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Quant Mashup - KKB Research
Why your fund isn’t doing well: skill, active weight and fees [KKB Research]
Month upon month, we see that articles and studies out about active management under performing their benchmarks, some say it use due to fees and others due to managers having no skill. Personally I think it’s a bit of both, I will demonstrate mathematically how fund constraints combined with fees
- 5 years ago, 11 May 2017, 10:34am -
Portfolio Construction and Optimization [KKB Research]
This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial performance numbers for the Stance Equity
- 6 years ago, 27 Oct 2016, 10:33am -
Case Study: Leveraging Risk Efficient Portfolios for enhanced returns [KKB Research]
Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and
- 6 years ago, 19 Sep 2016, 09:33am -
Deep Dive into Overnight vs Intra Day Returns of S&P500 Sector ETFs [KKB Research]
This is from a talk I gave at r/finance 2016. To start, I define the Overnight Effect as buying at the close and selling at the open, and the intraday as buying at the open and selling at the close. I applied the above strategy using the 9 sector SPDRs and assuming 2bps roundtrip transaction cost.
- 6 years ago, 29 May 2016, 07:26am -

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