Quant Mashup - Beyond Passive Revisiting Beyond 60/40: Five Decades of Risk-Weighted Allocation [Beyond Passive]In Beyond 60/40 I argued that the classic balanced portfolio rests on an assumption — that stocks and bonds will hedge each other — and that the assumption fails when the macroeconomic regime changes. The argument was built on the post-2005 ETF era, the only window where clean real-price data(...) Sixty-four years of TLT: reconstructing the bond ETF everyone owns [Beyond Passive]A long-bond ETF sits in almost every balanced portfolio. Ours included — TLT is one of the three core holdings in the risk-parity base of our portfolio architecture. And yet when TLT lost 48% between 2020 and 2024, most holders experienced it as a shock. It should not have been. The mechanics were(...) When Correlations Fail: A Bayesian Approach to Sizing Sparse Overlays [Beyond Passive]A portfolio of seasonal strategies presents a problem that modern portfolio theory was not designed for. Most of these strategies are active fewer than sixty days per year. Many pairs share zero overlapping observations. The covariance matrix — the standard tool for combining return streams —(...) Two Calendar Effects at the Month Boundary [Beyond Passive]This article examines two distinct effects that share the same calendar window and the same tickers. The first is a pure bond seasonality: TLT tends to weaken in the first week of each month and rally in the last few days, regardless of what equities do. The second is a conditioned reversal trade:(...) Fridays for Gold, Tuesdays for Stocks: Two Sides of the Same Fear Cycle [Beyond Passive]The previous article showed that gold drifts higher on Fridays — specifically when the VIX term structure compresses into the extended fear zone, driven by institutional risk managers adding weekend protection on Thursday afternoons. The same day-of-week chart that opened that article contains a(...) The Friday Gold Trade: A Conditional Edge [Beyond Passive]Gold drifts higher on Fridays. The effect is statistically significant, it has persisted for decades, and most traders who know about it trade it unconditionally. The useful question is not whether this is true but under which market conditions it is true — and the answer changes everything about(...) The Calendar Ensemble: Building an Event-Driven Alpha Overlay [Beyond Passive]In the previous article, we established that the Sharpe ratio is the single most important number in portfolio construction. Variance drag scales with the square of volatility, which means a high-Sharpe portfolio can tolerate leverage, survive decumulation, and compound wealth far more efficiently(...)