HeyJaredSystematically Biased
Finance academic and lifelong quant sharing practical research insights on systematic trading, empirical asset pricing, and forecasting.
- Indexed issues, last 90 days
- 6
- Latest publication
- Sep 27, 2026
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- Jul 14, 2026
Latest issues
A Closer Look at the BAB Factor (opens the original)
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In my last Pockets of Replicability issue, I looked at the Betting Against Beta (BAB) factor and the replication/critique by Novy-Marx and Velikov (NMV). One of NMV’s main criticisms is that the original BAB factor construction results in a portfolio that hugely overweights micro and nano-cap companies. This happens because of two modelling choices made by <a href="https://www.sciencedirect.com/sci
Pockets of Replicability (Post #7) (opens the original)
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The CAPM is the workhorse of asset pricing. It states that the expected risk premium on an asset is the product of the market risk premium and the asset’s beta, which measures how the asset covaries with the market.<img alt="" class="sizing-normal" height="819"
Paper Explainer: Deep Learning Statistical Arbitrage (2025, MS) (opens the original)
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This is my second experiment creating videos to explain finance papers. Today’s paper is Deep Learning Statistical Arbitrage, by Jorge Guijarro-Ordonez, Markus Pelger, and Greg Zanotti. The paper is published in Management Science; a version of it can be downloaded from arvix.This is a cool paper with lots of details, and I’d love to replicate it at some point.Thi
When Portfolio Constraints Make Model Choice Matter Less (opens the original)
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In portfolio optimization, covariance matrices matter a lot. If you are building any kind of mean-variance portfolio, the covariance matrix tells the optimizer which assets are risky, and how much risk can be diversified. If you change the covariance forecast, the optimal portfolio can change, often dramatically. In practice, most institutional portfolios are not built in the unconstrained textbook world. Portfolio managers face a host of different constraints, from no-short-sales restrictions t
Paper Explainer: Empirical Asset Pricing via Machine Learning (2020, RFS) (opens the original)
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I posted this originally as an article, but then I realized that the video can’t easily be restacked, so I’m publishing it a second time as a video to see what happens…After a short break to escape the scorching European summer, I’m back to, well, another heatwave in Europe.I’ve been experimenting with a new format, learning how to make videos with Remotion.1 This piece is a short video explainer of the influential paper
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