Flirting with Models

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  • ⭐️ FEATURED THINKING
  • 📚 CATEGORIES
    • TREND EQUITY
    • RISK & STYLE PREMIA
    • SEQUENCE RISK
    • RISK MANAGEMENT
    • CRAFTSMANSHIP
    • PORTFOLIO CONSTRUCTION
  • 🧩 HOW TO INVEST
  • 🎧 PODCAST
  • 👤 ABOUT US
    • OUR FIRM
    • CONTACT US

Featured Thinking

Did Declining Rates Actually Matter?
It is often assumed that declining interest rates were a significant boon to fixed income returns over the last several decades; but is that true?
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Navigating Municipal Bonds With Factors
While quantitative styles such as value, momentum, low volatility, and carry have been applied to equities, we explore their use within municipal bonds.
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Timing Bonds with Value, Momentum, and Carry
In this research note we explore quantitative trend, value, and carry signals for timing exposure to bonds and find evidence of their historical efficacy.
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Two Centuries of Momentum
As a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results.
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Factor Fimbulwinter
With decades of empirical evidence supporting them, we ask the simple question: "How long would a factor have to fail for us to give up hope?"
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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.
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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.
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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.
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Trend Following in Cash Balance Plans
We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.
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Taxes and Trend Equity
While tactical equity strategies are generally assumed to be tax inefficient, we document the historical capital gains profile of such an approach.
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Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
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Value and the Credit Spread
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
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Ensemble Multi-Asset Momentum
We explore the a representative multi-asset momentum model that is similar to many bank-based indexes and implement an ensemble to improve consistency.
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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.
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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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