Recent Research

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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.

Measuring the Benefit of Diversification

A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.

A video digest of our most recent weekly research commentary on the balancing act between robustness and fragility created by simplicity.

When Simplicity Met Fragility

Simplicity can be surprisingly robust, but too much simplicity can be surprisingly fragile. We explore the limits of simplicity in trend equity strategies.

Attack of the Clone: Lessons from Replicating Long/Short Equity

We attempt to replicate the Credit Suisse Long/Short Liquid Index and thereby identify the commonn sources of performance in long/short equity strategies.

A Carry-Trend-Hedge Approach to Duration Timing

In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.

Managing Equity Risk When Rates Rise

Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.

Measuring Risk Tolerance

Risk tolerance is a tricky metric to measure. Riskalyze tries to intuitively quantify this, but be careful not to oversimplify this complex portfolio input.

Decomposing Trend Equity

We decompose trend equity into a strategic allocation and an active trading strategy in effort to create better transparency around portfolio behavior.

Video Digest: A Trend Equity Primer

A video digest of our most recent weekly research commentary on how trend equity strategies may help hedge left-tail risk in traditional portfolios.

A Trend Equity Primer

An introduction to trend equity, a strategy that seeks to benefit from the long-term, expected equity risk premium and the convex payoff of trend following.