Portfolio research for regime uncertainty.

Systematic research on diversification, risk allocation and robust portfolio construction. Each study is published as a standalone research artifact and preserved in its original analytical form.

Risk ParityMacro RegimesClusteringStress TestingRobust Allocation

Published research

Current portfolio studies.

The catalogue contains only completed research products. New studies are added when the methodology, evidence and implementation framework are ready for publication.

Multi-AssetMacro RegimesRisk Parity

All-Weather Macro Regime Portfolio

A systematic multi-asset framework built around four economic sleeves. The study combines hierarchical clustering, correlation analysis, equal-weight and risk-parity allocation, rolling backtests, drawdown analysis, concentration diagnostics and Monte Carlo simulation.

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Research framework

4 economic sleevesDiversification by macro function rather than forecast.

3 allocation enginesEqual Weight, Risk Parity and constrained optimization.

Rolling validationBacktests, drawdowns, risk contribution and turnover checks.

Current implementationRisk Parity as the preferred allocation policy.

Published · Research cutoff 10 Sep 2026

Research Presentation · PowerPoint ↓

Multi-AssetLong-Run ReturnsDiversificationStress Testing

Historical Asset Returns

Long-run evidence on US equities, bonds, Treasury bills, real estate and gold: compounding, volatility, real-wealth drawdowns and which assets actually diversified equities in negative S&P 500 years.

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Research framework

1928–2025Nearly a century of annual historical evidence.

7 asset classesEquities, bills, government bonds, corporate bonds, real estate and gold.

Conditional stress testsDownside correlation, hit rates and worst-equity-year analysis.

Real-return lensInflation-adjusted purchasing-power performance and drawdowns.

Published · Research cutoff 2025

Publication principle

The Portfolio Research page is a catalogue and discovery layer. The underlying studies remain the final published research artifacts and are not rewritten or analytically transformed by the website.