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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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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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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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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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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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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