Research, commentary, and opinion.

Arkyne publishes research, market commentary, and opinion on the mechanics of systematic investing. Not to market ourselves. To demonstrate how we think. The work here reflects the same standard we apply to portfolio decisions — evidence over narrative, rigour over conviction.

Whitepaper

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8–10 minute read

Estimation Error in Portfolio Optimisation

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.

Whitepaper

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18-20 minute read

Factor Timing: Intuitive but Unsupported

Rolling factor premia look highly variable over time, but formal structural break tests and out-of-sample forecasting tests tell a different story. The data show more support for static weighting.

Arkyne Capital

A systematic investment project applying fundamental insight with consistency and discipline.

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Insights

Arkyne is an exploratory research project only and does not provide any financial products, services or advice.