White Papers

Research papers on the use of econometric analysis to generate investment ideas.

Is Risk Parity a Scam?Jul 29 2013
Although it would be preposterous to disparage a strategy based on two months of negative returns, this drawback gave us the impetus to express our thoughts on risk parity as an investment strategy....
Kernel Regression with Optimal Bandwidth SelectionJun 14 2013
Kernel regression enables a smooth and robust estimation of the data to be performed. However, the smoothness of the regression curve depends on a bandwidth parameter....
Multiple Relationships and Asset Selection ModelsMar 11 2013
As our regular readers know, the concept of relationship is central to Rcube’s investment process. We define a relationship as an economically meaningful statement linking two time series.
Kernel RegressionOct 17 2012
The goal of regression is to analyze the relationship between a response variable and explanatory variable(s).
Using Economic Surprises to Build Market IndicatorsAug 28 2012
Economic surprises represent the difference between released and expected values of economic time series.
The Case for Using Symmetric RegressionsMar 01 2012
When we perform an ordinary least‐square (OLS) regression between two variables, we have to choose which variable is supposed to depend on the other.