Recent Research

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Information does not flow into the market at a constant rate, and measurements using a fixed time horizon may lead to over- or under-sampling of data.

Trend Following in Cash Balance Plans

Cash balance plans can accelerate retirement savings beyond 401ks and IRAs. But how they are invested depends heavily on the return guarantee and employees.

The Monsters of Investing: Fast and Slow Failure

Investors must navigate between the risks of failing fast and slow. Knowing which is most likely to prey on you can inform portfolio design.

How Much Accuracy Is Enough?

Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.

Three Applications of Trend Equity

The pros and cons associated with three potential implementation ideas for trend equity: defensive equity, a tactical pivot, and a liquid alternative.

G̷̖̱̓́̀litch

The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.

Trend: Convexity & Premium

We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.

No Pain, No Premium

We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.

Tightening the Uncertain Payout of Trend-Following

Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.

Drawdowns and Portfolio Longevity

We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.

Fragility Case Study: Dual Momentum GEM

We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.

A video digest of our most recent weekly research commentaries on the potential benefits of diversifying across managers or process within a portfolio.

Is Multi-Manager Diversification Worth It?

In this commentary we explore whether manager diversification can have risk reduction benefits like those found with asset diversification.

2018 Highlights – The Top 20 Posts You Might Have Missed

Best-of highlights of the most popular Flirting with Models blog posts of 2018!

Dart-Throwing Monkeys and Process Diversification

A brief note that explores the impact of process diversification on terminal wealth dispersion, a key metric in portfolio planning.

What do portfolios and teacups have in common?

Volatility is one way to manage risk. How sensitive a portfolio is to small changes in inputs – a measure of its fragility – is another important measure.

The Risk in the Risk-Free Rate

The risk-free rate is a tool in portfolio construction, but the practical aspects of achieving that rate can be difficult in a low rate environment.

Maximizing Diversification

Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.

Directionally Right and Precisely Wrong

Portfolio construction decisions tell us about more than just our objective: they tell us about our beliefs. But what if we're not 100% certain?

The Yield is Gravity

Yield remains the dominant force of returns over time for many fixed-income portfolios; price volatility and default risk are necessary to earn a premium.