Research Library - Flirting with Models

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.

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.

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.

Measuring the Benefit of Diversification

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

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.

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.

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.

Timing Equity Returns Using Monetary Policy

We explore the relationship between equity returns and contractionary/expansionary monetary policy regimes using a simple simulation-based framework.

Trade Optimization

We explore how mixed-integer linear programming can be applied in portfolio trade optimization, potentially helping reduce real-world implementation costs.

The State of Risk Management

We evaluate the state of risk management by exploring the historical performance of eight different risk-managed strategies over the last 20 years.

Measuring Process Diversification in Trend Following

In this research commentary we seek to measure the potential diversification benefits of introducing new ways of measuring trends.

Momentum’s Magic Number

The performance of momentum strategies appears to peak when the formation period plus the holding period sum to between 12 and 18 months.

The New Glide Path

Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?

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?"

How to Benchmark Trend-Following

Benchmarking a trend-following strategy is difficult. The tendency is to compare it to an equity strategy, but this often leads to disappointment. We explore a better benchmark that allows investors to accurately measure performance and set expectations.

Leverage and Trend Following

We typically explore trend following as a risk management technique for investors sensitive to sequence risk, but it may also be a way to allow growth investors to benefit from leverage by reducing the risk of permanent portfolio impairment that would otherwise occur due to large drawdowns.

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