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.
Read more.Dynamic Spending in Retirement Monte Carlo
Accounting for potential dynamic spending in retirement in the planning process can paint a better picture of retirement success and failure.
Read more.Decomposing the Credit Curve
We use statistical techniques to decompose changes in the credit spread curve into stylized portfolios capturing level, slope, and curvature factors.
Read more.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.
Read more.Quantitative Styles and Multi-Sector Bonds
In this commentary we explore the application of several quantitative signals (momentum, value, carry, reversal) to a broad set of fixed income exposures.
Read more.Tactical Credit
We find that short-term momentum signals generate statistically significant annualized excess returns for a tactical credit strategy.
Read more.Tactical Portable Beta
We revisit the idea of portable beta to introduce a tactical 90/60 model, which uses value, trend, and carry signals to govern equity and bond exposure.
Read more.Style Surfing the Business Cycle
In this commentary, we ask whether a business-cycle-based approach to factor timing can be an effective way to govern style exposures.
Read more.The Path-Dependent Nature of Perfect Withdrawal Rates
The perfect withdrawal rate in a retirement portfolio contains more risk than meets the eye. The order of returns is extremely important.
Read more.The Speed Limit of Trend
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
Read more.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.
Read more.Time Dilation
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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
Read more.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.
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