Straddles and Trend Following
A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.
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Tranching, Trend, and Mean Reversion
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
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One Hedge to Rule Them All
There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.
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Ensembles and Rebalancing
While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.
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Diversification with Portable Beta
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
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Payoff Diversification
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
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Re-specifying the Fama French 3-Factor Model
The standard definition of the value factor may not fully capture the abstract concept of value. Blending many metrics into one factor can be beneficial.
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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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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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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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