Research, commentary, and opinion.
Arkyne publishes research, market commentary, and opinion on the mechanics of systematic investing to demonstrate how we think. The work here reflects the same standards we apply to portfolio decisions; evidence over narrative, and rigour over conviction.
A simulation study across five portfolio strategies finds that the naïve equal-weight portfolio captures 99% of the theoretical Sharpe ratio optimum, while the unconstrained mean-variance approach captures less than 30%, even with fifty years of data.
Practitioners who adjust factor allocations in response to recent premia may be responding to noise. A study of six Fama-French factors across 750 months finds that the historical average consistently outperforms more flexible alternatives.