KKB Research and Development


Month upon month, we see that articles and studies out about active management under performing their benchmarks, some say it use due to fees and others due to managers having no skill.

First we will define active share, the active share of a fund is the % of the fund that is weighted differently than the benchmark.

bit combined constraints demonstrate fee fund manager mathematically outperform personally


This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial (after fee) performance numbers for the Stance Equity product at the end of the deck.

applied fee included numbers performance product readers Stance tech unofficial


Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now.

The goal of the experiment here is to see if we can take a minimum variance portfolio, leverage it up to have the same expected volatility as the benchmark and see if it still performs after the additional cost of capital.

advice EDHEC indices investment led leverage portfolio risk securities suite


This is from a talk I gave at r/finance 2016.

To start, I define the Overnight Effect as buying at the close and selling at the open, and the intraday as buying at the open and selling at the close.

intraday overnight


Quick preview I will be expanding on this in the days to come.


In this quick data-tidbit we aim to explore the hypothesis that current Oil Price decreases are driven by US dollar strength.

Let’s first explore how oil price reacts to changes in the U.S.D.

index linear oil regressing regression