Carry Strategies Across Asset Classes: Mathematical Foundations
- Fabio Capela
- Carry trading , Quantitative finance , Asset pricing , Risk premia , Cross asset strategies , Mathematical finance , Alternative beta , Systematic trading
Imagine borrowing money at 1% and lending it at 5%. The 4% difference seems like an obvious profit, yet financial theory suggests this opportunity shouldn’t exist. Markets should quickly eliminate such discrepancies through arbitrage. But across currencies, bonds, and stocks, these “carry” opportunities persist with remarkable consistency.
Read MoreThe Minimum Correlation Algorithm: Rethinking Portfolio Diversification Through Mathematical Elegance
- Fabio Capela
- Portfolio optimization , Quantitative finance , Diversification strategies , Risk management , Algorithmic trading , Modern portfolio theory , Asset allocation , Investment mathematics
“Don’t put all your eggs in one basket” – this timeless wisdom has evolved into one of finance’s most fundamental principles. Yet despite diversification’s universal acceptance, its mathematical underpinnings remain poorly understood by most practitioners. The conventional approach treats diversification as simply holding many assets, but this perspective misses the profound mathematical reality that drives risk reduction in portfolios.
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.
Read More