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 naive 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.
Rolling factor premia look highly variable over time, but formal structural break tests and out-of-sample forecasting tests tell a less convincing story. A simplification of modern practice, yet a reminder not to underestimate simplicity in portfolio construction.
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