFEA: What 15 Years of Backtesting Actually Shows
Three popular portfolios, 15 years of real backtest data, one uncomfortable truth: they all harvest the same equity risk premium. Leverage scales it. Complexity doesn't change it. True diversification requires fundamentally different risk premia.
volatility
Why volatility is the only variable you can control
The one portfolio variable you can actually control. A real SPY backtest shows why scaling your position to a volatility target beats letting the market decide your risk for you.
Just keep buying
The simplest idea in investing — and the one that quietly builds the most wealth. What Nick Maggiulli's book gets right, in numbers.