Research Library - Flirting with Models

The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck

We have published a new paper on the topic of

Return Stacking in an Inverted Yield Curve Environment

Introduction When we first started publicly writing and talking about

Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants

This paper is unlike any research we’ve shared in the

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

We are proud to announce the release of our newest

Heads I Win, Tails I Hedge

We explore the application of tactical signals to a rolling put strategy, seeking to minimize long-term costs while still providing meaningful protection.

Option-Based Trend Following

Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw.

Tail Hedging

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

Defensive Equity with Machine Learning

This post is available as a PDF download here. Summary

Straddles and Trend Following

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

Tranching, Trend, and Mean Reversion

While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.

One Hedge to Rule Them All

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

Why Trend Models Diverge

We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.

Ensembles and Rebalancing

While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.

Diversification with Portable Beta

Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.

Payoff Diversification

We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.

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.

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