Research
Notes on strategy mechanism, conditional exposure and validation. Each states its conclusion first and links to the parts of the methodology it relies on.
- September 23, 2026Research methodologyA return series is not a strategyPerformance statistics summarize one realized path. They cannot identify the mechanism, the state dependence or the exposures that produced it, so strategies with very different economics can present nearly identical records.
- September 23, 2026Conditional exposureWhat does beta mean when the policy changes with the state?When exposure depends on the market state, full-sample beta is a variance-weighted average of the state betas. It describes no single state, it is dominated by the rare volatile ones, and it can make opposite strategies look the same.
- September 23, 2026Volatility and derivatives structureWhy selling volatility is not itself an edgeSelling volatility earns a well-documented premium for bearing crash risk. The premium is compensation, not skill: a manager’s contribution can only be measured as what the policy adds beyond holding the same exposure unconditionally.
- March 26, 2026Strategy mechanismYou skipped a stepOptimizing a strategy's scorecard never tests the bet underneath it. Define the mechanism and test it on its own first, or when the strategy fails you will not know why.