Will Kinlaw, Mark Kritzman and David Turkington recently published an interesting paper titled, "A New Index of the Business Cycle" in which they applied the Mahalanobis Distance to an ensemble of leading economic indicators to calculate the probability of a recession. After a decent amount of putzing around with the data, I was able to …

Continue reading Can We Improve Upon Growth-Trend Timing?

Let's face it, mean-variance optimization out of the box is all but useless. If you've ever used any kind of portfolio optimizer, you know that small changes to your initial inputs can often lead to concentrated allocations. So as practitioners how can we get around this? Add constraints to the optimization? Well, that sort of …

Continue reading Resampled Efficient Frontier