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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โ€œWell, youโ€ฆ No, you gotta do more than that.โ€
In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.
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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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What the Trend
Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.
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How I Invest
In this commentary, I outline some thoughts that go into my personal portfolio construction decisions, including both my private and public exposures.
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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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Fighting U.S. FOMO
U.S. investors may feel FOMO after strong years in the market, and battling this feeling is important for the health of their portfolio.
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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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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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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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