Author Archives: Soto
How did Brexit show up on the Richter Scales?
How Brexit affected the fragility and turbulence of global equities
No Alpha in over 2,000 U.S. Equity Mutual Funds
Failure of U.S. equity mutual funds to deliver positive risk adjusted returns
Cluster Around Latents Like All the Cool Kids are Doing
Simplify asset classes and gain valuable diversification insights
If you’re going to simulate equity with GBM, jump around (or use stochastic vol) part 2
Adding stochastic volatility to equity simulation
If you’re going to simulate equity with GBM, jump around (or use stochastic vol)
Modifying GBM with jumps or stochastic vol to better capture equity downside risk
A thought experiment on diversification and Modern Portfolio Theory metrics
What happens to MPT metrics when we can invest in orthogonal assets?
Paperback Investing 