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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Maximizing Diversification
Maximum diversification is possible in portfolio construction, but its benefits are often ephemeral and out of line with investor objectives.
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Directionally Right and Precisely Wrong
Portfolio construction decisions tell us about more than just our objective: they tell us about our beliefs. But what if we're not 100% certain?
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The Yield is Gravity
Yield remains the dominant force of returns over time for many fixed-income portfolios; price volatility and default risk are necessary to earn a premium.
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Measuring the Benefit of Diversification
A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.
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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.
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Managing Equity Risk When Rates Rise
Managing equity risk when rates rise may be difficult for investors whose risk management plan relies exclusively on asset class diversification.
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Video Digest: A Trend Equity Primer
A video digest of our most recent weekly research commentary on how trend equity strategies may help hedge left-tail risk in traditional portfolios.
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The Misleading Lessons of History
Market history can be a potentially misleading guide to the future. Adding more noise to the past returns may create more signal for the future.
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Video Digest: Trade Optimization
A video digest of our most recent weekly research commentary on the role of trade optimization / trade paring in portfolio construction.
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Trade Optimization
We explore how mixed-integer linear programming can be applied in portfolio trade optimization, potentially helping reduce real-world implementation costs.
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Video Digest: A Factor-Based Approach to Disruptor-Based Sectors
A video digest of our most recent weekly research commentary on using factors to allocate to new products like sector disruptor ETFs.
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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.
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Video Digest: Measuring Process Diversification in Trend Following
A video digest of our most recent weekly research commentary on measuring process diversification within the context of trend following strategies.
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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.
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