Variability Drain: The Silent Killer of Long-Term Compounding
- Fabio Capela
- Systematic investing , Portfolio mathematics , Compounding , Risk management , Quantitative finance , Volatility management , Long term investing , Portfolio optimization
You spend years refining your strategy. You optimize your entries and exits. You backtest it across decades. On paper, it shows strong returns. Maybe even impressive alpha. But something keeps bothering you. Despite solid average returns, your portfolio isn’t growing the way you expect. You’re not losing in any dramatic way — no catastrophic drawdowns, no obvious mistakes. But something subtle is bleeding your wealth. Quietly. Relentlessly.
Read MoreHow Fractional Differencing Revolutionized My Feature Engineering for Investment Strategies
- Fabio Capela
- Quantitative finance , Feature engineering , Machine learning , Systematic investing , Financial mathematics , Time series analysis , Advanced analytics , Algorithmic trading
As a theoretical physicist turned systematic investor, I’ve always been fascinated by the mathematical structures underlying financial markets. While most investors focus on price movements and traditional technical indicators, I discovered that the real edge comes from understanding the deeper statistical properties of market data—particularly how to extract meaningful features that preserve both trend information and stationarity.
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