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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Machine Learning, Subset Resampling, and Portfolio Optimization
We two novel algorithms, one based on machine learning and the other based on simulation, to manage estimation risk in portfolio optimization.
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On Performance Commentary
Ex-post performance commentary is meaningless without ex-ante expectations. With appropriately set expectations, step-wise decomposition can be insightful.
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The New Glide Path
Investors have traditionally utilized a stock/bond glide path in order to control for sequence risk. Where does trend following fit in?
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The Raw Materials for Active Management
Explaining why active management performs a certain way in an environment is tough. Predicting this difference is even harder. Diversification is key.
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Separating Ingredients and Recipe in Factor Investing
Factor portfolio construction has two key elements: ingredients (the signals used to pick investments) and recipe (the rules used to translate those signals into allocations). While the ingredients often get the most focus, the recipe can have just as large of an impact on returns.
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The Diversification Dangers of DIY Tactical
While DIY Tactical ETF strategies became popular after 2008, we often see implementations that fail to adequately diversify. We outline three ways in which we see this manifest: a failure to diversify what, how, and when.
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RIP XIV
From inception through 12/31/2017, XIV earned over 40% annualized per year since inception. It then lost over 90% of its value in two days. Was XIV an example of Taleb's Turkey or is there a deeper lesson to be learned?
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Three ETF-Based Ways to Leverage Your 60/40 Without Margin
We explore three ETF-Based ways to leverage your 60/40 without margin. We explore high beta ETFs, levered ETFs, and derivative-based ETNs as potential tools and look at the benefits and risks of each approach.
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Factor Investing & The Bets You Didn’t Mean to Make
Factor-based investment strategies seek to manage risk with diversification; completely unconstrained, however, they can be overwhelmed by unintended bets.
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