Extreme Value Theory in Your Portfolio – Explained

By Hudson Cooper   The traditional 60/40 portfolio is a good example of a portfolio that has been constructed to manage volatility. Because fluctuations in the value of equities and fixed income securities are largely uncorrelated, they are able to offset each other's volatility without sacrificing too much in terms…

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AlphaBytes:  Risk Management in a World of Rising Yields

In our mission to help lead the financial community to embrace cutting-edge technologies and algorithmic approaches, we are thrilled to share with you our debut episode of AlphaBytes, an educational video series.     The purpose of this series is to bring educational content and awareness to the rapidly changing dynamics…

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Historical Unemployment Rate and AlphaTrAI Model Observations

By Hudson Cooper   In the left panel, we plot the yearly maximum United States unemployment rate since 1948, updated on a quarterly basis.   The right panel shows the unconditional probability of exceeding a given unemployment rate over the course of a year. The points marked "Observations" are the…

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