A Conversation on Rebalance Timing Luck
A podcast episode discussing all things rebalance timing luck: what is it; how can we measure it; what influences it; and how can we try to control it.
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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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Global Growth-Trend Timing
In this research note, we continue to evaluate the concept of growth-trend timing: utilizing country economic signals to time trend-following.
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Macro Timing with Trend Following
Timing when to invest in trend following strategies is hard, but evidence shows it may be done based on the stage of the economic cycle.
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Build Your Own Long/Short
Recognizing that not all investors will have access to shorting, we demonstrate how a long/short portfolio can be implemented with long-only fund exposure.
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Es-CAPE Velocity: Value-Driven Sector Rotation
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
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Your Style-age May Vary
New research from Axioma suggests that less is more when it comes to style titlts, once again demonstrating the impact of specification vs style.
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Harvesting the Bond Risk Premium
The term premium for bonds is difficult to caputre without de-risking a portfolio. Using levered ETPs can help maintain equity exposure while adding bonds.
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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.
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Revisiting The Weird Portfolio
By looking at strategies by their underlying independent risk factors, we explore how even different allocations can lead to closely shared risks.
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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.
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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.
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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.
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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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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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Video Digest: Process & Manager Diversification
A video digest of our most recent weekly research commentaries on the potential benefits of diversifying across managers or process within a portfolio.
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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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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.
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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.
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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.
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