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q-fin.RM2026
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
Nolan Alexander, Frank Fabozzi
This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out rep…
q-fin.RM2026
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
Nolan Alexander, Frank Fabozzi
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk meas…