A Conversation on Rebalance Timing Luck
A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.
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November 2019 Digest
1. Global Growth-Trend Timing (Link) The Big Question Can economic
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Diversification: More Than “What”
A video presentation discussing the multi-dimensional nature of diversification and how trend equity strategies can diversify "how" and "when."
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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.
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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.
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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.
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October 2019 Digest
Macro Timing with Trend Following (Link) The Big Question Can we
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Factor Orphans
We develop and backtest a factor orphan strategy: the basket of stocks not held by any factor strategy at a given time.
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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.
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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.
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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.
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Macro and Momentum Factor Rotation
We explore macro- and momentum-driven factor rotation of U.S. equity factors. These methods may not offer much benefit over naïve, equal-weight approach.
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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.
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Factors and the Glide Path
We derive a multi-asset and equity style-based glide path based upon an investor’s age and net-worth relative to their desired spending level.
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Build Your Own Long/Short
Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.
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Sector Momentum
We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.
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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.
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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.
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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.
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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.
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