Theoretical Research
Conceptual work that underpins YSJ Lab's systematic strategies – focusing on market microstructure, liquidity regimes, risk premia, and cross-asset interactions.
Hierarchical Risk Parity
March 2016
Hierarchical clustering approach to risk parity that improves diversification and reduces estimation error in covariance matrices.
Time-Series Momentum
November 2012
Evidence that trend-following strategies earn significant risk-adjusted returns across 58 liquid futures and forward markets.
Leverage and Tail Risk in Bitcoin and the S&P 500
August 2020
Comparative analysis of tail risk and leverage effects in Bitcoin versus traditional equity markets.
Macro Investing: From Black Box to Crystal Box
October 2018
Framework for making macro investing more transparent and systematic, moving from opaque discretionary processes to structured rules.
Regime-based Portfolio Construction
June 2019
Adaptive portfolio construction that adjusts allocations based on detected market regimes.