Risk-Adjusted Forecast Performance
Closing the gap between statistical forecast accuracy and the Sharpe ratio investors actually care about.
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2 min read
Factor Investing & Factor Timing
Methods for selecting, timing, and combining factors when the zoo is crowded, the cross-section is noisy, and estimation error dominates.
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2 min read
Risk-Adjusting Forecasts for Increased Portfolio Performance
This paper decomposes the Sharpe-ratio gap — the performance cost of estimation error in mean-variance investing — into a mean-forecast error (RAFE) and a precision-alignment error …
lukas-salcher
Lost in Translation? Risk-Adjusting RMSE for Economic Forecast Performance
This paper proposes a multivariate risk-adjusted error measure for economic forecast performance and analyzes the limitations of traditional MSE-based measures in capturing the …
lukas-salcher
Diversifying Estimation Errors with Unsupervised Machine Learning
Unsupervised ML clustering of assets into equally weighted sub-portfolios dominates both plug-in minimum variance and equally weighted benchmarks, with optimal cluster count around …
merlin-bartel