Associate Professor of Finance at @IESEG School of Management. Quant finance, empirical asset pricing, ML, portfolio management. All views are my own.
Paris, France
Joined August 2008
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If you enjoy my threads, I now write longer, structured pieces on empirical asset pricing, systematic trading, and the role of #machinelearning and #AI in finance here → substack.com/@systematically…
Alexandre Rubesam retweeted
The biggest, and stupidest, myth in European politics, particularly popular in France, is that Europe suffers the consequences of "austerity" and "neoliberalism". In the biggest 5 countries in Europe, more than half of the population makes its income from the state, less than half from the private sector. This is what makes the problem of reducing the welfare state so impossible: more than half of the voters are net recipients. No surprise that Italy's budget has not been balanced in 100 years, France's in 50 years (ooh la la, l'austérité!!):
-France: 30 million from the state versus 21m private sector workers. State spending is 57% of GDP, taxes more than half the economy. The budget hasn't been balanced in the lifetime of most French (since 1974).
- Germany: 35 million adults from the state, versus 34 million from the private sector. 10% of the population is registered as severely disabled. Public spending is over half of GDP. Germany has had a continuous budget deficit since 2019.
-Italy: 23 million from the state, versus 20.5 million private-sector workers. Public spending is 51% of GDP. Italy has had a budget deficit every year since 1925, for 100 years.
- Spain more people get their income from the state since 2024: 18.21 million from the public sector versus 17.9 million people working in the private sector. Since 2025, Spain also had more government employees than self-employed workers (autónomos) for the first time in history. State spending is at 45%, budget has not been balanced since 2007.
- UK: 54% of households now receive more in state benefits than they pay in taxes. State spending is 44.5% of GDP, taxes (40%) are at their highest since 1950, the budget hasn't been balanced since 2001, and 1 in 5 new cars is paid by the government through a bizarre state disability scheme (Motability).
I’ve been experimenting with a new format, learning how to make videos with agents + Remotion.
This is a short video explainer of the influential paper “Empirical Asset Pricing via Machine Learning”, by Gu, Kelly, and Xiu, published in 2020 on RFS. 👇
systematicallybiased.substac…
My most recent post is a deep dive on risk parity.
Post here: systematicallybiased.substac…
Some adults in the room at last.
Wow, the S&P Dow Jones Indices has just officially announced that they will NOT be changing their inclusion rules to make it easier for “MegaCap” companies (such as @SpaceX) to be fast-tracked into the S&P 500.
Their reasoning:
"S&P DJI determined that exceptions to the financial viability, seasoning, and IWF requirements should not be granted solely based on market capitalization. The decision not to adopt the proposed exceptions preserves core index principles by maintaining consistent application of these key requirements. Although there may be trade-offs between strict adherence to these eligibility requirements and broad representativeness, the current methodology provides substantial market coverage and sector balance. As a result, the indices can continue to meet their stated objectives while preserving their role as representative and investable benchmarks for the U.S. equity market.
No changes will be made to the eligibility criteria including financial viability screens, seasoning period, or minimum IWF, for the S&P 500, S&P MidCap 400, or S&P SmallCap 600 as a result of the S&P Dow Jones Indices consultation on the treatment of MegaCap companies. Accordingly, there will be no changes to existing methodology for this index family."
This means that the earliest @SpaceX could be eligible to be added to the S&P 500 would now be June 2027.
The requirements that will now remain in place are:
• No changes to S&P 500 eligibility rules for mega-cap companies.
• Mega-cap companies will still need to wait 12 months after their IPO before being considered for S&P 500 inclusion.
• S&P will not waive profitability requirements for mega-cap companies. The company must have positive GAAP net income in the most recent quarter, and the sum of the most recent four consecutive quarters.
• S&P will not waive minimum public float requirements for mega-cap companies. At least 10% of a company's shares must be publicly tradable ("free float").
The S&P rejected proposals that would have:
• Reduced the IPO seasoning period from 12 months to 6 months
• Waived profitability requirements
• Waived minimum public float requirements
Alexandre Rubesam retweeted
Here's my promised explainer. Doing my best to synthesize a lot of info here so check all my info; don't rely on it
So - the SpaceX IPO (SPCX:NASDAQ)
1/ Normally, a company with a massive valuation has to wait months to a year after its IPO before index funds are allowed to buy
Mean-variance portfolio optimization is taught in Finance courses in every business school. However, it is often criticized - and dismissed - due to it's sensitivity to the inputs, poor out-of-sample performance, and for producing overly concentrated/unstable portfolios.
Post #3: Backtesting Mean-Variance Alternatives
👇
systematicallybiased.substac…
I recently discussed how mean-variance optimization (MVO) can go wrong. In the most recent post, I discuss some alternatives to MVO.
Post here 👇
open.substack.com/pub/system…
#QuantFinance #PortfolioOptimization #AssetAllocation #SystematicInvesting #Investing
12/ The broader lesson:
Alternatives to MVO do not eliminate judgment.
They relocate it.
To the asset universe.
To the risk model.
To the benchmark.
To the tail scenarios.
To the constraints.
To the risk budgets.
13/ That is the focus of the new post:
Beyond Mean-Variance Optimization
Seven ways investors can avoid forecasts, redefine risk, or diversify differently.
open.substack.com/pub/system…