Research Library - Flirting with Models

Can Managed Futures Offset Equity Losses?

Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?

Should I Stay or Should I Growth Now?

Value's recent under-performance has many managers saying that the style looks cheap. We explore the value-of-value through the lens of multiple metrics.

Pursuing Factor Purity

In this research note, we implement a regression-based and optimized-based approach to achieving pure factor portfolios and report the results achieved.

Timing Trend Model Specification with Momentum

In this piece, we briefly explore whether model specification choices can be timed using momentum within the context of a naïve trend strategy.

Re-specifying the Fama French 3-Factor Model

The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.

Diversification: More Than “What”

A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."

The Dumb (Timing) Luck of Smart Beta

In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.

The Limit of Factor Timing

Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.

Global Growth-Trend Timing

In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.

Factor Orphans

We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.

Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell?

We explore whether risk-adjusting momentum scores introduces a meaningful and structural tilt towards low-volatility equities.

Yield Curve Trades with Trend and Momentum

We build stylized portfolios to capture Level, Slope, and Curvature changes in the yield curve and then apply trend and momentum signals to the portfolios.

Macro Timing with Trend Following

Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.

Macro and Momentum Factor Rotation

We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.

Trend Following Active Returns

In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.

Es-CAPE Velocity: Value-Driven Sector Rotation

We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.

Using PMI to Trade Cyclicals vs Defensives

We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.

Your Style-age May Vary

New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.

Harvesting the Bond Risk Premium

The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.

Timing Luck and Systematic Value

We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.

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