HeyJaredQuantStrategy
Rigorous content on portfolio construction, decision tools for allocators, and behavioral finance for investment committees.
- Indexed issues, last 90 days
- 6
- Latest publication
- Aug 27, 2026
- Audience
- Checking…
- Earliest in this view
- Jul 7, 2026
Latest issues
The Institutional View Factory (opens the original)
Read excerpt
AbstractAs part of the tactical asset allocation (TAA), investment committees often translate a positive view directly into an overweight. That shortcut can be transparent and defensible when the view is simple, isolated and calibrated to one stable reference portfolio. It becomes unreliable when views interact, change volatilities, correlations or tails, or must be implemented across different mandates. The Institutional View Factory treats implementation as a governed sequence rather than an i
From Returns to Scenario Building Blocks (opens the original)
Read excerpt
AbstractThe first article in this series established the primitive objective: a Scenario Atlas of multi-period asset paths rather than a covariance matrix. This second article addresses the next design problem. How can 782 synchronized weekly observations become thousands of plausible multi-year paths without destroying information that matters for portfolios?Three key points:The empirical results are more nuanced than a simple rejection of i.i.d. returns. Raw weekly returns show limited robust
The Committee Is Not an Investor (opens the original)
Read excerpt
Investment committees spend a great deal of time asking whether their view is right. They spend less time asking whether the process would produce the same view again. Sometimes the evidence barely changes but the decision does; at other times, the evidence changes materially while the position remains untouched. Both outcomes should make us pause.In the first case, the result may depend too much on who speaks first, how the question is framed, or which narrative dominates. In the second, the pr
Your Covariance Is Not a Risk Model (opens the original)
Read excerpt
A single covariance estimate compresses multiple macro states into one unconditional summary. An investment committee still has to decide which states deserve attention — and what happens if its diagnosis is wrong.<img alt="" class="sizin
The Data Layer Behind the Scenario Atlas (opens the original)
Read excerpt
Article role: This article documents the empirical foundation for the Scenario Atlas: 11 investable assets, one auxiliary EUR/USD risk driver, and 782 complete W-FRI return vectors from 7 January 2011 through 26 December 2025. The 11 asset returns are expressed from a EUR investor’s perspective; EUR/USD remains the twelfth modeled risk driver.Before we can talk about scenario atlases, Entropy Pooling, portfolio construction, risk constraints, or strategic allocation decisions, we need something
Publishing over time
Last 90 days. Choose a month to open its work.
Recurring subjects
Named in the text we hold. One piece can cover several.
Audience
No verified audience measurement yet.
About this data
Counts cover the work we have indexed. Tone needs enough text and a confident classification. Excerpts and episode notes are not full articles or transcripts.
Identity or attribution wrong? Suggest a correction.