Latest Insights & Research

Deep-dive articles and updates on systematic investing and TheSimplePortfolio strategy.

The Barbell Strategy That Lost to Simple Math (30 Years of Data Don't Lie)

Picture this: You spend hours crafting the “perfect” barbell portfolio. 20% gold for crisis protection, 30% stocks for growth, 50% long bonds for that duration magic. You’ve read Taleb. You understand convexity. You’re ready to crush the naive masses with their simple equal-weight nonsense.

My $47,000 Mistake Trading the Fed (And Why I'd Make It Again)

March 2022. Fed day. I’m sitting at three monitors with $470k positioned for a rate hike that “everyone knew was coming.”

The Strategy That Lost Money for 2 Years (Then Made 19% Annually)

Most trading success stories skip the embarrassing part. Here’s what actually happened.

The 7 Backtesting Sins That Kill Trading Strategies Before They Start

Bottom Line Up Front: Even the most sophisticated trading algorithms fail in production because of fundamental backtesting errors. After analyzing thousands of strategy failures, we’ve identified seven critical mistakes that account for over 90% of the gap between backtest and live performance. Master these, and you’ll avoid the graveyard of “perfect” strategies that blew up on day one.

Dollar Cost Averaging is Mathematically Inferior (But You Should Still Do It)

Why the “worse” investment strategy often produces better real-world results

The 5-Minute Portfolio Hack That Beats 90% of Active Funds

Why complexity is the enemy of good returns

Stop overthinking your portfolio. While Wall Street sells you complex strategies with 15+ holdings, fancy factor tilts, and quarterly adjustments, there’s a stupidly simple approach that beats 90% of active funds: two ETFs and quarterly rebalancing.

The Sector Rotation Strategy That Beat the S&P 500 by 2% Annually for 26 Years

Most investors have heard the classic advice: “Time in the market beats timing the market.” While this wisdom holds true for individual stock picking, what if we could time entire sectors of the economy based on predictable business cycles?

Why Nobody Should Use Sample Covariance Matrices

Since Harry Markowitz introduced mean-variance optimization in 1952, portfolio managers have faced a persistent and frustrating problem. The mathematical elegance of Modern Portfolio Theory promises optimal asset allocation, but in practice, portfolios constructed using traditional methods often perform worse than simple equal-weight strategies. The culprit? A seemingly innocuous component that lies at the heart of every optimization: the sample covariance matrix.

Carry Strategies Across Asset Classes: Mathematical Foundations

Imagine borrowing money at 1% and lending it at 5%. The 4% difference seems like an obvious profit, yet financial theory suggests this opportunity shouldn’t exist. Markets should quickly eliminate such discrepancies through arbitrage. But across currencies, bonds, and stocks, these “carry” opportunities persist with remarkable consistency.

The Minimum Correlation Algorithm: Rethinking Portfolio Diversification Through Mathematical Elegance

“Don’t put all your eggs in one basket” – this timeless wisdom has evolved into one of finance’s most fundamental principles. Yet despite diversification’s universal acceptance, its mathematical underpinnings remain poorly understood by most practitioners. The conventional approach treats diversification as simply holding many assets, but this perspective misses the profound mathematical reality that drives risk reduction in portfolios.

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