Tail risk protection is a mantra in portfolio allocation. A common method in this context is the NMFRB allocation. Here, we extend it to drawdown risk measures and show that the proposed portfolios compete with machine learning-based portfolios such as Hierarchical Risk Parity (HRP) and...

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...