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The Diversification Dangers of DIY Tactical
While DIY Tactical ETF strategies became popular after 2008, we often see implementations that fail to adequately diversify. We outline three ways in which we see this manifest: a failure to diversify what, how, and when.
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RIP XIV
From inception through 12/31/2017, XIV earned over 40% annualized per year since inception. It then lost over 90% of its value in two days. Was XIV an example of Taleb's Turkey or is there a deeper lesson to be learned?
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Should You Dollar-Cost Average?
Dollar-cost averaging (DCA) is often touted as superior to lump sum investing, but there are many scenarios where DCA may be inferior. The market environment and investor behavior both play large roles in the decision of which route to take.
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Three ETF-Based Ways to Leverage Your 60/40 Without Margin
We explore three ETF-Based ways to leverage your 60/40 without margin. We explore high beta ETFs, levered ETFs, and derivative-based ETNs as potential tools and look at the benefits and risks of each approach.
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Timing Bonds with Value, Momentum, and Carry
With low current rates and higher durations, the stage may be set for systematic, factor-based approaches to timing bonds – like value, momentum, and carry – to add significant value to passive buy-and-hold.
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Quantifying Timing Luck
Timing luck is the difference in performance of two identically managed portfolios, rebalanced on different days. We derive a model for quantifying timing luck and present a solution for controlling it.
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Factor Investing & The Bets You Didn't Mean to Make
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
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Levered ETFs for the Long Run?
Levered ETFs are often dismissed as not suitable for buy-and-hold investors, but they may be able to play a role in creating risk-efficient portfolios.
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A Null Hypothesis for the New Year
As investors prepare their portfolios for 2018, we should consider accepting that our evidence may be nothing but a fortunate permutation of randomness.
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Presidential Stock Market Leaderboard
It's no secret that the market has been ripping post
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Value 2.0
Traditional value strategies may be fundamentally flawed in their construction. Value 2.0 indices fix some of these problems, but not all.
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No Silver Bullets: 8 Ideas for Financial Planning in a Low-Return Environment
We offer 8 ideas investors can implement to help address the short-coming of traditional financial planning rules in a low-return environment.
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Portable Beta: Making the Most of the Returns You're Already Getting
In theory, investors should gear the most risk-efficient portfolio; in practice, few do. Portable beta may help investors create more efficient portfolios.
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Are Market Implied Probabilities Useful?
Market-implied probabilities may apply for "typical households", but actual probabilities are more relevant to the unique goals and situations of investors.
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Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?
We explore whether more sensitive volatility estimates (less data) or more stable volatility estimates (more data) produce better risk parity results.
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A Case Against Overweighting International Equity
Are relative valuations a good enough reason to overweight international equity exposure compared to U.S. equity exposure?
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It’s Long/Short Portfolios All The Way Down
Long/short portfolios can provide us with a unique framework to think about portfolio differences, and a unique way to quantify value-add for fees paid.
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Alternative Data: The Next Frontier of Quant?
Can quants take advantage of new, alternative data to find hidden sources of alpha? Or will signal remain lost in the noise?
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Sleuthing Out Allocations
Backing out allocations of an investment strategy can be hard but assuming an average value can be riskier. Simplicity must be balanced with applicability.
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Tactical, But When?
We believe that investors should most actively seek to manage risk when they are most susceptible to sequence risk, i.e. the years around retirement.
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